FINANCIAL MARKET SIMULATION BASED ON INTELLIGENT AGENTS – CASE STUDY

Marek SPIÅ Ã K and Roman Å Perka

Journal of Applied Economic Sciences, 2011, vol. 6, issue 3(17)/ Fall 2011, 249-256

Abstract: We implement an agent-based financial market model simulation in which agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators due to which they may decide to change their trading behaviour. For instance, if a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in the recent past, the probability that the technical trader switches to fundamental trading rules is relatively high. In particular the influence of transaction costs is studied, which can be increased by the off-market regulation (for example in the form of taxes) on market stability, the overall volume of trade and other market characteristics.

Keywords: agent-based; financial market; netLogo; direct interactions; technical and fundamental analysis; simulation (search for similar items in EconPapers)
JEL-codes: C63 C88 G12 G14 G15 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ush:jaessh:v:6:y:2011:i:3(17)_fall:p:249

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