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different trading objectives. The agents directly initialize transactions. Bank compo-
nent represents all intermediaries, that maintain information exchange between buyers
and sellers. At the same time, Bank can be considered as the special type of buyer
or seller, that has unlimited wealth, hence take active part in stock trading. We pro-
pose to consider Bank as trading and intermediary agent. Artificial Economic World
provides external information about perspective corporates development, dividends and
coupons changes, tax police modification. This information influences agent decisions.
Artificial market architecture (system elements and interaction between them) is pre-
sented on the Figure 2. Thanks to its high modularity and its ability to mimic real-world
Fig. 2. Market organizations and interactions
environments, it can also serve as a research tool in Portfolio Management, Algorithmic
Trading or Risk Management among others.
It is hardly possible to describe the complex algorithmic structures that are necessary
for the realization of such multi-agent platforms; therefore we have chosen to introduce
three of difficulties one must face while developing an ASM: i) the management of
orders' ID, ii) the scheduling system, and iii) the introduction of a human-being in the
simulation loop (here-after ”human-in-the-loop” problem).
3.2
A Unique Identity for Orders
In its simplest form, an order is a triplet of direction (purchase or sale), a quantity and
a price. Usually this type of order is called a ”Limit Order” . In the Euronext-NYSE sys-
tem, several other orders are used (see ”EURONEXT” Rule Book at http://www.euronext.
com). Once constructed by an agent, the order is sent to the order-book. It is then ranked
in the corresponding auction-queue (”Bid” or ”Ask” if it is an order to ”Buy”, respec-
tively to ”Sell”) where are stacked the other pending orders using a ”price-then-time”
priority rule. As soon as two pending orders can be matched, they are processed as a
”deal”, which delivers a new price. Notice that the clearing mechanism implies that
cash is transferred from the buyer to the seller and stocks from the seller to the buyer.
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