Stylized Facts Study through a Multi-Agent Based Simulation of an Artificial Stock Market

Zahra Kodia (), Lamjed Ben Said () and Khaled Ghedira ()
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Zahra Kodia: LI3/ENSI
Lamjed Ben Said: LI3/ENSI
Khaled Ghedira: LI3/ENSI

A chapter in Progress in Artificial Economics, 2010, pp 27-38 from Springer

Abstract: Abstract This paper explores the dynamics of stock market from a psychological perspective using a multi-agent simulation model. We study the stock market trading behavior and the interactions between traders. We propose a novel model which includes behavioral and cognitive attitudes of the trader at the micro level and explains their effects on his decision making at the macro level. The proposed simulator is composed of heterogeneous Trader agents with a behavioral cognitive model and the CentralMarket agent matching buying and selling orders. Simulation experiments are being performed to observe stylized facts of the financial times series and to show that the psychological attitudes have many consequences on the stock market dynamics. These experiments show that the modelization of the micro level led us to observe emergent socio-economic phenomena at the macro level.

Keywords: Stock Market; Stylize Fact; Price Return; Order Book; Informational Process (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_3

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DOI: 10.1007/978-3-642-13947-5_3

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