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Social Simulation of Stock Markets: Taking It to the Next Level

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Abstract

This paper studies the use of social simulation in linking micro level investor behaviour and macro level stock market dynamics. Empirical data from a survey on individual investors\' decision-making and social interaction was used to formalize the trading and interaction rules of the agents of the artificial stock market SimStockExchange. Multiple simulation runs were performed with this artificial stock market, which generated macro level results, like stock market prices and returns over time. These outcomes were subsequently compared to empirical macro level data from real stock markets. Partial qualitative as well as quantitative agreement between the simulated asset returns distributions and the asset returns distributions of the real stock markets was found.

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File URL: http://jasss.soc.surrey.ac.uk/10/2/7/7.pdf
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Bibliographic Info

Article provided by Journal of Artificial Societies and Social Simulation in its journal Journal of Artificial Societies and Social Simulation.

Volume (Year): 10 (2007)
Issue (Month): 2 ()
Pages: 7

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Handle: RePEc:jas:jasssj:2006-33-3

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Keywords: Agent-Based Computational Finance; Artificial Stock Markets; Behavioral Finance; Micro-Macro Links; Multi-Agent Simulation; Stock Market Characteristics;

References

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Cited by:
  1. Lovric, M. & Kaymak, U. & Spronk, J., 2008. "A Conceptual Model of Investor Behavior," ERIM Report Series Research in Management ERS-2008-030-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.

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