Research On Emergence Of Trading Mechanism In A Double Continuous Auction Artificial Financial Market Based On Agent

Agent-based artificial financial market research is a focus of the economic research.In this paper, based on systematic review of the literature of artificial financial market, itwas found that: most of the artificial financial market model were based on entirelyrational expected utility theory and ignored the bounded rationality of the traders; at thesame time, the field lacked a unified simulation system theory.According to the principle of the Agent-based computational economy called ACE,with the use of agents’ autonomy and reactivity characteristics, psychological factors havebeen put into agents’ behaviors to establish a continuous double auction artificial financialmarket simulation platform to study the emergence of trading mechanism.First, using object-oriented modeling method, an open and unified architecture ofagent-based simulation platform for artificial financial market was proposed. Then, theprospect theory was applied to the model of the behavioral strategies of the traders and anagent-based continuous double auction artificial financial market model was builtaccording to the ACE principle. Further, using AnyLogic modeling software tool, anagent-based continuous double auction artificial financial markets simulation platform wasdeveloped and implemented. Finally, simulation experiments of the continuous doubleauction artificial financial market were carried out at the simulation platform.The experimental results show that: The agent-based continuous double auctionartificial financial market model is reasonable and effective; Price limits curb the liquidityof financial markets, price limits are not a one-to-one correspondence to the volatility, therelaxation of price limits can increase the mobility of financial markets, but does notsignificantly affect the volatility of financial markets; When the tick size is reduced, thequoted spread decreases, the mobility of financial markets increases, and there does notexist a simple monotonic increase or decrease relationship between market depth and thetick size.