On the Design of Artificial Stock Markets

48 Pages Posted: 6 Apr 2005

See all articles by Katalin Boer-Sorban

Katalin Boer-Sorban

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Arie de Bruin

Erasmus Research Institute of Management (ERIM)

U. Kaymak

Erasmus University Rotterdam (EUR) - Faculty of Economics - Department of Computer Science; Erasmus Research Institute of Management (ERIM)

Date Written: 18 2005 2,

Abstract

Artificial stock markets are designed with the aim to study and understand market dynamicsby representing (part of) real stock markets. Since there is a large variety of realstock markets with several partially observable elements and hidden processes, artificialmarkets differ regarding their structure and implementation. In this paper we analyze towhat degree current artificial stock markets reflect the workings of real stock markets. Inorder to conduct this analysis we set up a list of factors which influence market dynamicsand are as a consequence important to consider for designing market models. We differentiatetwo categories of factors: general, well-defined aspects that characterize the organizationof a market and hidden aspects that characterize the functioning of the markets and thebehaviour of the traders.

Keywords: market microstructure, financial markets, agent-based computational economics, artificial stock markets, uncertainty modeling

JEL Classification: M, M11, C52, C63, R4, G15

Suggested Citation

Boer-Sorban, Katalin and de Bruin, Arie and Kaymak, Uzay, On the Design of Artificial Stock Markets (18 2005 2,). Available at SSRN: https://ssrn.com/abstract=678241

Katalin Boer-Sorban (Contact Author)

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

Arie De Bruin

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Uzay Kaymak

Erasmus University Rotterdam (EUR) - Faculty of Economics - Department of Computer Science ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
3000 DR Rotterdam
Netherlands

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