TY - GEN
T1 - Agent based model of the E-Mini Future
T2 - 2012 Winter Simulation Conference, WSC 2012
AU - Hayes, Roy
AU - Paddrik, Mark
AU - Todd, Andrew
AU - Yang, Steve
AU - Beling, Peter
AU - Scherer, William
PY - 2012
Y1 - 2012
N2 - An agent-based model (ABM) has a structure, which includes a set of agents, a topology and an environment. A simplified conception of a financial market includes a set of market participants, a trading mechanism, and a set of securities. In a typical ABM of a financial market, the market participants are agents, the market mechanism is the topology and the exogenous flow of information into the market is the environment. A zero-intelligence ABM model of the E-Mini Futures Market is presented. Several classes of agents are characterized by their speed and placement of orders within the limit order book. The proposed minimum quote life rule is implemented in the simulation. The minimum quote life rule prevents new orders from being cancelled or modified before a given time limit. Through experimentation, tradeoff curves are generated. Thereby, illustrating the usefulness of this ABM and its ability to inform ongoing financial policy debates.
AB - An agent-based model (ABM) has a structure, which includes a set of agents, a topology and an environment. A simplified conception of a financial market includes a set of market participants, a trading mechanism, and a set of securities. In a typical ABM of a financial market, the market participants are agents, the market mechanism is the topology and the exogenous flow of information into the market is the environment. A zero-intelligence ABM model of the E-Mini Futures Market is presented. Several classes of agents are characterized by their speed and placement of orders within the limit order book. The proposed minimum quote life rule is implemented in the simulation. The minimum quote life rule prevents new orders from being cancelled or modified before a given time limit. Through experimentation, tradeoff curves are generated. Thereby, illustrating the usefulness of this ABM and its ability to inform ongoing financial policy debates.
UR - http://www.scopus.com/inward/record.url?scp=84874700537&partnerID=8YFLogxK
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U2 - 10.1109/WSC.2012.6465037
DO - 10.1109/WSC.2012.6465037
M3 - Conference contribution
AN - SCOPUS:84874700537
SN - 9781467347792
T3 - Proceedings - Winter Simulation Conference
BT - Proceedings of the 2012 Winter Simulation Conference, WSC 2012
Y2 - 9 December 2012 through 12 December 2012
ER -