| By: |
Boer-Sorban, K.;
Bruin, A. de;
Kaymak, U. (Erasmus Research Institute of Management (ERIM), RSM Erasmus University) |
| Abstract: |
Artificial stock markets are designed with the aim to study and understand
market dynamics by representing (part of) real stock markets. Since there is a
large variety of real stock markets with several partially observable elements
and hidden processes, artificial markets differ regarding their structure and
implementation. In this paper we analyze to what degree current artificial
stock markets reflect the workings of real stock markets. In order to conduct
this analysis we set up a list of factors which influence market dynamics and
are as a consequence important to consider for designing market models. We
differentiate two categories of factors: general, well-defined aspects that
characterize the organization of a market and hidden aspects that characterize
the functioning of the markets and the behaviour of the traders. |
| Keywords: |
Market microstructure;financial markets;agent-based computational economics;artificial stock markets;uncertainty modeling; |
| Date: |
2005–02–18 |
| URL: |
http://d.repec.org/n?u=RePEc:dgr:eureri:30002042&r=cmp |