Agent based model of the E-Mini Future: Application for policy making

Roy Hayes, Mark Paddrik, Andrew Todd, Steve Yang, Peter Beling, William Scherer

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

14 Scopus citations

Abstract

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.

Original languageEnglish
Title of host publicationProceedings of the 2012 Winter Simulation Conference, WSC 2012
DOIs
StatePublished - 2012
Event2012 Winter Simulation Conference, WSC 2012 - Berlin, Germany
Duration: 9 Dec 201212 Dec 2012

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736

Conference

Conference2012 Winter Simulation Conference, WSC 2012
Country/TerritoryGermany
CityBerlin
Period9/12/1212/12/12

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