Formal Modeling in Electronic Commerce: Representation, Inference, and Strategic Interaction

Multi-agent simulation of financial markets

Olga Streltchenko, Yelena Yesha, and Tim Finin

December 1, 2004

Simulation of financial markets is a new, fast-growing research area with two primary motivations. The first is the need to provide a development testbed for the ever-increasing automation of financial markets. The second is the inability of traditional computational mathematics to predict market patterns that result from the choices made by interacting investors in a market. This paper discusses the principal reasons for, and prospective opportunities of, simulating financial markets using an architecture based on artificial agents. The paper then examines in detail the design and architecture of a simulator for financial markets. The Gaia methodology was employed in the development of MAFiMSi (Multi-Agent Financial Market Simulator), a general-purpose financial market simulator of a dealer-type market. MAFiMSi is implemented as a library of C++ classes that currently support a stand-alone market simulation.

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Tags: agent, ai, auction, ecommerce, gaia methodology, multiagent

Type: InBook

Publisher: Springer-Verlag

Steven O. Kimbrough and D. J. Wu

Note: DOI: 10.1007/3-540-26989-4_15

Downloads: 3799 downloads

Google Scholar Citations: 8 citations