The agent-based simulation of inventory-based model's impact on market maker trading mechanism

摘要

This paper combines market-maker's inventory-based model and information-based model, using multi-agent technology to construct a group of informed traders, insiders and a market-maker, with market microstructure theory to build an artificially financial market under market-maker trading mechanism. By comparing different situations under which market-maker holds different initial stock positions, this paper researches the relationship between stock inventory value and unit cost, market-maker's decision-making behavior affected by unit cost, and market-maker's profit affected by inventory-based model. Experience results not only present inventory value increases in response to increasing the unit cost and decreasing the market-maker's profit but also present market-maker who has ability to learn has an optimal stock position.