Publication

Abstract : The goal of agent-based modeling of stock markets is to enrich our understanding of fundamental processes that appear in a market. Artificial stock markets are models of financial markets used to study and understand market dynamics. Agent Based Artificial Stock Markets can be seen as any market model in which prices are formed endogenously as a result of participants’ interaction. There are various artificial stock markets in existence primarily for US and European markets. This study aims at assessing the suitability of existing agent based artificial stock market models for the Bombay Stock Exchange. We analyze few continuous session artificial stock market model, namely Continuous Time Asynchronous Model (CTAM),Electronic Market Maker (EMM) Model, Continuous Extended Glosten Milgrom Model (CEGM) and KapSyn. We analyze their features and design to enable us assess their suitability to depict the BSE based on a few important parameters. It appears that the elements of KapSyn would be most suitable for representing the BSE, after incorporating modifications to cater for the absence of market makers in BSE.