A Sugarscape-style ABM of OTC government bond markets reports that market-maker diversity and lower costs increase simulated liquidity and stability, but the model is only validated against one calibrated aggregate statistic.
The Specification of Sugarscape
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abstract
Sugarscape is a well known and influential Agent Based Social Simulation (ABSS). Various parts of Sugarscape are supplied as examples in almost all Agent Based Model (ABM) toolkits. It has been used for demonstrating the applicability of different approaches to ABM. However a lack of agreement on the precise definition of the rules within Sugarscape has curtailed its usefulness. We provide a formal specification of Sugarscape using the Z specification language. This demonstrates the ability of formal specification to capture the definition of an ABM in a precise manner. It shows that formal specifications could be used as an approach to tackle the replication problem in the field of ABM. It also provides the first clear interpretation of Sugarscape identifying areas where information is missing and/or ambiguous. This enables researchers to make proper comparisons between different implementations of this model.
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Decoding OTC Government Bond Market Liquidity: An ABM Model for Market Dynamics
A Sugarscape-style ABM of OTC government bond markets reports that market-maker diversity and lower costs increase simulated liquidity and stability, but the model is only validated against one calibrated aggregate statistic.