Financial Market Simulation Based On Intelligent Agents Â€“ Case Study
AbstractWe implement an agent-based financial market model simulation in which agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators due to which they may decide to change their trading behaviour. For instance, if a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in the recent past, the probability that the technical trader switches to fundamental trading rules is relatively high. In particular the influence of transaction costs is studied, which can be increased by the off-market regulation (for example in the form of taxes) on market stability, the overall volume of trade and other market characteristics.
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Bibliographic InfoArticle provided by Spiru Haret University, Faculty of Financial Management and Accounting Craiova in its journal Journal of Applied Economic Sciences.
Volume (Year): 6 (2011)
Issue (Month): 3(17)/ Fall 2011 ()
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Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14
More information through EDIRC
agent-based; financial market; netLogo; direct interactions; technical and fundamental analysis; simulation;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
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