Arthur, W. Brian, 2015, Complexity and the Economy, Oxford University Press, Oxford.

Bookstaber, Richard, 2017, The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction, Princeton University Press, Princeton, NJ.

Cohen, Kalman J., Steven F. Maier, Robert A. Schwartz, and David K. Whitcomb, 1986, The Microstructure of Securities Markets, Prentice-Hall, Englewood Cliffs, NJ.

Helbing, Dirk (ed), 2012, Social Self-Organization: Agent-Based Simulations and Experiments to Study Emergent Social Behavior, Springer, Heidelberg.

Holland, John H., Keith J. Holyoak, Richard E. Nisbett, and Paul R. Thagard, 1986, Induction: Processes of Inference, Learning, and Discovery, The MIT Press, Cambridge, Massachusetts.

Mitchell, Melanie, 1998, An Introduction to Genetic Algorithms, The MIT Press, Cambridge, Massachusetts.

Tesfatsion, Leigh, and Kenneth L. Judd (eds), 2006, Handbook of Computational Economics, Volume 2: Agent-Based Computational Economics, Elesevier, Amsterdam.

Agent-Based Models

Bookstaber, Richard, and Mark Paddrik, 2015, An Agent-based Model for Crisis Liquidity Dynamics, Working Paper, Office of Financial Research.

Bookstaber, Richard, 2012, Using Agent-Based Models for Analyzing Threats to Financial Stability, Working Paper, Office of Financial Research.

Chen, Shu-Heng, 2012, Varieties of agents in agent-based computational economics: A historical and an interdisciplinary perspective, Journal of Economic Dynamics & Control, 36, 1 – 25.

Kleijnen, Jack P. C., Susan M. Sanchez, Thomas W. Lucas, and Thomas M. Cioppa, 2005, A User’s Guide to the Brave New World of Designing Simulation Experiments, INFORMS Journal on Computing, 17 (3), 263 – 289.

Klimek, Peter, Sebastian Poledna, J. Doyne Farmer, and Stefan Thurner, 2015, To bail-out or to bail-in? Answers from an agent-based model, Journal of Economic Dynamics & Control, 50, 144 – 154.

Leal, Sandrine Jacob, Mauro Napoletano, Andrea Roventinin, and Giorgio Fagiolo, 2014, Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading, Journal of Evolutionary Economics, 26 (1), 49 – 76.

Lux, Thomas, and Michele Marchesi, Volatility Clustering in Financial Markets: A Microsimulation of Interacting Agents, International Journal of Theoretical and Applied Finance, 3 (4), 675 – 702.

Mandes, Alexandru, 2015, Microstructure-based order placement in a continuous double auction agent based model, Algorithmic Finance, 4 (3-4), 105 – 125.

Outkin, Alexander V., 2007(?), An Agent-Based Model of the Nasdaq Stock Market: Historic Validation and Future Directions, Working Paper, Sandia National Laboratories.

Paddrik, Mark, Roy Hayes, William Scherer, and Peter Beling, 2015, Effects of Limit Order Book Information Level on Market Stability Metrics, Journal of Economic Interaction and Coordination, 22 (2), 221 – 247.

Tivnan, Brian F., Matthew T. K. Koehler, Matthew McMahon, Matthew Olson, Neal J. Rothleder, and Ranjani R. Shenoy, 2011, Adding to the Regulator’s Toolbox: Integration and Extension of Two Leading Market Models, Working Paper, arXiv.

Applied ABM

Bouchaud, Jean-Philippe, Marc Mezard, and Marc Potters, 2008, Statistical properties of stock order books: empirical results and models, Quantitative Finance, 2 (4), 251 – 256.

Cohen, Samual N., and Lukasz Szpruch, 2012, A limit order book model for latency arbitrage, Mathematics and Financial Economics, 6 (3), 211 – 227.

Das, Sanmay, 2008, The Effects of Market-Making on Price Dynamics, Working Paper, Proc. of 7th Int. Conf. on Autonomous Agents and Multiagent Systems (AAMAS 2008).

Duffy, John, and M. Utku Unver, 2006, Asset price bubbles and crashes with near-zero-intelligence traders, Economic Theory, 27, 537 – 563.

Giardina, Irene, and Jean-Philippe Bouchaud, 2003, Bubbles, Crashes and Intermittency in Agent Based Market Models, The European Physical Journal B – Condensed Matter and Complex Systems, 31 (3), 421 – 437.

