An Agent-Based Financial Simulation for Use by Researchers
10 Pages Posted: 12 Apr 2014 Last revised: 17 Apr 2014
Date Written: April 10, 2014
Regulators and policy makers, facing a complicated, fast-paced and quickly evolving marketplace, require new tools and decision aides to inform policy. Agent-based models, which are capable of capturing the organization of exchanges, intricacies of market mechanisms, and the heterogeneity of market participants, offer a powerful method for understanding the financial marketplace. To this end, we have worked to develop a flexible and adaptable agent-based model of financial markets that can be extended and applied to interesting policy questions. This paper presents the implementation of this model. In addition, it provides a small case study that demonstrates the possible uses of the model. The source code of the simulation has also been released and is available for use.
Keywords: Agent-based, Finance, High Frequency Traders, Regulation, Policy
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