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Effects of diversification among assets in an agent-based market model

Author

Listed:
  • F. Ghoulmi'e
  • M. Bartolozzi
  • C. P. Mellen
  • T. Di Matteo

Abstract

We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmie et al (2005). In particular, we focus on adaptive agents with threshold behavior allocating their resources among two assets. We explore numerically the effect of this diversification as an additional source of complexity in the financial market and we discuss its destabilizing role. We also point out the relevance of these studies for financial decision making.

Suggested Citation

  • F. Ghoulmi'e & M. Bartolozzi & C. P. Mellen & T. Di Matteo, 2007. "Effects of diversification among assets in an agent-based market model," Papers 0712.3611, arXiv.org.
    • Handle: RePEc:arx:papers:0712.3611
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    File URL: http://arxiv.org/pdf/0712.3611
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    Cited by:

    1. Luis Goncalves de Faria, 2022. "An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation," Papers 2206.09772, arXiv.org.

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