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Fraudulent Agents in an Artificial Financial Market

In: Nonlinear Dynamics and Heterogeneous Interacting Agents

Author

Listed:
  • Enrico Scalas

    (DISTA, Università del Piemonte Orientale
    INFM Unità di Genova)

  • Silvano Cincotti

    (DIBE, Università di Genova)

  • Christian Dose

    (DIBE, Università di Genova)

  • Marco Raberto

    (DIBE, Università di Genova)

Abstract

Summary The problem of insider trading and other illegal practices in financial markets is an important issue in the field of financial regulatory policies. Market control bodies, such as the US SEC or the Italian CONSOB [1], regularly perform statistical analyses on security prices in order to unveil clues of fraudulent behaviour within the market. Fraudulent behaviour is connected to the more general problem of information asymmetries, which had already been addressed in the field of experimental economics (see, for instance, refs. [2, 3, 4]). Recently, interesting conclusions were drawn thanks to a computer-simulated market at MIT where agents had different pieces of information about the future dividend cash flow of exchanged securities [5]. In particular, in the MIT simulated market, the intelligent agents can replicate various findings of human-based experiments. Here, by means of an agent-based artificial market: the Genoa Artificial Stock Market (GASM) [6, 7], the more specific problem of fraudulent behavi our in a financial market is studied. A simplified model of fraudulent behaviour is implemented.

Suggested Citation

  • Enrico Scalas & Silvano Cincotti & Christian Dose & Marco Raberto, 2005. "Fraudulent Agents in an Artificial Financial Market," Lecture Notes in Economics and Mathematical Systems, in: Thomas Lux & Eleni Samanidou & Stefan Reitz (ed.), Nonlinear Dynamics and Heterogeneous Interacting Agents, pages 317-326, Springer.
    • Handle: RePEc:spr:lnechp:978-3-540-27296-0_21
    DOI: 10.1007/3-540-27296-8_21
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    Citations

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    Cited by:

    1. B. Tóth & E. Scalas & J. Huber & M. Kirchler, 2007. "The value of information in a multi-agent market model," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(1), pages 115-120, January.
    2. Bence Toth & Enrico Scalas, 2007. "The value of information in financial markets: An agent-based simulation," Papers 0712.2687, arXiv.org.
    3. Hermsen, Oliver & Witte, Björn-Christopher & Westerhoff, Frank, 2010. "Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-26.

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