Computational Model Library

An Agent Based Model for implementing a double auction financial market (1.0.0)

The model implements a double auction financial markets with two types of agents: rational and noise. Rational agents submit orders maximizing their expected utility while noise traders act randomly just caring of their budget constraints. Rational agents are endowed with a linear or a convex payoff. An agent with a linear payoff is a trader investing her own wealth, while an agent with a linear payoff is a portfolio manager investing on behalf of others. The model aims to study the impact of different compensation structure on the market stability and market quantities as prices, volumes, spreads. The convex payoffs increase prices, volatility and spreads while decrease volumes, letting the market to be less liquid.

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Release Notes

Associated Publications

Fabretti, A., Garling, T., Herzel, S., Holmen, M., (2014). Con-
vex Incentives in Financial Markets: An Agent-Based Anal-
ysis. Available at SSRN: http://ssrn.com/abstract=2529902

An Agent Based Model for implementing a double auction financial market 1.0.0

Submitted by annalisafabretti Published Apr 14, 2016 Last modified Feb 23, 2018

The model implements a double auction financial markets with two types of agents: rational and noise. Rational agents submit orders maximizing their expected utility while noise traders act randomly just caring of their budget constraints. Rational agents are endowed with a linear or a convex payoff. An agent with a linear payoff is a trader investing her own wealth, while an agent with a linear payoff is a portfolio manager investing on behalf of others. The model aims to study the impact of different compensation structure on the market stability and market quantities as prices, volumes, spreads. The convex payoffs increase prices, volatility and spreads while decrease volumes, letting the market to be less liquid.

Cite this Model

Annalisa Fabretti (2016, April 14). “An Agent Based Model for implementing a double auction ?financial market” (Version 1.0.0). CoMSES Computational Model Library. Retrieved from: https://www.comses.net/codebases/4984/releases/1.0.0/

Associated Publication(s)

Fabretti, A., Garling, T., Herzel, S., Holmen, M., (2014). Con-
vex Incentives in Financial Markets: An Agent-Based Anal-
ysis. Available at SSRN: http://ssrn.com/abstract=2529902

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Contributors
Annalisa Fabretti
DOI
No assigned DOI
Model Version
1.0.0
License
AFL-3.0
Programming Language
Software Framework
MatLab
Operating System
Mac OS
Publish Date
Thursday, April 14, 2016
Last Updated
Friday, February 16, 2018
Downloads 462
Peer Review
Unreviewed
Version Submitter First published Last modified Status
1.0.0 annalisafabretti Thu Apr 14 14:38:43 2016 Fri Feb 16 19:57:31 2018 Published

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