Using multi-agent simulation to understand trading dynamics of a derivatives market

DOI10.1007/S10472-005-4689-6MaRDI QIDQ812387zbMATH OpenOpenAlexFDO

Authors Alan J. King, Olga Streltchenko, Yelena Yesha

Publication date 23 January 2006

Published in Annals of Mathematics and Artificial Intelligence (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10472-005-4689-6

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Experimental studies (91A90)

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Cites work

• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Agent-based computational finance: Suggested readings and early research
• Artificial economic life: A simple model of a stockmarket
• Evolution and time horizons in an agent-based stock market
• Martingales and stochastic integrals in the theory of continuous trading
• The pricing of options and corporate liabilities
• Time series properties of an artificial stock market

Cited in

(2)

• Multiagent system simulations of treasury auctions
• Why technical trading may be successful? A lesson from the agent-based modeling

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