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Research Article
Open Access

Strategic Agent-Based Modeling of Financial Markets

Michael P. Wellman, Elaine Wah
RSF: The Russell Sage Foundation Journal of the Social Sciences January 2017, 3 (1) 104-119; DOI: https://doi.org/10.7758/RSF.2017.3.1.06
Michael P. Wellman
aLynn A. Conway Collegiate Professor of Computer Science and Engineering at the University of Michigan
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Elaine Wah
bWorks at IEX Group Inc. This work was completed while she was a research assistant at the University of Michigan
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Article Figures & Data

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    Figure 1.

    Empirical Game-Theoretic Analysis

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    Figure 2.

    Median Rmid (the Midpoint of the ZI Range [Rmin, Rmax]) Value for Equilibria in the Three Environments A, B, and C, for N = 66 and N = 25

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    Figure 3.

    Comparison of Welfare (Total Surplus) Across Thirty Game Environments

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    Figure 4.

    Average Number of Trades Generated in Equilibrium, Across Twenty-One Game Environments

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    Figure 5.

    Quoted Spread (Measured as the Median BID-ASK Difference over the Duration of the Simulation) for Twenty-One Game Environments

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    Figure 6.

    Effective Spread (Measured as the Mean BID-ASK Difference over the Transaction Time Points) for Twenty-One Game Environments

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    Figure 7.

    Overall Surplus in Five Pure-Strategy Profiles for N = 66 and N = 25 in Game B12

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    Figure 8.

    Quoted Spread and Effective Spread in Five Pure-Strategy Profiles for N = 66 and N = 25 in Game B12

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RSF: The Russell Sage Foundation Journal of the Social Sciences: 3 (1)
RSF: The Russell Sage Foundation Journal of the Social Sciences
Vol. 3, Issue 1
1 Jan 2017
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Strategic Agent-Based Modeling of Financial Markets
Michael P. Wellman, Elaine Wah
RSF: The Russell Sage Foundation Journal of the Social Sciences Jan 2017, 3 (1) 104-119; DOI: 10.7758/RSF.2017.3.1.06

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Strategic Agent-Based Modeling of Financial Markets
Michael P. Wellman, Elaine Wah
RSF: The Russell Sage Foundation Journal of the Social Sciences Jan 2017, 3 (1) 104-119; DOI: 10.7758/RSF.2017.3.1.06
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  • Article
    • Abstract
    • SIMULATION MODELING OF FINANCIAL MARKETS
    • SECURITY TRADING MODEL
    • EMPIRICAL GAME-THEORETIC ANALYSIS
    • EXPERIMENTAL SETUP
    • RESULTS
    • SPREADS AND MARKET EFFICIENCY
    • CONCLUSIONS
    • APPENDIX
    • FOOTNOTES
    • REFERENCES
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Keywords

  • algorithmic trading
  • agent-based modeling

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