Building a Multi-Agent Artificial Stock Market

Chicago Trading Company Mathematics, 2008-09

Liaison(s): Lewis Biscamp, Nader Varjavand, Long Hei
Advisor(s): Donald Williams
Students(s): Rishad Manekia (PM), Edwin Lei, Kevin Oelze, Jane Pan

We design and build a multi-agent multi-asset stock market simulator using an object-oriented software development paradigm. The simulator employs a software driven market mechanism, which handles transactions for instantiated agents based on market and limit orders for multiple correlated assets. Using evolving trading strategies within the simulator, we establish a behavioral model for decision analytics that facilitates statistical inferencing and insight into the dynamics of financial markets and the agents operating therein.