An Agent-Based Financial Simulation for Use by Researchers

10 Pages Posted: 12 Apr 2014 Last revised: 17 Apr 2014

See all articles by Roy Hayes

Roy Hayes

University of Virginia

Andrew Todd

University of Virginia

Nachapon Chaidarun

University of Virginia

Scott Tepsuporn

University of Virginia

Peter Beling

University of Virginia, Dept. of System & Information Engineering

William Scherer

University of Virginia

Date Written: April 10, 2014

Abstract

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

Suggested Citation

Hayes, Roy Lee and Todd, Andrew and Chaidarun, Nachapon and Tepsuporn, Scott and Beling, Peter and Scherer, William, An Agent-Based Financial Simulation for Use by Researchers (April 10, 2014). Available at SSRN: https://ssrn.com/abstract=2423370 or http://dx.doi.org/10.2139/ssrn.2423370

Roy Lee Hayes (Contact Author)

University of Virginia ( email )

United States

Andrew Todd

University of Virginia ( email )

1400 University Ave
Charlottesville, VA 22903
United States

Nachapon Chaidarun

University of Virginia ( email )

1400 University Ave
Charlottesville, VA 22903
United States

Scott Tepsuporn

University of Virginia ( email )

1400 University Ave
Charlottesville, VA 22903
United States

Peter Beling

University of Virginia, Dept. of System & Information Engineering ( email )

1400 University Ave
Charlottesville, VA 22903
United States

William Scherer

University of Virginia ( email )

United States

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