This chapter surveys research on agent-based models used in finance. It will concentrate on
models where the use of computational tools is critical for the process of crafting models …

Market makers play an important role in providing liquidity to markets by continuously
quoting prices at which they are willing to buy and sell, and managing inventory risk. In this …

This pioneering book describes the applications of agent-based modeling to financial
markets. It presents a new paradigm for finance, where markets are treated as complex …

We investigate the effects of market making on market performance, focusing on allocative
efficiency as well as gains from trade accrued by background traders. We employ empirical …

This paper develops a model of a learning market-maker by extending the Glosten–Milgrom
model of dealer markets. The market-maker tracks the changing true value of a stock in …

We study the profit-maximization problem of a monopolistic market-maker who sets two-
sided prices in an asset market. The sequential decision problem is hard to solve because …

This paper studies market-makers, agents responsible for maintaining liquidity and orderly
price transitions in markets. Market-makers include major firms making markets on global …

We study a game between liquidity provider (LP) and liquidity taker agents interacting in an
over‐the‐counter market, for which the typical example is foreign exchange. We show how a …

This thesis describes and evaluates a market-making algorithm for setting prices in financial
markets with asymmetric information, and analyzes the properties of artificial markets in …

Page 1 Michael Heun Finanzmarktsimulation mit Multiagentensystemen Entwicklung eines
methodischen Frameworks DUV GABLER EDITION WISSENSCHAFT Page 2 Page 3 Michael …