Financial Market Simulation
Posted: 31 Mar 2017
Date Written: April 20, 2004
When they want to see how complex systems work, scientists often turn to asynchronous-time simulation, which allows processes to change sporadically over time, typically at irregular intervals. While rarely used in finance today, such models may turn out to be valuable tools for understanding how markets respond to changes in the participation rates of different types of investors, for example, or to changes in regulatory or investment policies. The asynchronous, discrete-event, stock market simulator described here allows users to create a model of the market, using their own inputs. Users can vary the numbers of investors, traders, portfolio analysts, and securities, as well as their investing and trading decision rules. Such a simulation may be able to provide a more realistic picture of complex markets.
Keywords: financial market simulation, synchronous simulation, asynchronous simulation, continuous-time models, discrete-time models, financial market models, dynamic models, market simulation, Jacobs-Levy-Markowitz Market Simulator, JLM Market Simulator, JLM Sim
JEL Classification: C15, G12
Suggested Citation: Suggested Citation