A comparison of U.S and Chinese financial market microstructure: heterogeneous agent-based multi-asset artificial stock markets approach
Authored by Li Wang, Haijun Yang, Harry Jiannan Wang, Gui Ping Sun
Date Published: 2015
DOI: 10.1007/s00191-015-0424-6
Sponsors:
Chinese National Natural Science Foundation
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Model Documentation:
UML
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Abstract
The market microstructure literatures study how the traders work in the
financial market. In this paper, we propose a novel heterogeneous
agent-based multi-asset artificial stock market based on Santa Fe
Artificial Stock Market (SFI-ASM) to compare the financial market
microstructure between U.S. and China. We first develop a set of new
parameters for the single stock market simulation to improve the way
that agents monitor the market and choose different strategies, which
make our model closer to the real financial market. Secondly, we
construct a multiple assets financial market by incorporating two new
types of agents, namely, zero-intelligence agents and less-intelligence
agents, and conduct simulations for different evolution speeds, strategies, and intelligence levels to achieve the optimal models of
Chinese and U.S. financial markets before and after the financial
crisis. Based on the simulation results, we present a comprehensive
analysis of the market microstructure for the two financial markets.
Tags
behavior