Financial Market Simulation

摘要

When they want to see how complex systems work, scientists often turn to asynchronous-time simulation models, in which processes change sporadically, typically at irregular intervals, over time. Such models are rarely used in finance now, but they may prove valuable tools for understanding how markets respond to changes in the participation rates of different types of investors, for example, or to changes in regulatory or investment policies. The authors describe asynchronous simulation generally, and illustrate its capabilities in terms of an asynchronous, discrete-event stock market simulator that they developed. The JLM Market Simulator allows its users to create a model of the market, using their own inputs. JLM Sim users can vary the number of investors, traders, portfolio analysts, statisticians, and securities, as well as the decisions rules used in investing and trading. Compared with most models used today, such a simulation may be able to provide a more realistic picture of complex markets.