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Fraudulent Agents in an Artificial Financial Market

Enrico Scalas (), Silvano Cincotti, Christian Dose and Marco Raberto ()
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Silvano Cincotti: DIBE, Università di Genova
Christian Dose: DIBE, Università di Genova

A chapter in Nonlinear Dynamics and Heterogeneous Interacting Agents, 2005, pp 317-326 from Springer

Abstract: Summary The problem of insider trading and other illegal practices in financial markets is an important issue in the field of financial regulatory policies. Market control bodies, such as the US SEC or the Italian CONSOB [1], regularly perform statistical analyses on security prices in order to unveil clues of fraudulent behaviour within the market. Fraudulent behaviour is connected to the more general problem of information asymmetries, which had already been addressed in the field of experimental economics (see, for instance, refs. [2, 3, 4]). Recently, interesting conclusions were drawn thanks to a computer-simulated market at MIT where agents had different pieces of information about the future dividend cash flow of exchanged securities [5]. In particular, in the MIT simulated market, the intelligent agents can replicate various findings of human-based experiments. Here, by means of an agent-based artificial market: the Genoa Artificial Stock Market (GASM) [6, 7], the more specific problem of fraudulent behavi our in a financial market is studied. A simplified model of fraudulent behaviour is implemented.

Keywords: Financial Market; Central Bank; Stock Price; Information Asymmetry; Equilibrium Price (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-540-27296-0_21

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DOI: 10.1007/3-540-27296-8_21

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