Simulazione della microstruttura di un mercato finanziario di tipo “order driven” con ottimizzazione di portafoglio

Progetto: Research project

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Description

In this project we will explore the interactions between different markets microstructure models and the behavioural assumptions of artificial heterogenous agents. The motivation to adopt a simulation environment to study such topics is concealed in the high complexity of the financial markets. Many authors have pointed out that a blend of analytical models and simulation analysis can shed light on most of the puzzles "echoing" in the financial literature. We are interested in analysing the data series yielded by the market simulator in order to test their adherence to observed stylized facts. For this matter we need to select a set of tests which will deem an artificial market as reliable to represent a real financial one. We will also investigate the behaviour of the agent-based markets in critical situations, such as, crashes and bubbles. The latter will be a distinguished aspect of our research since financial institutions are compelled to test their portfolios using stress scenarios, and artificial markets could be the environment to set up controlled experiments. The approach we propose is a multidisciplinary one, where researchers from the cognitive sciences can contribute to shape the mathematical models used by the economists to explain observed phenomena, and computer scientist, trough efficient simulation tools, can provide a substantial help when the class of mathematics is too restrictive for the complexity of the real problems. However, we believe that a robust and meaningful simulation environment must be accompanied by a common language among the researchers of different fields. For this reason we will develop an open-source simulation framework which can be easily used and distributed, and whose aim is to disseminate information in the scientific community and attract practioner of the financial field.
StatoFinito
Data di inizio/fine effettiva11/30/0411/30/06

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