TY - JOUR T1 - Strategic Agent-Based Modeling of Financial Markets JF - RSF: The Russell Sage Foundation Journal of the Social Sciences SP - 104 LP - 119 DO - 10.7758/RSF.2017.3.1.06 VL - 3 IS - 1 AU - Michael P. Wellman AU - Elaine Wah Y1 - 2017/01/01 UR - http://www.rsfjournal.org/content/3/1/104.abstract N2 - Understanding the implications of algorithmic trading calls for modeling financial markets at a level of fidelity that often precludes analytic solution. We describe how agent-based simulation modeling can be combined with game-theoretic reasoning to examine the effects of market variables on outcomes of interest. The approach is illustrated in a basic model where investors trade a single security through a continuous double auction mechanism. Our results demonstrate the feasibility of the approach, and raise questions about the use of spreads as a proxy for trading cost and welfare. ER -