Realistic simulation of financial markets: analyzing market behaviors by the third mode of science
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This book is a self-contained account of the origins, principles, hopes, and applications of an artificial financial market framework called U-mart, developed and used over 15 years by interdisciplinary groups, mostly in Japan. From the start, this work places itself in the broader “third mode of science”, i.e., agent-based simulations (ABS) or agent-based computation economics (ABCE). Financial markets are regarded as an ideal exploration ground of economical systems, if only because they remove the need to consider spatial interactions and spatial trajectories of agents.
Thus providing a flexible framework of financial market simulations and experiments is an excellent idea. The U-mart framework, in essence, encodes a matching engine (think about an exchange) via a limit order book and ways for agents to interact with it (i.e. API and interfaces). While U-mart is not the only flexible market simulator (one may mention CentraleSupélec’s one https://github.com/fiquant/marketsimulator),...