A simulation environment for volatility analysis of developed and in development markets

In this paper, a simulation of intelligent agents is developed to recreate the environment of negotiation of stock markets. The focus is analyze the behavior of movement/ fluctuation of stock markets. This movement can be captured by a measure called volatility, which is the difference between two stock prices in distinct periods. It characterizes the sensibility of a market change in the world economy. The contributions of this work are three-fold: (i) a simulation of dynamics of stock markets based in intelligent agents; (ii) based in this simulation an analysis of the volatility dynamic of the simulated time series; (iii) after that, a investigation about the relationship between the volatility of the markets, distribution of gain/loss money of agents and the coefficient of the exponential function based on the ideal gas theory of Maxwell-Boltzmann. This information can be used, for example, to predict the future behavior of the markets.