NDLI: Event Study Approach for Validating Agent-Based Trading Simulations

Content Provider	IEEE Xplore Digital Library
Author	Shih-Fen Cheng
Copyright Year	2010
Abstract	In this paper, we introduce how one can validate an event-centric trading simulation platform that is built with multi-agent technology. The issue of validation is extremely important for agent-based simulations, but unfortunately, so far there is no one universal method that would work in all domains. The primary contribution of this paper is a novel combination of event-centric simulation design and event study approach for market dynamics generation and validation. In our event-centric design, the simulation is progressed by announcing news events that affect market prices. Upon receiving these events, event-aware software agents would adjust their views on the market and act accordingly. Their actions would be based on their roles and also their private information, and collectively the market dynamics will be shaped. The generated market dynamics can then be validated by a variant of the event study approach. We demonstrate how the methodology works with several numerical experiments and conclude by highlighting the practical significance of such simulation platform.
Starting Page	465
Ending Page	469
File Size	165456
Page Count	5
File Format	PDF
ISBN	9781424484829
DOI	10.1109/WI-IAT.2010.212
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2010-08-31
Publisher Place	Canada
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Economics Analytical models Trading Simulation Biological system modeling Computational modeling Simulation Validation Humans Agent-based Computational Economy Numerical models Security
Content Type	Text
Resource Type	Article

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