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Authors: Iryna Veryzhenko 1 ; Philippe Mathieu 1 and Olivier Brandouy 2

Affiliations: 1 UMR CNRS-USTL, France ; 2 Sorbonne Graduate Business School, France

ISBN: 978-989-8425-41-6

ISSN: 2184-433X

Keyword(s): Multi-agent systems, Artificial market, Market microstructure, Agents interactions.

Related Ontology Subjects/Areas/Topics: Agent Models and Architectures ; Agents ; Artificial Intelligence ; Artificial Intelligence and Decision Support Systems ; Distributed and Mobile Software Systems ; Economic Agent Models ; Enterprise Information Systems ; Knowledge Engineering and Ontology Development ; Knowledge-Based Systems ; Multi-Agent Systems ; Software Engineering ; Symbolic Systems

Abstract: The purpose of this paper is to define software engineering abstractions that provide a generic framework for stock market simulations. We demonstrate a series of key points and principles that has governed the development of an Agent-Based financial market in the form of an API. The simulator architecture is presented. During artificial market construction we have faced the whole variety of agent-based modeling issues and solved them : local interaction, distributed knowledge and resources, heterogeneous environments, agents autonomy, artificial intelligence, speech acts, discrete scheduling and simulation. Our study demonstrates that the choices made for agent-based modeling in this context deeply impact the resulting market dynamics and proposes a series of advances regarding the main limits the existing platforms actually meet.

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Paper citation in several formats:
Veryzhenko, I.; Mathieu, P. and Brandouy, O. (2011). KEY POINTS FOR REALISTIC AGENT-BASED FINANCIAL MARKET SIMULATIONS. In Proceedings of the 3rd International Conference on Agents and Artificial Intelligence - Volume 1: ICAART, ISBN 978-989-8425-41-6 ISSN 2184-433X, pages 74-83. DOI: 10.5220/0003156200740083

@conference{icaart11,
author={Iryna Veryzhenko. and Philippe Mathieu. and Olivier Brandouy.},
title={KEY POINTS FOR REALISTIC AGENT-BASED FINANCIAL MARKET SIMULATIONS},
booktitle={Proceedings of the 3rd International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,},
year={2011},
pages={74-83},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003156200740083},
isbn={978-989-8425-41-6},
issn={2184-433X},
}

TY - CONF

JO - Proceedings of the 3rd International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,
TI - KEY POINTS FOR REALISTIC AGENT-BASED FINANCIAL MARKET SIMULATIONS
SN - 978-989-8425-41-6
IS - 2184-433X
AU - Veryzhenko, I.
AU - Mathieu, P.
AU - Brandouy, O.
PY - 2011
SP - 74
EP - 83
DO - 10.5220/0003156200740083

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