Artificial stock market simulation based on agent

摘要

Empirical facts from financial data pose some of the most difficult puzzles for equilibrium macroeconomic modeling. Features such as wealth aggregation and market efficiency are not easily replicated by any single representative agent model. Most agent-based financial markets are able to match a good subset of these features quite easily. In this paper,a heterogeneous agent-based artificial stock market will be presented under the frame of SFI-ASM,which will be helpful to understand the puzzles in real financial markets.