Hayes, Roy, Mark Paddrik, Andrew Todd, Steve Yang, Peter Beling, and William Scherer, 2012, Agent Based Model of the E-Mini Future: Application for Policy Making, Working Paper, Proceedings of the 2012 Winter Simulation Conference.

Karvik, Geir-Are, Joseph Noss, Jack Worlidge, and Daniel Beale, 2018, The deeds of speed: an agent-based model of market liquidity and flash episodes, Working Paper, BOE – 743.

Kluger, Brian D., and Mark E. McBride, 2011, Intraday trading patterns in an intelligent autonomous agent-based stock market, Journal of Economic Behavior & Organization, 79, 226 – 245.

Lamperti, Francesco, Andrea Roventini, and Amir Sani, 2018, Agent-based model calibration using machine learning surrogates, Journal of Economic Dynamics and Control, 90, 366 – 389.

Lee, Bernard, Shih-feh Cheng, and Annie Koh, 201?, Would Position Limits Have Made Any Difference to the Flash Crash on May 6, 2010, Working Paper, Singapore Management University.

Moallemi, Ciamac C., and Mehmet Saglam, 2013, The Cost of Latency in High-Frequency Trading, Operations Research, 61 (5), 1070 – 1086.

Paddrik, Mark, Haelim Park, and Jessie Jiaxu Wang, 2015, Bank Networks and Systemic Risk: Micro-evidence Before and After the National Banking Acts of 1863-1864, Working Paper, Office of Financial Research.

Paddrik, Mark, Roy Hayes,  Jr., Andrew Todd, Steve Yang, Peter Beling, and William Scherer, 201?, An Agent Based Model of the E-Mini S&P 500 Applied to Flash Crash Analysis, Working Paper, CFTC.

Raberto, Marco, and Silvano Cincotti, 2005, Modeling and simulation of a double auction artificial financial market, Physica A: Statistical Mechanics and its Applications, 355 (1), 34 – 45.

Raberto, Marco, Silvano Cincotti, Sergio M. Focardi, and Michele Marchesi, 2001, Agent-based simulation of a financial market, Physica A: Statistical Mechanics and its Applications, 299 (1-2), 319 – 327.

Thurner, Stefan, J. Doyne Farmer, and John Geanakoplos, 2010, Leverage Causes Fat Tails and Clustered Volatility, Quantitative Finance, 12 (5), 695 – 707.

Trimborn, Torsten, Philipp Otte, Simon Cramer, Max Beikrich, Emma Pabich, and Martin Frank, 2018, SABCEMMA Simulation Framework for Agent-Based Computational Economic Market Models, Working Paper, arXiv.

Wah, Elaine, and Michael Wellman, 2013, Latency Arbitrage, Market Fragmentation, and Efficiency: A Two-Market Model, Working Paper, University of Michigan.

Applied Zero Intelligence Models

Bookstaber, Richard, Michael D. Foley, and Brian F. Tivnan, 2015, Market Liquidity and Heterogeneity in the Investor Decision Cycle, Working Paper, Office of Financial Research.

Daniels, Marcus, G., J. Doyne Farmer, Laszlo Gillemot, Giulia Iori, and Eric Smith, 2003, Physical Review Letters, 90 (10), 108102-1 – 108102-4.

Farmer, J. Doyne, Paolo Patelli, and Illija I. Zovko, 2004, The predictive power of zero intelligence in financial markets, PNAS, 102 (6), 2254 – 2259.

Ghoulmie, Francois, Rama Cont, and Jean-Pierre Nadal, 2005, Heterogeneity and feedback in an agent-based market model, Journal of Physics: Condensed Matter, 17, S1259 – S1268.

Gode, Dhananjay K., and Shyam Sunder, 1993, Allocative Efficiency of Markets with Zero Intelligence Traders: Market as a Partial Substitute for Individual Rationality, Journal of Political Economy, 101 (1), 119 – 137.

Panayi, Efstathios, Mark Harman, and Anne Wetherilt, 2011, Agent-based modelling of stock markets using existing order book data, Working Paper, Bank of England.

Platt, D. F., and T. J. Gebbie, 2017, Can Agent-Based Models Probe Market Microstructure?, Working Paper, arXiv.

Preis, T., S. Golke, W. Paul, and J. J. Schneider, 2006, Multi-agent–based Order Book Model of Financial Markets, Europhysics Letters, 75 (3), 510 – 516.

