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Financial Market Simulation Based On Intelligent Agents €“ Case Study

Author

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  • Marek SPIÅ Ã K
  • Roman Å PERKA

Abstract

We 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.

Suggested Citation

  • Marek SPIÅ Ã K & Roman Å PERKA, 2011. "Financial Market Simulation Based On Intelligent Agents €“ Case Study," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 6(3(17)/ Fa), pages 249-256.
  • Handle: RePEc:ush:jaessh:v:6:y:2011:i:3(17)_fall:p:249
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    Citations

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    Cited by:

    1. Roman Å PERKA, 2012. "Agent-Based Design Of Business Intelligence System Architecture," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 326-333.
    2. K. Senthil KUMAR & C. VIJAYABANU & R. AMUDHA, 2012. "A Case Study On Investors’ Financial Literacy In Indian Scenario," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 262-269.
    3. Roman Šperka & Michal Halaška, 2017. "MAREA Trading Simulations Experiments with the Focus on Marketing Campaign," Working Papers 0036, Silesian University, School of Business Administration.

    More about this item

    Keywords

    agent-based; financial market; netLogo; direct interactions; technical and fundamental analysis; simulation;

    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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