Performance and functional enhancement of artificial market psychology simulator
Author(s)Akula, Mohan Kumar, 1978-
Massachusetts Institute of Technology. Dept. of Civil and Environmental Engineering.
Andrew W. Lo and Dmitry Repin.
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Artificial Market Psychology Simulator (AMPS) is an adaptive and programmable simulation system designed to assist researchers in the study of psychology of securities traders. It forms a part of the larger system that includes the MIT Web Market - a double-auction engine for securities trading and RStudio - a physiology data acquisition software. The AMPS system controls price patterns and induces market events in an adaptive fashion. This research improves the performance and functioning of AMPS by generating realistic market scenarios in response to the trading subject's physiological feedback during the simulation process. Despite the subject's knowledge of the simulated system, AMPS generates market scenarios such that the trading subject can attach credibility to these events and respond accordingly. The adaptive nature of AMPS can be attributed to its ability to adjust market response based on observed physiological characteristics of the research subject. Another improvement is the integration of AMPS with RStudio. The simulation system uses real-time market and physiology data provided by the MIT Web Market and RStudio respectively. A prototypical scenario that represents a research subject's typical emotional states in response to market volatility during the simulation process has also been modeled. One specific software challenge is the integration of RStudio - written in C++, and AMPS - written in JAVA. Another challenge is that AMPS system needs to be modified to reflect different rule sets for different class of users based on their physiological response. The logging system for errors and events has been improved while the error and exception handling has been structured and streamlined as well.
Thesis (M. Eng.)--Massachusetts Institute of Technology, Dept. of Civil and Environmental Engineering, 2004.Includes bibliographical references (leaf 65).
DepartmentMassachusetts Institute of Technology. Dept. of Civil and Environmental Engineering.
Massachusetts Institute of Technology
Civil and Environmental Engineering.