Multi-agent modeling and simulation of a stock market
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DOIhttp://dx.doi.org/10.21511/imfi.15(4).2018.10
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Article InfoVolume 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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JEL Classification (Paper profile tab)C63, C88, D53, G12
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References38
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Tables0
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Figures6
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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
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