This document discusses using multi-agent systems to model financial markets. It introduces financial markets and exchanges as well as different types of agent-based models that have been used, including zero-intelligence traders and cognitive or social agents. It also discusses stylized facts that are observable in real markets and how agent-based models can help explain these phenomena through massive simulations that account for market microstructure and the interactions between agents and information. The conclusion suggests that while microstructure is important for reproducing stylized facts, other factors are also likely at play.

1. Introduction
Multi-Agent Systems
Stylized Facts
Conclusion
MAS and Financial Markets
Pierre-Étienne Crépy
http://www.pierreetienne.crepy.fr/docs/SMABourse.pdf
April 10th, 2014
Pierre-Étienne Crépy MAS and Financial Markets

2. Introduction
Multi-Agent Systems
Stylized Facts
Conclusion
Financial markets
Markets of financial assets
Virtual market places
Automation
More transactions
Faster
Everywhere
Different kind of markets (Euronext, NASDAQ, ...)
Pierre-Étienne Crépy MAS and Financial Markets

3. Introduction
Multi-Agent Systems
Stylized Facts
Conclusion
Agents models
Markets models
Bottom-Up or Top-Down approach ?
Zero Intelligence Trader
Cognitive agents
Social agents
Pierre-Étienne Crépy MAS and Financial Markets

4. Introduction
Multi-Agent Systems
Stylized Facts
Conclusion
Agents models
Markets models
Three parts of the market
Micro-structure
Agents
Information
From the market
From the world
Pierre-Étienne Crépy MAS and Financial Markets

5. Introduction
Multi-Agent Systems
Stylized Facts
Conclusion
Agents models
Markets models
Figure: Architecture of Artificial Financial Market
Pierre-Étienne Crépy MAS and Financial Markets

6. Introduction
Multi-Agent Systems
Stylized Facts
Conclusion
Definition
Exemple
All the statistics facts observable on the market
Those facts are well known
But still ununderstandable
MAS could help us to give some explanations
Simulation can reproduce stylized facts
Pierre-Étienne Crépy MAS and Financial Markets

7. Introduction
Multi-Agent Systems
Stylized Facts
Conclusion
Definition
Exemple
Pierre-Étienne Crépy MAS and Financial Markets

8. Introduction
Multi-Agent Systems
Stylized Facts
Conclusion
Importance of micro-structure for the stylized facts
But it’s certainly not the only point
Great perspectives with massive simulation
Pierre-Étienne Crépy MAS and Financial Markets

9. Introduction
Multi-Agent Systems
Stylized Facts
Conclusion
References I
Ghoulmie, F. ; Rama, R.C. and Nadal, J.-P.
Heterogeneity and feedback in an agent-based market model.
Journal of physics, 1996.
Bak, P. ; Paczuski, M. and Shubik, M.
Price variations in a stock market with many agents, 1996.
Derveeuw, J.
Simulation multi-agents de marchés financiers, 2008.
Derveeuw, J. ; Beaufils, B ; Brandouy, O. and Mathieu, P.
L’apport des SMA à la modélisation des marchés financiers,
2007.
Pierre-Étienne Crépy MAS and Financial Markets

10. Introduction
Multi-Agent Systems
Stylized Facts
Conclusion
References II
Brandouy, O. and Mathieu, P.
Marchés financiers artificiels.
Pour la Science, jul. 2006, p.98.
Arthur, B.
Inductive reasoning and bounded rationality : the El Farol
problem, 1994.
Pierre-Étienne Crépy MAS and Financial Markets