Statistical properties of agent-based models in markets with continuous double auction mechanism

Tseng, Jie Jun; Lin, Chih Hao; Lin, Chih Ting; Wang, Sun Chong; Li, Sai Ping

doi:10.1016/j.physa.2009.12.034

Cited by 25 publications

(21 citation statements)

References 17 publications

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“…Jiang and Zhou reveal that the daily trading networks in Shenzhen stock market exhibit patterns of power-law degree distributions and disassortative architectures [2]. Tseng et al uncover a power-law correlation between the average degree and the size of placed orders [3,4]. Wang et al find that the trading networks in the Shanghai Futures Market exhibit similar features such as scale-free, small-world effect, hierarchical organization, and power-law betweenness distribution [5].…”

Section: Introductionmentioning

confidence: 99%

Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant

Jiang

Xie

et al. 2015

Physica A: Statistical Mechanics and its Applications

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h i g h l i g h t s• We construct and investigate time series of security trading networks. • Correlation relationships are uncovered between trading network metrics and financial variables. • The structure of trading networks contains rich information about the dynamics of securities. a b s t r a c t Traders develop and adopt different trading strategies attempting to maximize their profits in financial markets. These trading strategies not only result in specific topological structures in trading networks, which connect the traders with the pairwise buy-sell relationships, but also have potential impacts on market dynamics. Here, we present a detailed analysis on how the market behaviors are correlated with the structures of traders in trading networks based on audit trail data for the Baosteel stock and its warrant at the transaction level from 22 August 2005 to 23 August 2006. In our investigation, we divide each trade day into 48 rolling time windows with a length of 5 min, construct a trading network within each window, and obtain a time series of over 11,600 trading networks. We find that there are strongly simultaneous correlations between the topological metrics (including network centralization, assortative index, and average path length) of trading networks that characterize the patterns of order execution and the financial variables (including return, volatility, intertrade duration, and trading volume) for the stock and its warrant. Our analysis may shed new lights on how the microscopic interactions between elements within complex system affect the system's performance.

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Section: Introductionmentioning

confidence: 99%

Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant

Jiang

Xie

et al. 2015

Physica A: Statistical Mechanics and its Applications

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“…Tseng et al () conducted a series of experiments on a web‐based market platform to study the properties of real financial markets. In their work, three strategies were built: the ZI, ZIP and the Gjerstad–Dickhaut (GD) auction strategy.…”

Section: Related Workmentioning

confidence: 99%

“…This relies on the GD agents forming a belief and payoff function. Tseng et al () found that although the ZI strategy is the most naive, ZI agents are the best among the ZIP and GD strategies in terms of describing the stylized facts observed in real financial markets. Their study emphasized the importance of a continuously evolving dynamic trading strategy that implies features similar to that of the ZI model.…”

Section: Related Workmentioning

confidence: 99%

Exploring Trading Strategies and Their Effects in the Foreign Exchange Market

Aloud

Fasli

2016

Computational Intelligence

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One of the most critical issues that developers face in developing automatic systems or software agents for electronic markers is that of endowing the agents with appropriate trading strategies. In this paper, we examine the problem in the Foreign Exchange (FX) market and we use an agent-based FX market simulation to examine which trading strategies lead to market states in which the stylized facts (statistical properties) of the simulation match the stylised facts of the actual FX market transactions data. In particular, our goal is to explore the emergence of the stylized facts of the transactions data, when the simulated market is populated with agents using three different strategies: a variation of the zero-intelligence with a constraint (ZI-CV) strategy; the zero-intelligence directional-change event (ZI-DCT0) strategy; and a genetic programmingbased (GP) strategy. A series of experiments were conducted in an existing agent-based FX market with these three strategies and the results were compared against those of a high-frequency transactions dataset from the FX market. Our results show that the ZI-DCT0 agents best reproduce and explain the properties and phenomena observed in the FX market real transactions data. Our study suggests that the observed stylized facts of the FX market transactions data could be the result of introducing a threshold which triggers the agents to respond to fixed periodic patterns in the price time series. The results of this study can be used further to develop decision support systems and autonomous trading agent strategies for the FX market.

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“…An alternative is to use an agent-based approach. This has become a widely used tool in the area of complex systems [66,60,69,18,17,32,58]. For example, agent-based models have been used for modeling many types of cooperative behavior [31,56,14,11,24].…”

Section: Agent-based Modelsmentioning

confidence: 99%

Geographical influences of an emerging network of gang rivalries

Hegemann¹,

Smith²,

Barbaro³

et al. 2011

Physica A: Statistical Mechanics and its Applications

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We propose an agent-based model to simulate the creation of street gang rivalries. The movement dynamics of agents are coupled to an evolving network of gang rivalries, which is determined by previous interactions among agents in the system. Basic gang data, geographic information, and behavioral dynamics suggested by the criminology literature are integrated into the model. The major highways, rivers, and the locations of gangs' centers of activity influence the agents' motion. We use a policing division of the Los Angeles Police Department as a case study to test our model. We use common metrics from graph theory to analyze our model, comparing networks produced by our simulations and an instance of a Geographical Threshold Graph to the network existing in the criminology literature.

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Statistical properties of agent-based models in markets with continuous double auction mechanism

Cited by 25 publications

References 17 publications

Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant

Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant

Exploring Trading Strategies and Their Effects in the Foreign Exchange Market

Geographical influences of an emerging network of gang rivalries

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