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A Family of Financial Market Models
George Mason University CSS 739 under direction of Dr. Robert Axtell
Overall status:
We have a framework with several financial market models implementations (see paper with overview here). The framework allows for multiple assets and mixing of agents using different behavioral logics. You can download the jar file here and associated property files here. See RunGuide for further info.
The current version includes following graphs:
- Bid and ask price history (up to last 10000 observations);
- Return and absolute return history (up to last 10000 observations);
- Trading volume history (up to last 10000 observations);
- Graph of the autocorrelation of both returns and absolute returns (1 to 200 lags);
- Trailing average volatility (absolute returns) (up to last 10000 observations, over 365 steps)
- Frequency of returns;
- Distribution of order book limit orders (if applicable);
Graphs are computationally expensive and are updated only when visible. Best practice is to run the model a while, then pause, 'Show' the graph you're interested in (from the Displays panel), and step the model once. Use 'Hide All' to dismiss them again -- closing the windows using the 'X' will render the graphs irretrievable.
Documentation
- How to run model: RunGuide;
- Details of OrderBook specification and implementation;
- Specification for GenericPlayer and LimitOrder;
- Document with Cont equivalent STATA graphs for SP500; Excel file with S&P 500 data: 1950-2008
- Data Summary Document with Cont equivalent STATA graphs for SP500 Daily Quotes, IBM Per Transaction Quotes, and Simulation (Farmer and Cont models) Quotes
- Data Analysis Slides: comparison between SP500, IBM and "Mason"
- All datasets have been uploaded FTP server to: wean.css.gmu.edu
