The following papers are both computational, and involve large groups of autonomous agents trading in a simulated financial market.

References

[1]

J. Arifovic. The behavior of the exchange rate in the genetic algorithm and experimental economies. Journal of Political Economy, 104:510-541, 1996.

[2]

W. B. Arthur, J. Holland, B. LeBaron, R. Palmer, and P. Tayler. Asset pricing under endogenous expectations in an artificial stock market. In W. B. Arthur, S. Durlauf, and D. Lane, editors, The Economy as an Evolving Complex System II, pages 15-44. Addison-Wesley, Reading, MA, 1997.

[3]

A. Beltratti, S. Margarita, and P. Terna. Neural Networks for economic and financial modeling. International Thomson Computer Press, London, UK, 1996.

[4]

R. Chakrabarti and R. Roll. Learning from others, reacting and market quality. Journal of Financial Markets, 2:153-178, 1999.

[5]

S. H. Chen and C. H. Yeh. Evolving traders and the business school with genetic programming: A new architecture for the agent-based artificial stock market. Technical report, Department of Economics, National Chengchi University, Taipei, Taiwan, 1999.

[6]

M. de la Maza and Deniz Yuret. A model of stock market participants. In J. Biethahn and V. Nissen, editors, Evolutionary Algorithms in Management Applications, pages 290-304. Springer Verlag, Heidelberg, 1995.

[7]

J. D. Farmer. Market force ecology and evolution. Technical report, Santa Fe Institute, Santa Fe, NM, 1998.

[8]

S. Joshi, J. Parker, and M. A. Bedau. Financial markets can be at sub-optimal equilibria. Technical Report 99-03-023, Santa Fe Institute, Santa Fe, NM, 1999.

[9]

B. LeBaron, W. B. Arthur, and R. Palmer. Time series properties of an artificial stock market. Journal of Economic Dynamics and Control, 23:1487-1516, 1999.

[10]

M. Lettau. Explaining the facts with adaptive agents: The case of mutual fund flows. Journal of Economic Dynamics and Control, 21:1117-1148, 1997.

[11]

T. Lux. Time variation of second moments from a noise trader/infection model. Journal of Economic Dynamics and Control, 22:1-38, 1997.

[12]

T. Lux. The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions. Journal of Economic Behavior and Organization, 33:143-165, 1998.

[13]

T. Lux and M. Marchesi. Scaling and criticality in a stochastic mult-agent model of a financial market. Nature, 397:493-500, 1999.

[14]

Luigi Marengo and Helene Tordjman. Speculation, heterogeneity, and learning: A model of exchange rate dynamics. Technical Report WP-95-17, International Institute for Applied Systems Analysis, Vienna, Austria, 1995.

[15]

S. Margarita and A. Beltratti. Stock prices and volume in an artificial adaptive stock market. In New trends in Neural Computation: International Workshop on Artificial Networks, pages 714-719. Springer-Verlag, Berlin, 1993.

[16]

R. Palmer, W. B. Arthur, J. H. Holland, B. LeBaron, and P. Taylor. Artificial economic life: A simple model of a stock market. Physica D, 75:264-274, 1994.

[17]

Christian Rieck. Evolutionary simulation of asset trading strategies. In E. Hillebrand and J. Stender, editors, Many-Agent Simulation and Artificial Life. IOS Press, 1994.

[18]

B. R. Routledge. Adaptive learning in financial markets. Review of Financial Studies, 12:1165-1202, 1999.

[19]

Bryan R. Routledge. Artificial selection: Genetic algorithms and learning in a rational expectations model. Technical report, GSIA, Carnegie Mellon, Pittsburgh, Penn., 1994.

[20]

K. Steiglitz, M. L. Honig, and L. M. Cohen. A computational market model based on individual action. In S. H. Clearwater, editor, Market-Based Control: A paradigm for distributed resource allocation, pages 1-27. World Scientific, New Jersey, 1996.

[21]

N. S. P. Tay and S. C. Linn. Fuzzy inductive reasoning, expectation formation, and the behavior of security prices. Technical report, University of Oklahoma, Norman, OK, 1999.

[22]

P. Tayler. Modelling artificial stock markets using genetic algorithms. In S. Goonatilake and P. Treleaven, editors, Intelligent Systems for Finance and Business, pages 271-287. Wiley, New York, NY, 1995.

[23]

M. Youssefmir and B. A. Huberman. Clustered volatility in multiagent dynamics. Journal of Economic Behavior and Organization, 32:101-118, 1997.