• DocumentCode
    2670200
  • Title

    Based on the macro factors and open learning´s agent-based model

  • Author

    Haiqi, Wang ; Peng, Zheng ; Lanjie, Wu

  • Author_Institution
    Dept. of Finance, Univ. of Finance & Econ., Shanghai, China
  • fYear
    2010
  • fDate
    17-19 Sept. 2010
  • Firstpage
    662
  • Lastpage
    666
  • Abstract
    This paper made some modifications on traditional artificial stock market. It put forward traders´ adaptive learning mechanism, enabling traders to enhance their adaptability to new stock environment by continuous learning. Furthermore, the paper started with external reasons and brought in macrocosmic analysis model, making the artificial stock market closer to the real one. At the same time, validating the characteristics of changes in stock prices, we found they meet EMH basically and the returns took on obvious heavy tail distributions. One stock was selected to be stimulated and forecasted in our artificial stock market, which gained satisfying results.
  • Keywords
    commerce; economic forecasting; learning (artificial intelligence); macroeconomics; stock markets; adaptive learning mechanism; agent based model; artificial stock market; economic forecast; heavy tail distribution; macrocosmic analysis model; stock price; Biological system modeling; Equations; Finance; Investments; Mathematical model; Stock markets; artificial stock market; forecast stimulation; heavy tail distributions; macroscopic model;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Information and Financial Engineering (ICIFE), 2010 2nd IEEE International Conference on
  • Conference_Location
    Chongqing
  • Print_ISBN
    978-1-4244-6927-7
  • Type

    conf

  • DOI
    10.1109/ICIFE.2010.5609446
  • Filename
    5609446