SFIArtificialStockMarket

SFIArtificialStockMarket.jl is a Julia package that implements the Sante Fe Institute Artificial Stock Market by Arthur et al.:

Arthur, W. Brian, John H. Holland, Blake LeBaron, Richard G. Palmer, and Paul Tayler. "Asset pricing under endogenous expectations in an artificial stock market." Available at SSRN 2252 (1996).

LeBaron, Blake, W. Brian Arthur, and Richard Palmer. "Time series properties of an artificial stock market." Journal of Economic Dynamics and control 23, no. 9 (1999): 1487-1516.

SFIArtificialStockMarket.jl derived its model architecture from the above reference papers and three other sources; namely, the original source code, Detailed Notes on the Santa Fe Artificial Stock Market (ASM) Model, and the reference textbook:

Ehrentreich, Norman. Agent-based modeling: The Santa Fe Institute artificial stock market model revisited. Vol. 602. Springer Science & Business Media, 2007.