Heterogeneous behaviors and direct interactions in artificial stock markets

Talal Alsulaiman, Khaldoun Khashanah

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

In this paper, we explore the dynamic of stock prices over time by developing an agent-based market. The developed artificial market is comprised of heterogeneous agents occupied with various behaviors and trading strategies. The developed market has property of direct interaction. The environment takes the form of network structurenamely, it manifests as a scale-free network. The information will flow between the agents through the linkages that connect them. The model is subjected to testing for goodness of fit to the empirical observations of the S&P500. Furthermore, the effect of increasing the population size of various agent types is investigated.

Original languageEnglish
Title of host publicationProceedings - 2015 International Conference on Computational Science and Computational Intelligence, CSCI 2015
EditorsQuoc-Nam Tran, Leonidas Deligiannidis, Hamid R. Arabnia
Pages158-163
Number of pages6
ISBN (Electronic)9781467397957
DOIs
StatePublished - 2 Mar 2016
EventInternational Conference on Computational Science and Computational Intelligence, CSCI 2015 - Las Vegas, United States
Duration: 7 Dec 20159 Dec 2015

Publication series

NameProceedings - 2015 International Conference on Computational Science and Computational Intelligence, CSCI 2015

Conference

ConferenceInternational Conference on Computational Science and Computational Intelligence, CSCI 2015
Country/TerritoryUnited States
CityLas Vegas
Period7/12/159/12/15

Keywords

  • Agent-based model
  • Behavioral finance
  • Heterogeneous agents
  • Network topology
  • Stock market

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