A Generic Architecture for Realistic Simulations of Complex Financial Dynamics

Artificial Stock Markets (here after ASM) have received an increasing amount of academic interest since the seminal works of [20] or [17]. Such platforms have benefitted from advances and new methods developed in the field of multi agentsystems (see for example [10], [14] and [27]). These Agent-Based virtual environments are particularly useful to study various aspects of the financial world in an entirely controlled environment, opening new perspectives for policy makers, regulatory institutions and firms developing business solutions in the financial industry (for example asset management or trading). There is little doubt ASM could become a key system in the post financial crisis risk-management toolbox to overcome the weaknesses of traditional approaches. Agents-based modeling and simulation offer frameworks to study the impact of a Tobin’s tax for example, or to develop new stress tests for assessing financial resilience to economic shocks or to develop new automatic trading techniques.