TY - GEN
T1 - Heterogeneous behaviors and direct interactions in artificial stock markets
AU - Alsulaiman, Talal
AU - Khashanah, Khaldoun
N1 - Publisher Copyright:
© 2015 IEEE.
PY - 2016/3/2
Y1 - 2016/3/2
N2 - 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.
AB - 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.
KW - Agent-based model
KW - Behavioral finance
KW - Heterogeneous agents
KW - Network topology
KW - Stock market
UR - http://www.scopus.com/inward/record.url?scp=84964426648&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84964426648&partnerID=8YFLogxK
U2 - 10.1109/CSCI.2015.66
DO - 10.1109/CSCI.2015.66
M3 - Conference contribution
AN - SCOPUS:84964426648
T3 - Proceedings - 2015 International Conference on Computational Science and Computational Intelligence, CSCI 2015
SP - 158
EP - 163
BT - Proceedings - 2015 International Conference on Computational Science and Computational Intelligence, CSCI 2015
A2 - Tran, Quoc-Nam
A2 - Deligiannidis, Leonidas
A2 - Arabnia, Hamid R.
T2 - International Conference on Computational Science and Computational Intelligence, CSCI 2015
Y2 - 7 December 2015 through 9 December 2015
ER -