A NASDAQ Market Simulation - Insights on a Major Market from the Science of Complex Adaptive Systems
A NASDAQ Market Simulation - Insights on a Major Market from the Science of Complex Adaptive Systems
复制标题
纳斯达克市场模拟 - 从复杂自适应系统科学中洞察主要市场
DOI：
10.1142/6217
复制
发表时间：
2007
影响因子：
1.1
通讯作者：
Alexander Outkin
中科院分区：
文献类型：
--
作者：
V. Darley;Alexander Outkin
这本开创性的书描述了基于主体的建模在金融市场中的应用。它提出了一个新的金融范式，在这个范式中，市场被视为复杂的系统，其行为是市场参与者、市场机构和市场规则相互作用的结果。这包括概念模型的展示和它的软件实现。本文还总结了对这种新方法在回答2001年实施的纳斯达克股票市场小数化问题方面的成功实际应用的深入研究结果。本书提出了建模市场作为复杂系统的概念基础。它描述了纳斯达克股票市场的基于主体的模型，包括做市商和投资者使用的策略，市场参与者的互动，以及规则和法规的影响。它包括对模拟行为的分析，与现实市场中观察到的行为的比较（存在肥尾，扩散聚类等），以及对十进制可能结果的预测。本文还提出了一个根据历史数据校准市场行为和个体做市商策略的框架。
This pioneering book describes the applications of agent-based modeling to financial markets. It presents a new paradigm for finance, where markets are treated as complex systems whose behavior emerges as a result of interactions of market participants, market institutions, and market rules. This includes both a presentation of the conceptual model and its software implementation. It also summarises the result of the profound research on the successful practical application of this new approach to answer questions regarding the Nasdaq Stock Market s decimalization that was implemented in 2001. The book presents conceptual foundations for modeling markets as complex systems. It describes the agent-based model of the Nasdaq stock market, including strategies used by market-makers and investors, market participants interactions, and impacts of rules and regulations. It includes analyses of simulation behavior, comparison with the behaviors observed in the real-world markets (existence of fat tails, spread clustering, etc.), and predictions about possible outcomes of decimalization. A framework for calibrating the market behavior and individual market-makers strategies to historical data is also presented.