DocumentCode
3023521
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
Volume
4
fYear
2009
fDate
7-8 Nov. 2009
Firstpage
175
Lastpage
178
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/AICI.2009.180
Filename
5376394
Link To Document