Agent’s Minimal Intelligence Calibration for Realistic Market Dynamics

Iryna Veryzhenko (), Olivier Brandouy () and Philippe Mathieu ()
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Iryna Veryzhenko: LEM
Olivier Brandouy: Sorbonne Graduate Business School
Philippe Mathieu: LIFL

A chapter in Progress in Artificial Economics, 2010, pp 3-14 from Springer

Abstract: Abstract This paper investigates the question of how much sophisticated in behavior and intelligence artificial traders need to be in order to replicate both qualitative and quantitative stylized facts within a realistic market microstructure. For this purpose, we introduce an agent-based simulation environment with an architecture close to the Euronext-NYSE Stock Exchange. Series of experiments with different kinds of agents’ behavior and trading framework specifications were realized within this environment. The results indicate that only special calibrations provide realistic stylized facts with coherent quantitative levels. We introduce a new type of agents, called in this paper “strongly calibrated agents”, with their specific environment design, that provide price dynamics in quantitative and qualitative accordance with real stock market characteristics.

Keywords: Stock Market; Stylize Fact; Price Dynamic; Agent Behavior; Order Type (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-13947-5_1

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DOI: 10.1007/978-3-642-13947-5_1

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