Evology: an Empirically-Calibrated Market Ecology Agent-Based Model for Trading Strategy Search

Aymeric Vie, Maarten Peter Scholl, Doyne James Farmer

Keywords: Agent-Based Model, Market Ecology, Trading Strategy Search

Abstract: Market ecology views financial markets as ecosystems of diverse, interacting and evolving trading strategies. We present a heterogeneous, empirically calibrated multi-agent market ecology agent-based model. We outline its potential as a valuable and challenging training ground for optimising trading strategies using machine learning algorithms and defining research tasks.