  This paper introduces an agent-based artificial financial market in which
heterogeneous agents trade one single asset through a realistic trading
mechanism for price formation. Agents are initially endowed with a finite
amount of cash and a given finite portfolio of assets. There is no
money-creation process; the total available cash is conserved in time. In each
period, agents make random buy and sell decisions that are constrained by
available resources, subject to clustering, and dependent on the volatility of
previous periods. The model herein proposed is able to reproduce the
leptokurtic shape of the probability density of log price returns and the
clustering of volatility. Implemented using extreme programming and
object-oriented technology, the simulator is a flexible computational
experimental facility that can find applications in both academic and
industrial research projects.