Preis, Tobias, Sebastian Golke, Wolfgang Paul, and Johannes J. Schneider, 2007, Statistical analysis of financial returns for a multiagent order book model of asset trading, Physical Review, 76, 016108 1 – 13.

Toth, Bence, Janos Kertesz, and J. Doyne Farmer, 2009, Studies of the limit order book around large price changes, The European Physical Journal B, 71:499.

Fischer Black

Black, Fischer, 1971, Toward a Fully Automated Stock Exchange Part 1, Financial Analysts Journal, July-August, 29 – 35, 44.

Black, Fischer, 1971, Toward a Fully Automated Stock Exchange Part 2, Financial Analysts Journal, November-December, 25 – 28, 86 – 87.

Black, Fischer, 1995, Equilibrium Exchanges, Financial Analysts Journal, May-June, 23 – 29.


Cohen, Kalman J., Steven F. Maier, Robert A. Schwartz, and David K. Whitcomb, 1978, Limit Orders, Market Structure, and the Returns Generating Process, Journal of Finance, 33 (3), 723 – 736.

Garman, Mark B., 1976, Market Microstructure, Journal of Financial Economics, 3, 257 – 275.

Hakansson, Nils H., Avraham Beja, and Jivendra Kale, 1985, On the Feasibility of Automated Market Making by a Programmed Specialist, Journal of Finance, 40 (1), 1 – 20.

Stigler, George, T., 1964, Public Regulation of the Securities Markets, Journal of Business, 37 (2), 117 – 142.

West, Richard R., 1970, Simulating Securities Markets Operations: Some Examples, Observations, and Comments, Journal of Financial and Quantitative Analysis, 5 (1), 115 – 137.


Demsetz, Harold, 1968, The Cost of Transacting, The Quarterly Journal of Economics, 82 (1), 33 – 53.

Kelly, J. L. Jr., 1956, A New Interpretation of Information Rate, Working Paper.

General and Supporting

Arthur, W. Brian, et al., 2010, Comment on Concept Release on Equity Market Structure,

Bowles, Samuel, Alan Kirman, and Rajiv Sethi, 2017, Retrospectives: Freidrich Hayek and the Market Algorithm, Journal of Economic Perspectives, 31 (3), 215 – 230.

Farmer, J. Doyne, and Andrew W. Lo, 1999, Frontiers of finance: Evolution and efficient markets, PNAS, 96, 9991 – 9992.

Gode, Dhananjay K., and Shyam Sunder, 2000, Designing Electronic Markets: On the Impossibility of Equitable Continuously Clearing Mechanisms with Geographically Distributed Agents, Working Paper, NYU.

Ladley, Dan, 2004, Zero Intelligence in Economics and Finance, The Knowledge Engineering Review, 00:0, 1 – 24.

Macal, C M, and M J North, 2010, Tutorial on agent-based modelling and simulation, Journal of Simulation, 4 (3), 151 – 162.

Mankad, Shawn, George Michailidis, and Andrei Kirilenko, 2013, Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method, Algorithmic Finance, 2 (2), 151 – 165.

Putnins, Talis J., and Joseph Barbara, 2016, Heterogeneity in how algorithmic traders impact institutional trading costs, Working Paper, University of Technology Sydney.

Sunder, Shyam, 2002, Market as an Artifact: Aggregate Efficiency from Zero Intelligence Traders, Working Paper, Yale University.

Zovko, Ilija, and J. Doyne Farmer, 2002, The power of patience: A behavioral regularity in limit order placement, Quantitative Finance, 2 (5), 387 – 392.

Genetic Algorithms

Holden, Craig W., 2015, A Theory of Optimal Institutional Trading, Working Paper, Indiana University.

Holland, John H., and John H. Miller, 1991, Artificial Adaptive Agents in Economic Theory, The American Economic Review, 81 (2), 365 – 370.

Kolodny, Oren, and Caitlin Stern, 2017, Evolution of risk preference is determined by reproduction dynamics, life history, and population size, Scientific Reports, 7:9364,

Lux, Thomas, and Sascha Schornstein, 2005, Genetic learning as an explanation of stylized facts of foreign exchange markets, Journal of Mathematical Economics, 41, 169 – 196.

LeBaron and Santa Fe Institute

Arthur, W. Brian, John H. Holland, Blake LeBaron, Richard G. Palmer, and Paul Tayler, 1996, Asset Pricing Under Endogenous Expectations in an Artificial Stock Market, Working Paper 1996-12-093, Santa Fe Institute.

