{"id":{"repo_id":"mit","oai_identifier":"oai:dspace.mit.edu:1721.1/8924"},"canonical_url":"https://search.dev.ndltd.org/etd/mit/oai:dspace.mit.edu:1721.1/8924","repository":{"repo_id":"mit","name":"MIT","base_url":"https://dspace.mit.edu/oai/request"},"display":{"title":"Artificial markets and intelligent agents","abstract":"In many studies of market microstructure, theoretical analysis quickly becomes in tractable for all but the simplest stylized models. This thesis considers two alternative approaches, namely, the use of experiments with human subjects and simulations with intelligent agents, to address some of the limitations of theoretical modeling. The thesis aims to study the design, development and characterization of artificial markets as well as the behaviors and strategies of intelligent trading and market making agents. Simulations and experiments are conducted to study information aggregation and dissemination in a market. A number of features of the market dynamics are examined: the price efficiency of the market, the speed at which prices converge to the rational expectations equilibrium price, and the learning dynamics of traders who possess diverse information or preferences.","abstract_html":"In many studies of market microstructure, theoretical analysis quickly becomes in tractable for all but the simplest stylized models. This thesis considers two alternative approaches, namely, the use of experiments with human subjects and simulations with intelligent agents, to address some of the limitations of theoretical modeling. The thesis aims to study the design, development and characterization of artificial markets as well as the behaviors and strategies of intelligent trading and market making agents. Simulations and experiments are conducted to study information aggregation and dissemination in a market. A number of features of the market dynamics are examined: the price efficiency of the market, the speed at which prices converge to the rational expectations equilibrium price, and the learning dynamics of traders who possess diverse information or preferences.","abstract_has_math":false,"creators":["Chan, Tung, 1972-"],"institution":"Massachusetts Institute of Technology","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":"Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science.","school":null,"contributors":[],"advisors":["Tomaso Poggio."],"committee_chairs":[],"committee_members":[],"year":2001,"date_issued":"2001","date_published":"2001","updated_at":"2026-07-22T22:21:11Z","subjects":["Electrical Engineering and Computer Science."],"languages":["eng"],"rights":["M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission."],"rights_urls":["http://dspace.mit.edu/handle/1721.1/7582"],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/1721.1/8924","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Tomaso Poggio."]},{"key":"dc:contributor.department","label":"Department","values":["Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science."]},{"key":"dc:contributor.other","label":"Dc Contributor Other","values":["Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science."]},{"key":"dc:creator","label":"Author","values":["Chan, Tung, 1972-"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2005-08-23T16:24:14Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2005-08-23T16:24:14Z"]},{"key":"dc:date.issued","label":"Date","values":["2001"]},{"key":"dc:publisher","label":"Institution","values":["Massachusetts Institute of Technology"]},{"key":"dc:type","label":"Dc Type","values":["Thesis"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Electrical Engineering and Computer Science."]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission."]},{"key":"dc:rights.uri","label":"Rights URI","values":["http://dspace.mit.edu/handle/1721.1/7582"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/1721.1/8924"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2001.","Includes bibliographical references (p. 173-178)."]},{"key":"dc:description.abstract","label":"Abstract","values":["In many studies of market microstructure, theoretical analysis quickly becomes in tractable for all but the simplest stylized models. This thesis considers two alternative approaches, namely, the use of experiments with human subjects and simulations with intelligent agents, to address some of the limitations of theoretical modeling. The thesis aims to study the design, development and characterization of artificial markets as well as the behaviors and strategies of intelligent trading and market making agents. Simulations and experiments are conducted to study information aggregation and dissemination in a market. A number of features of the market dynamics are examined: the price efficiency of the market, the speed at which prices converge to the rational expectations equilibrium price, and the learning dynamics of traders who possess diverse information or preferences.","(cont.) By constructing simple intelligent agents, not only am I able to replicate several findings of human-based experiments, but I also find intriguing differences between agent-based and human based experiments. The importance of liquidity in securities markets motivates considerable inter ests in studying the behaviors of market-makers. A rule-based market-maker, built in with multiple objectives, including maintaining a fair and orderly market, maximizing profit and minimizing inventory risk, is constructed and tested on historical transaction data. Following the same design, an adaptive market-maker is modeled in the framework of reinforcement learning. The agent is shown to be able to adapt its strategies to different noisy market environments."]},{"key":"dc:description.degree","label":"Dc Description Degree","values":["Ph.D."]},{"key":"dc:format.mimetype","label":"Dc Format Mimetype","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["Artificial markets and intelligent agents"]}]}],"canonical_facts":{"dc:contributor.advisor":["Tomaso Poggio."],"dc:contributor.department":["Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science."],"dc:contributor.other":["Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science."],"dc:creator":["Chan, Tung, 1972-"],"dc:date.accessioned":["2005-08-23T16:24:14Z"],"dc:date.available":["2005-08-23T16:24:14Z"],"dc:date.issued":["2001"],"dc:description":["Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2001.","Includes bibliographical references (p. 173-178)."],"dc:description.abstract":["In many studies of market microstructure, theoretical analysis quickly becomes in tractable for all but the simplest stylized models. This thesis considers two alternative approaches, namely, the use of experiments with human subjects and simulations with intelligent agents, to address some of the limitations of theoretical modeling. The thesis aims to study the design, development and characterization of artificial markets as well as the behaviors and strategies of intelligent trading and market making agents. Simulations and experiments are conducted to study information aggregation and dissemination in a market. A number of features of the market dynamics are examined: the price efficiency of the market, the speed at which prices converge to the rational expectations equilibrium price, and the learning dynamics of traders who possess diverse information or preferences.","(cont.) By constructing simple intelligent agents, not only am I able to replicate several findings of human-based experiments, but I also find intriguing differences between agent-based and human based experiments. The importance of liquidity in securities markets motivates considerable inter ests in studying the behaviors of market-makers. A rule-based market-maker, built in with multiple objectives, including maintaining a fair and orderly market, maximizing profit and minimizing inventory risk, is constructed and tested on historical transaction data. Following the same design, an adaptive market-maker is modeled in the framework of reinforcement learning. The agent is shown to be able to adapt its strategies to different noisy market environments."],"dc:description.degree":["Ph.D."],"dc:format.mimetype":["application/pdf"],"dc:identifier.uri":["http://hdl.handle.net/1721.1/8924"],"dc:language.iso":["eng"],"dc:publisher":["Massachusetts Institute of Technology"],"dc:rights":["M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission."],"dc:rights.uri":["http://dspace.mit.edu/handle/1721.1/7582"],"dc:subject":["Electrical Engineering and Computer Science."],"dc:title":["Artificial markets and intelligent agents"],"dc:type":["Thesis"]},"updated_at":"2026-07-22T22:21:11Z"}