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Journal of Evolutionary Economics

, Volume 25, Issue 5, pp 901–924 | Cite as

A comparison of U.S and Chinese financial market microstructure: heterogeneous agent-based multi-asset artificial stock markets approach

  • Haijun YangEmail author
  • Harry Jiannan Wang
  • Gui Ping Sun
  • Li Wang
Regular Article

Abstract

The market microstructure literatures study how the traders work in the financial market. In this paper, we propose a novel heterogeneous agent-based multi-asset artificial stock market based on Santa Fe Artificial Stock Market (SFI-ASM) to compare the financial market microstructure between U.S. and China. We first develop a set of new parameters for the single stock market simulation to improve the way that agents monitor the market and choose different strategies, which make our model closer to the real financial market. Secondly, we construct a multiple assets financial market by incorporating two new types of agents, namely, zero-intelligence agents and less-intelligence agents, and conduct simulations for different evolution speeds, strategies, and intelligence levels to achieve the optimal models of Chinese and U.S. financial markets before and after the financial crisis. Based on the simulation results, we present a comprehensive analysis of the market microstructure for the two financial markets.

Keywords

Heterogeneous agent Agent-based model Multi-asset artificial stock market Microstructure 

JEL Classification

C6 D8  G1 

Notes

Acknowledgments

We would like to thank those anonymous reviewers who gave us much valuable advice to revise this manuscript. This work was supported in part by the National Natural Science Foundation of China under grants 71171010.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2015

Authors and Affiliations

  • Haijun Yang
    • 1
    Email author
  • Harry Jiannan Wang
    • 2
  • Gui Ping Sun
    • 1
  • Li Wang
    • 1
  1. 1.School of Economics and ManagementBeihang UniversityBeijingChina
  2. 2.Alfred Lerner College of Business and EconomicsUniversity of DelawareNewarkUSA

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