stock-market-simulation

In this model we use Repast framework to simulate the stock market prices using Brownian motion. We make agents trade call options using Black-Scholes formula with unknown volatility and we compare the resulting option market prices with the Black-Scholes model. For the first 50 days of the simulation only the stock market operates. Starting from day 1, agents calculate every day the historical volatility looking at the past stock market data for a length of patience days. Then, they multiply the historical volatility by judgment an they update the maximum and minimum volatility estimations. Then, using this band of volatilities in Black-Scholes formula with a user defined maturity (0.25 to 1.25), drift and interest rate, they produce the range of prices in which they are willing to trade call options. If the maximum bid offer is not less than the minimum ask offer, trading

LAAMI
repast.simphony.core_2.0.1
bin
repast
simphony
query
space
graph
repast.simphony.batch_2.0.1
repast.simphony.runtime_2.0.1
.hg
store
data
src
_l_a_a_m_i
_option_market.java.i
installer
one-run-at-a-time files
start_model.bat
repast.simphony.bin_and_src_2.0.1
META-INF
MANIFEST.MF
lib
ssj
Blas.jar
output
pjp_0.1_0.5.txt~
docs
index.html~
LAAMI.rs
repast.simphony.action.data_set_1.xml
batch
0.1_0.1.xml~
launchers
LAAMI Model.launch
gnuplot
gp1.plt~
.project
.classpath
model_description.txt
batch.exe~
results.txt~
model_description.txt~
batchMode3.exe~
batchMode.exe~
Repast.settings~
stats.py~
velocity.log
Repast.settings
batch.sh
batchMode (αντίγραφο).exe~
r~
batch.sh~
repast.simphony.core_2.0.1
plugin_jpf.xml
plugin.properties
bin
repast
simphony
query
ASTWithin.class
ASTWithinVN.class
QueryParser$LookaheadSuccess.class
ASTWithinMoore.class
IBooleanExpression.class
Token.class
Node.class
NotBooleanExpression.class
NamedWithinBooleanExpression.class
ASTLinkedFrom.class
BooleanExpressionCreator.class
NamedWithinMooreBooleanExpression.class
QueryParserConstants.class
AndBooleanExpression.class
WithinVNBooleanExpression.class
query.jjt
NamedWithinVNBooleanExpression.class
ASTNot.class
ASTLinked.class
JJTQueryParserState.class
ASTColocated.class
BooleanExpressionBuilder.class
QueryParser.class
ParseException.class
WithinMooreBooleanExpression.class
ASTName.class
ASTStart.class
NamedLinkedToBooleanExpression.class
WithinBooleanExpression.class
NamedLinkedFromBooleanExpression.class
QueryParserTokenManager.class
QueryParser$JJCalls.class
ASTNumber.class
query.jj
SimpleNode.class
SimpleCharStream.class
TokenMgrError.class
ASTOrExpression.class
ASTAndExpression.class
LinkedBooleanExpression.class
AndBooleanCondition.class
QueryParserTreeConstants.class
NamedLinkedBooleanExpression.class
OrBooleanExpression.class
LinkedToBooleanExpression.class
LinkedFromBooleanExpression.class
ColocatedBooleanExpression.class
DefaultBooleanExpression.class
ASTLinkedTo.class
OrQuery.class
PropertyLessThanEquals.class
PropertyNotEquals$Equals.class
PropertyLessThan$LessThan.class
PropertyGreaterThan$GreaterThan.class
PropertyEquals.class
NotQuery.class
QueryUtils.class
Query.class
PropertyGreaterThanEquals$GreaterThanEquals.class
PropertyLessThan.class
PropertyEquals$Equals.class
AbstractPropertyQuery.class
PropertyEqualsPredicate.class
PropertyGreaterThan.class
InstanceOfQuery.class
PropertyEquals$1.class
AndQuery.class
PredicateQuery.class
PropertyNotEquals.class
PropertyGreaterThanEquals.class
WithinDistance.class
PropertyLessThanEquals$LessThanEquals.class
space
Direction.class
SpatialMath.class
GeometryTest.class
SpatialException.class
Dimensions.class
graph
NetworkAdjacent.class
NetworkPredecessor.class
NetPathWithin$DistancePredicate.class
NetPathWithin.class
NetworkSuccessor.class
AbstractNetworkQuery.class
AdjacencyDoubleMatrix.class
NetworkBuilder.class
AdjacencyMatrix.class
ExcelMatrixReader.class
NetworkFactoryFinder.class
Lattice1DGenerator.class
NetworkFileFormat.class
NetworkFileFormat$1.class
NetworkFactory.class
DLMatrixReader.class
NetworkGenerator.class
NetworkFileFormat$2.class
DefaultNodeCreator.class
NetworkMatrixReader.class
DefaultNetworkFactory.class
AbstractGenerator.class
ExcelNetworkLoader.class
MatrixNetworkLoader.class
ContextJungNetwork.class
NodeCreator.class
WattsBetaSmallWorldGenerator.class
Lattice2DGenerator.class
RandomDensityGenerator.class
DLNetworkLoader.class
DirectedJungNetwork.class
NetworkListener.class
JungEdgeTransformer.class
ShortestPath.class
RepastEdge.class
EdgeCreatorFactory.class
ORANetWriter.class
Traverser.class
NetworkEvent$EventType.class
PajekNetWriter.class
NetworkEvent.class
DefaultEdgeCreator.class
Network.class
UndirectedJungNetwork.class
EdgeCreator.class
JungNetwork.class
RepastPajekVertexTransformer.class
RepastPajekEdgeTransformer.class
NetworkTraverser$1.class
GraphScheduleUtilities.class
DefaultGraphScheduleFactory.class
IGraphSchedule.class
NetworkTraverser.class
Executor.class
IterableTraverser.class
IterableTraverser$ValueIterator.class
IterableTraverser$1.class
GraphParams.class
EngineGraphUtilities.class
AbstractGraphExecutor.class
NetworkTopologyExecutor.class
GraphExecutor.class
DefaultGraphSchedule.class
EngineGraphUtilities$MapPredicate.class
NaryTreeTraverser.class