Multi-agent modeling and simulation of a stock market

  • Received March 22, 2018;
    Accepted November 1, 2018;
    Published November 9, 2018
  • Author(s)
  • DOI
    http://dx.doi.org/10.21511/imfi.15(4).2018.10
  • Article Info
    Volume 15 2018, Issue #4, pp. 123-134
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The stock market represents complex systems where multiple agents interact. The complexity of the environment in the financial markets in general has encouraged the use of modeling by multi-agent platforms and particularly in the case of the stock market.
In this paper, an agent-based simulation model is proposed to study the behavior of the volume of market transactions. The model is based on the case of a single asset and three types of investor agents. Each investor can be a zero intelligent trader, fundamentalist trader or traders using historical information in the decision making process. The goal of the study is to simulate the behavior of a stock market according to the different considered endogenous and exogenous variables.

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    • Figure 1. Schematic diagram of the buying/selling decision-making by the agent (investor)
    • Figure 2. Flow chart of the algorithm implemented for the developed model
    • Figure 3. The evolution of stock market indicators (volatility, volume, price level, bankruptcy) in the case 1
    • Figure 4. The evolution of stock market indicators (volatility, volume, price level, bankruptcy) in the case 2
    • Figure 5. The evolution of stock market indicators (volatility, volume, price level, bankrupt) in the case 3
    • Figure 6. The evolution of stock market indicators (volatility, volume, price level, bankruptcy) in the case 4