An Improved Platform for Multi-Agent Based Stock Market Simulation in Distributed Environment

Ce YU  Xiang CHEN  Chunyu WANG  Hutong WU  Jizhou SUN  Yuelei LI  Xiaotao ZHANG  

Publication
IEICE TRANSACTIONS on Information and Systems   Vol.E98-D   No.10   pp.1727-1735
Publication Date: 2015/10/01
Online ISSN: 1745-1361
DOI: 10.1587/transinf.2015EDP7050
Type of Manuscript: PAPER
Category: Fundamentals of Information Systems
Keyword: 
distributed stock market simulation,  agent-based modeling,  round scheduling,  distributed,  

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Summary: 
Multi-agent based simulation has been widely used in behavior finance, and several single-processed simulation platforms with Agent-Based Modeling (ABM) have been proposed. However, traditional simulations of stock markets on single processed computers are limited by the computing capability since financial researchers need larger and larger number of agents and more and more rounds to evolve agents' intelligence and get more efficient data. This paper introduces a distributed multi-agent simulation platform, named PSSPAM, for stock market simulation focusing on large scale of parallel agents, communication system and simulation scheduling. A logical architecture for distributed artificial stock market simulation is proposed, containing four loosely coupled modules: agent module, market module, communication system and user interface. With the customizable trading strategies inside, agents are deployed to multiple computing nodes. Agents exchange messages with each other and with the market based on a customizable network topology through a uniform communication system. With a large number of agent threads, the round scheduling strategy is used during the simulation, and a worker pool is applied in the market module. Financial researchers can design their own financial models and run the simulation through the user interface, without caring about the complexity of parallelization and related problems. Two groups of experiments are conducted, one with internal communication between agents and the other without communication between agents, to verify PSSPAM to be compatible with the data from Euronext-NYSE. And the platform shows fair scalability and performance under different parallelism configurations.