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

Merge Technique for Automated Reconstruction of Large Image

This paper present an automated reconstruction high level architectural specification of image merging for satellite image capturing system, aiming at implementing a real-time satellite image processing system for mergin...

MRI Brain Image Enhancement Using Filtering Techniques

Magnetic Resonance Image is one of the best technologies currently being used for diagnosing brain cancer at advanced stages. This paper proposes a novel approach for the MRI image enhancement, which is based on the Modi...

PERIODICITY DETECTION ALGORITHMS IN TIME SERIES DATABASES-A SURVEY

Periodicity mining is used for predicting different applications such as prediction,forcasting etc.It has several application in Timeseries databases.Several algorithms are present for detecting the periodicity.But most...

Modified Reliable Energy Aware Routing Protocol For Wireless Sensor Network

In this paper, a novel reliable energy aware routing protocol is proposed, which is based on reliability and energy efficiency. Since in the wireless environment, link quality is difficult to guarantee, the reliable rout...

Semiconductor Optical Amplifiers (SOA) Performance Optimization in Optical Communication System

The work has been focused on the XOR, AND, OR logic gate implementation, since it is a very versatile approach for implementing many functions in optical networks. The development and study of a novel architecture based...

Download PDF file
  • EP ID EP130138
  • DOI -
  • Views 111
  • 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