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Simulating market clearance dynamics under a simple event calculus market model

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2 Author(s)
Masry, S. ; Centre for Comput. Finance & Economic Agents, Univ. of Essex, Colchester, UK ; Tsang, E.K.

Event Calculus is a new approach in defining and formalizing market mechanisms in a scientific way. The usage of formal logic reduces ambiguity and allows for accurate reasoning and studying of micro-behaviour. Using a simple event-calculus based market model, we simulate the clearance dynamics of a double-auction market. In this paper, we demonstrate the power of event calculus in defining and explaining step by step the consequences of placing an order into the market and the resulting market state transitions. Using the same logic, we show how market stability and risk can be assessed, by examining the potential effect of large orders on the market. The model used here is much simpler than the complex real market. However, this paper illustrates the high potentiality of a new approach like event-calculus in studying and formalizing complex market models.

Published in:

Computer Science and Electronic Engineering Conference (CEEC), 2011 3rd

Date of Conference:

13-14 July 2011

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