Key Points for Realistic Agent-based Financial Market Simulations

The purpose of this paper is to define software engineering abstractions that provide a generic framework for stock market simulations. We demonstrate a series of key points and principles that has governed the development of an Agent-Based financial market in the form of an API. The simulator architecture is presented. During artificial market construction we have faced the whole variety of agent-based modeling issues and solved them : local interaction, distributed knowledge and resources, heterogeneous environments, agents autonomy, artificial intelligence, speech acts, discrete scheduling and simulation. Our study demonstrates that the choices made for agent-based modeling in this context deeply impact the resulting market dynamics and proposes a series of advances regarding the main limits the existing platforms actually meet.