Title :
An Agent-Based Simulation Model of Options Market
Author :
Jie, Zhang ; Jing, Cui ; Dongsheng, Zhai ; Quan, Zhang
Author_Institution :
Dept. of Manage. Sci. & Eng., Beijing Univ. of Technol., Beijing, China
Abstract :
This paper conducts a comprehensive, systematic exposition about the options market, introduces the basic knowledge of continuous double auction mechanism, then discusses agents´ trading strategies that based on Zero-Intelligence-Plus algorithms, and simulate the options trading process by using the Swarm platform. After modeling and simulation, we find that the experimental results are in consistent with the actual market.
Keywords :
electronic commerce; electronic trading; software agents; agent-based simulation model; agents trading strategy; continuous double auction mechanism; options market; options trading process; swarm platform; zero-intelligence-plus algorithms; Artificial intelligence; Computational intelligence; Agent; Options market; Simulation model;
Conference_Titel :
Artificial Intelligence and Computational Intelligence, 2009. AICI '09. International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-3835-8
Electronic_ISBN :
978-0-7695-3816-7
DOI :
10.1109/AICI.2009.180
