DocumentCode
3511739
Title
An Agent-Based Model of Traders´ Interaction
Author
Gao Bao-jun ; Xu Xu-song ; Li Lu ; Zhang Ting
Author_Institution
Econ. & Manage. Sch., Wuhan Univ., Wuhan
fYear
2007
fDate
21-25 Sept. 2007
Firstpage
5745
Lastpage
5748
Abstract
In order to investigate what induce the stylized facts in financial markets, we built an agent-based financial market model in which agents interacted with their nearest neighbors and can adjust their propensity to be influenced by their neighbors according to trading histories. Agents´ actions are determined by their independent judgments, public news and neighbors´ influence. Simulation results show that the model can reproduce the stylized facts of fat tail and volatility clustering.
Keywords
multi-agent systems; pricing; stock markets; agent action; agent independent judgment; agent interaction; agent-based financial market model; fat tail; neighbor influence; price dynamics; public news; trader interaction; trading history; volatility clustering; Analytical models; Boundary conditions; Financial management; History; Instruments; Iron; Lattices; Nearest neighbor searches; Probability distribution; Tail;
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.2007.1408
Filename
4341183
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