Modelling an Artificial Financial Market: Agent Based Approach

Hidayet Beyhan and Burç Ülengin
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Hidayet Beyhan: Istanbul Technical University
Burç Ülengin: Istanbul Technical University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2021, vol. 36, issue Special2, 71-96

Abstract: A primitive agent-based artificial financial market is created based on the Genoa market model introduced by Raberto et al., (2001). We aim to replicate the stylized fact of financial asset returns to assure validity of model. Agents are endowed with prespecified cash and assets amount. Agents based simulation is run under different scenarios and results are examined. Agents differ when trading as being noise trader or an agent using technical trading. The model was able to replicate leptokurtic shape of probability density function, absence of autocorrelation and volatility clustering.

Keywords: Artificial Financial Market; Agent Based Model; Heterogenous Agents (search for similar items in EconPapers)
JEL-codes: C63 D31 G1 G11 G20 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:36:y:2021:i:special2:p:71-96

DOI: 10.33203/mfy.849275

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