A study of agricultural futures market simulation based on SBL model

Author

Li, Tan ; Qi, Zhong-Ying ; Niu, Hong-Yuan

Author_Institution

Sch. of Manage., Harbin Inst. of Technol., Harbin, China

fYear

2009

fDate

14-16 Sept. 2009

Firstpage

1297

Lastpage

1302

Abstract

We propose an agent-based model of a futures market to analyze the characters of wheat futures markets price stylized facts. We use the Brenner´s ldquostochastic belief learning modelrdquo to describe the speculative agents´ beliefs learning process. In this model, the bounded speculative agents have different learning capability and risk aversion degree, and they can learn both from individual and others´ experiences. New market price is generated though a sealed-bid auction clearance mechanism. The simulation can reproduce the important observed stylized facts in futures markets price time series. Our results show futures price volatility has close relation with large speculators´ trading. Noise traders´ survival in the market depend on the external information flow generating process and others behaviors.

Keywords

agricultural products; belief maintenance; commodity trading; learning (artificial intelligence); multi-agent systems; risk analysis; share prices; stochastic processes; time series; Brenner´s stochastic belief learning model; SBL model; agent-based simulation model; agricultural futures market price simulation; bounded speculative agent belief learning process; external information flow generation process; noise trader survival; risk aversion degree; sealed-bid auction clearance mechanism; speculator trading; time series; wheat futures market price volatility; Agricultural engineering; Analytical models; Conference management; Engineering management; Investments; Noise generators; Stochastic processes; Stochastic resonance; Switches; Technology management; agent-based simulation; futures price dynamics; heterogeneous beliefs; stochastic belief learning; stylized facts;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering, 2009. ICMSE 2009. International Conference on

Conference_Location

Moscow

Print_ISBN

978-1-4244-3970-6

Electronic_ISBN

978-1-4244-3971-3

Type

conf

DOI

10.1109/ICMSE.2009.5318015

Filename

5318015