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Agent’s Minimal Intelligence Calibration for Realistic Market Dynamics

In: Progress in Artificial Economics

Author

Listed:
  • Iryna Veryzhenko

    (LEM)

  • Olivier Brandouy

    (Sorbonne Graduate Business School)

  • Philippe Mathieu

    (LIFL)

Abstract

This paper investigates the question of how much sophisticated in behavior and intelligence artificial traders need to be in order to replicate both qualitative and quantitative stylized facts within a realistic market microstructure. For this purpose, we introduce an agent-based simulation environment with an architecture close to the Euronext-NYSE Stock Exchange. Series of experiments with different kinds of agents’ behavior and trading framework specifications were realized within this environment. The results indicate that only special calibrations provide realistic stylized facts with coherent quantitative levels. We introduce a new type of agents, called in this paper “strongly calibrated agents”, with their specific environment design, that provide price dynamics in quantitative and qualitative accordance with real stock market characteristics.

Suggested Citation

  • Iryna Veryzhenko & Olivier Brandouy & Philippe Mathieu, 2010. "Agent’s Minimal Intelligence Calibration for Realistic Market Dynamics," Lecture Notes in Economics and Mathematical Systems, in: Marco Li Calzi & Lucia Milone & Paolo Pellizzari (ed.), Progress in Artificial Economics, pages 3-14, Springer.
    • Handle: RePEc:spr:lnechp:978-3-642-13947-5_1
    DOI: 10.1007/978-3-642-13947-5_1
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    Cited by:

    1. Annalisa Fabretti, 2013. "On the problem of calibrating an agent based model for financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(2), pages 277-293, October.

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