An Agent-Based Finance Market Model with the Continuous Double Auction Mechanism

This paper uses the agent-based modelling approach to construct an artificial stock market with the continuous double auction mechanism. In this market, several psychological effects described in behavioral finance, such as Anchoring Effect, mental accounting and disposition effect, are introduced into the decision process of agent to illustrate the impact of agent's psychologic factors. Through the computational simulation, fat tail of the returns distribution and inefficiency of the market were shown in the experiment, implying that this model could be used to do further research about the emergence of market.