AN ANALYSIS OF EXISTING ARTIFICIAL STOCK MARKET MODELS FOR REPRESENTING BOMBAY STOCK EXCHANGE (BSE)

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.

Authors and Affiliations

PN Kumar , VP Mohandas

Keywords

Related Articles

Application of Neural Network in Analysis of Stock Market Prediction

Predicting the stock market is very difficult since it depends on several known and unknown factors. So many methods like Technical analysis, Fundamental analysis, Time series analysis and statistical analysis etc. are a...

An Incremental Sanitization Approach in Dynamic Databases

In most organizations the historical dataset is dynamic which means it is periodically updated with fresh data. In such an environment, when the counterpart organizations need to share their information for a decision ma...

CLUSTER HEAD LOAD BALANCE AND ACHIEVEMENT OF MAXIMUM LIFETIME BY ENERGY AWARENESS OF WSNs

Wireless sensor networks consist of hundreds to thousands of low power multi functioning sensor nodes. It operates in an unattended environment with limited computational and sensing capabilities. A wireless sensor netwo...

A REVIEW PAPER ON SMS TEXT TO PLAIN ENGLISH TRANSLATION(Text Normalization)

Mobile technology as well as social networking technology plays an important role in communication across internet. A large amount of information is found in noisy contexts as texting and chat lingo have become increasin...

Alternative System for Data Communication based on Organic Devices and Links for Local Area Network

Organic devices and links offer considerable potential for data communication by virtue of their ability to transmit, modulate and detect light in an architecture that is low cost, flexible, lightweight and robust. Here...

Download PDF file
  • EP ID EP130138
  • DOI -
  • Views 110
  • Downloads 0

How To Cite

PN Kumar, VP Mohandas (2011). AN ANALYSIS OF EXISTING ARTIFICIAL STOCK MARKET MODELS FOR REPRESENTING BOMBAY STOCK EXCHANGE (BSE). International Journal of Computer Science & Engineering Technology, 2(1), 20-27. https://europub.co.uk./articles/-A-130138