PT  - JOURNAL ARTICLE
AU  - Bruce I. Jacobs
AU  - Kenneth N. Levy
AU  - Harry M. Markowitz
TI  - Financial Market Simulation
AID  - 10.3905/jpm.2004.442640
DP  - 2004 Aug 31
TA  - The Journal of Portfolio Management
PG  - 142--152
VI  - 30
IP  - 5
4099  - https://pm-research.com/content/30/5/142.short
4100  - https://pm-research.com/content/30/5/142.full
AB  - When they want to see how complex systems work, scientists often turn to asynchronous-time simulation models, which allow processes to change sporadically over time, typically at irregular intervals. While rarely used in finance today, such models may turn out to be valuable tools for understanding how markets respond to changes in the participation rates of different types of investors, for example, or to changes in regulatory or investment policies. The asynchronous, discrete-event, stock market simulator described here allows users to create a model of the market, using their own inputs. Users can vary the numbers of investors, traders, portfolio analysts, and securities, as well as their own investing and trading decision rules. Such a simulation may be able to provide a more realistic picture of complex markets.