NDLI: The agent-based simulation of inventory-based model's impact on market maker trading mechanism

Content Provider	IEEE Xplore Digital Library
Author	Yi Wang Hongtao Zhou Wei Zeng
Copyright Year	2011
Description	Author affiliation: Department of Control science and technology. Hua Zhong University of science and technology, Wuhan, China (Yi Wang; Hongtao Zhou; Wei Zeng)
Abstract	This paper combines market-maker's inventory-based model and information-based model, using multi-agent technology to construct a group of informed traders, insiders and a market-maker, with market microstructure theory to build an artificially financial market under market-maker trading mechanism. By comparing different situations under which market-maker holds different initial stock positions, this paper researches the relationship between stock inventory value and unit cost, market-maker's decision-making behavior affected by unit cost, and market-maker's profit affected by inventory-based model. Experience results not only present inventory value increases in response to increasing the unit cost and decreasing the market-maker's profit but also present market-maker who has ability to learn has an optimal stock position.
Starting Page	601
Ending Page	604
File Size	487353
Page Count	4
File Format	PDF
ISBN	9781612843742
e-ISBN	9781612843759
DOI	10.1109/IWACI.2011.6160079
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2011-10-19
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Learning Economics Analytical models Computational modeling Amplitude shift keying Decision making Educational institutions
Content Type	Text
Resource Type	Article

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
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3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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