DocumentCode
3503987
Title
A New Agent-Based Artificial Stock Market with Short-Term Dynamics
Author
Liu, Xinghua ; Yang, Jianmei ; Tang, Bingyong
Author_Institution
Sch. of Inf. Manage., Shandong Economic Univ., Jinan
fYear
2007
fDate
21-25 Sept. 2007
Firstpage
4089
Lastpage
4092
Abstract
Agent-based computational finance is attracting significant interest in many disciplines. But most artificial stock markets (ASM) was built in a complex manner and not suited for studying the short-term dynamics of stock market. This activated us to build a new model different from literatures in three main parts of designing an artificial stock market: economic environment, agent´s behavior and price formation. The results of simulation show that our model can reproduce the stylized facts of short-term dynamics.
Keywords
artificial intelligence; economics; financial data processing; pricing; stock markets; agent-based artificial stock market; agent-based computational finance; economic environment; price formation; short-term dynamics; Computational modeling; Environmental economics; Finance; Financial management; Information management; Iron; Microstructure; Stock markets; Sun; Technology management;
fLanguage
English
Publisher
ieee
Conference_Titel
Wireless Communications, Networking and Mobile Computing, 2007. WiCom 2007. International Conference on
Conference_Location
Shanghai
Print_ISBN
978-1-4244-1311-9
Type
conf
DOI
10.1109/WICOM.2007.1010
Filename
4340785
Link To Document