Using realistic trading strategies in an agent-based stock market model
Bàrbara Llacay () and
Additional contact information
Bàrbara Llacay: Centre Internacional de Mètodes Numèrics en Enginyeria (CIMNE)
Gilbert Peffer: Centre Internacional de Mètodes Numèrics en Enginyeria (CIMNE)
Computational and Mathematical Organization Theory, 2018, vol. 24, issue 3, No 2, 308-350
Abstract The use of agent-based models (ABMs) has increased in the last years to simulate social systems and, in particular, financial markets. ABMs of financial markets are usually validated by checking the ability of the model to reproduce a set of empirical stylised facts. However, other common-sense evidence is available which is often not taken into account, ending with models which are valid but not sensible. In this paper we present an ABM of a stock market which incorporates this type of common-sense evidence and implements realistic trading strategies based on practitioners literature. We next validate the model using a comprehensive approach consisting of four steps: assessment of face validity, sensitivity analysis, calibration and validation of model outputs.
Keywords: Agent-based simulation; Validation; Calibration; Stylised facts; Technical trading (search for similar items in EconPapers)
JEL-codes: C63 G1 G20 G11 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s10588-017-9258-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:comaot:v:24:y:2018:i:3:d:10.1007_s10588-017-9258-0
Ordering information: This journal article can be ordered from
Access Statistics for this article
Computational and Mathematical Organization Theory is currently edited by Terrill Frantz and Kathleen Carley
More articles in Computational and Mathematical Organization Theory from Springer
Bibliographic data for series maintained by Sonal Shukla ().