An Artificial Stock Market (original) (raw)
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Consumer stock markets have long been a target of modeling efforts for the economic gains anticipatorily enabled by well-performing models. Aimed at identifying strategies capable of achieving desired returns, many modeling approaches have attempted to capture the innumerable and intricate complexities present within these adaptive socio-technical systems. Decreasingly constrained by available computation power, contemporary models have grown in sophistication to include several of the features present in de facto market systems. However, these models require extensive effort to dictate the variety of states, behaviors, and adaptations that entities of the system may exhibit. Mandating the development of complex formulas and an incredible number of situational considerations, traditional approaches to stock market modeling are intensive to architect and applicable to a limited range of scenarios. Further, these models commonly fail to incorporate external influences on the actions of investing parties. Employing an agent-based approach, independent and externally influenced entities are modeled to simulate market activity. Under the jurisdiction of assigned simple rules, agents of the system interact in complex and emergent ways without requiring macroscopic guiding equations. Successive trails are conducted using varying initialization values, enabling the determination of robust investment strategies performing well across a range of market scenarios.
An Artificial Stock Market with Interaction Network and Mimetic Agents
HAL (Le Centre pour la Communication Scientifique Directe), 2017
Agent-based artificial stock markets attracted much attention over the last years, and many models have been proposed. However, among them, few models take into account the social interactions and mimicking behaviour of traders, while the economic literature describes investors on financial markets as influenced by decisions of their peers and explains that this mimicking behaviour has a decisive impact on price dynamics and market stability. In this paper we propose a continuous double auction model of financial market, populated by heterogeneous traders who interact through a social network of influence. Traders use different investment strategies, namely: fundamentalists who make a decisions based on the fundamental value of assets; hybrids who are initially fundamentalists, but switch to a speculative strategy when they detect an uptrend in prices; noise traders who don't have sufficient information to take rational decisions, and finally mimetic traders who imitate the decisions of their mentors on the interactions network. An experimental design is performed to show the feasibility and utility of the proposed model.
An Artificial Stock Market with Interactions Network and Mimetic Agents
2017
Agent-based artificial stock markets attracted much attention over the last years, and many models have been proposed. However, among them, few models take into account the social interactions and mimicking behaviour of traders, while the economic literature describes investors on financial markets as influenced by decisions of their peers and explains that this mimicking behaviour has a decisive impact on price dynamics and market stability. In this paper we propose a continuous double auction model of financial market, populated by heterogeneous traders who interact through a social network of influence. Traders use different investment strategies, namely: fundamentalists who make a decisions based on the fundamental value of assets; hybrids who are initially fundamentalists, but switch to a speculative strategy when they detect an uptrend in prices; noise traders who don't have sufficient information to take rational decisions, and finally mimetic traders who imitate the decisions of their mentors on the interactions network. An experimental design is performed to show the feasibility and utility of the proposed model.