On the Design of Artificial Stock Markets

Artificial stock markets are designed with the aim to study and understand market dynamicsby representing (part of) real stock markets. Since there is a large variety of realstock markets with several partially observable elements and hidden processes, artificialmarkets differ regarding their structure and implementation. In this paper we analyze towhat degree current artificial stock markets reflect the workings of real stock markets. Inorder to conduct this analysis we set up a list of factors which influence market dynamicsand are as a consequence important to consider for designing market models. We differentiatetwo categories of factors: general, well-defined aspects that characterize the organizationof a market and hidden aspects that characterize the functioning of the markets and thebehaviour of the traders.agent-based computational economics;financial markets;market microstructure;artificial stock markets;uncertainty modeling