Arthur, W. Brian, 2013, Complexity economics: a different framework for economic thought, Chapter 1 of Complexity and the Economy (see Books) and Working Paper 2013-04-012, Santa Fe Institute.

Helbing, Dirk, and Stefano Balietti, 2012, How to Do Agent-Based Simulations in the Future: From Modeling Social Mechanisms to Emergent Phenomena and Interactive Systems Design, Chapter of Social Self-Organization: Agent-Based Simulations and Experiments to Study Emergent Social Behavior (see Books) and Working Paper, Santa Fe Institute.

LeBaron, Blake, 2006, Agent-Based Computational Finance, Chapter 23 of Handbook of Computational Economics, Volume 2: Agent-Based Computational Economics (see Books).

LeBaron, Blake, 2002, Building the Santa Fe Artificial Stock Market, Working Paper, Brandeis University.

LeBaron, Blake, 2001, A Builder’s Guide to Agent Based Financial Markets, Quantitative Finance, 1 (2), 254 – 261.

LeBaron, Blake, 2000, Evolution and Time Horizons in an Agent Based Stock Market, Working Paper, Brandeis University.

LeBaron, Blake, 2000, Agent-based computational finance: Suggested readings and early research, Journal of Economic Dynamics and Control, 24 (5-7), 679 – 702.

LeBaron, Blake, W. Brian Arthur, and Richard Palmer, 1999, Time series properties of an artificial stock market, Journal of Economic Dynamics and Control, 23 (9-10), 1487 – 1516.

Palmer, R. G., W. Brian Arthur, John H. Holland, Blake LeBaron, and Paul Tayler, 1994, Artificial economic life: a simple model of a stockmarket, Physica D: Nonlinear Phenomena, 75 (1-3), 264 – 274.

Tesfatsion, Leigh, 2005, Agent-Based Computational Economics: A Constructive Approach to Economic Theory, Chapter 16 of Handbook of Computational Economics, Volume 2: Agent-Based Computational Economics (see Books).

Popular Press

Buchanan, Mark, 2009, Meltdown modelling, Nature, 460 (6), 680 – 682.

Farmer, J. Doyne, and Duncan Foley, 2009, The economy needs agent-based modelling, Nature, 460 (6), 685 – 686.

Technical Details

Cliff, Dave, 2005, ZIP60: Further Explorations in the Evolutionary Design of Online Auction Market Mechanisms, Working Paper, HP Laboratories.

Dixon, Matthew, Diego Klabjan, and Jin Hoon Bang, 2015, Backtesting Trading Strategies with Deep Neural Networks on the Intel Xeon Phi, Working Paper, Northwestern University.

Kumiega, Andrew, Greg Sterijevski, and Ben Van Vliet, 2016, Beyond the Flash Crash: Systemic Risk, Reliability, and High Frequency Financial Markets, Working Paper, Illinois Institute of Technology.

Rampersaud, Safraz, and Daniel Grosu, 2013, Digital Cancellation Event Options in Limit Order Markets with Automated Liquidity Self-Provisioning, Working Paper.

Trader Behavior

Barucca, Paolo, and Fabrizio Lillo, 2017, Behind the price: on the role of agent’s reflexivity in financial market microstructure, arXiv.

Clark-Joseph, Adam, 2014, Exploratory Trading, Working Paper, University of Illinois.

Cohen-Cole, Ethan, Andrei Kirilenko, and Eleanor Patacchini, 2014, Trading networks and liquidity provision, Journal of Financial Economics, 113 (2), 235 – 251.

Cont, Rama, Sasha Stoikov, and Rishi Talreja, 2010, A Stochastic Model for Order Book, Operations Research, 58 (3), 549 – 563.

Hendershott, Terrence, and Albert Menkveld, 2014, Price Pressures, Journal of Financial Economics, 114 (3), 405 – 423.

Kirilenko, Andrei, Richard Sowers, and Xiangqian Meng, 2013, A multiscale model of high-frequency trading, Algorithmic Finance, 2 (1), 59 – 98.

Peress, Joel, and Daniel Schmidt, 2017, Noise Traders Incarnate: Describing a Realistic Noise Trading Process, Working Paper, CEPR.

Toth, Bence, Zoltan Eisler, and Jean-Phillipe Bouchaud, 2017, The Short-Term Price Impact of Trades Is Universal, Working Paper, arXiv.

Toyoizumi, Hiroshi, 2017, Swarm behavior of traders with different subjective predictions in the market, arXiv.