Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems

Iris Lucas, Michel Cotsaftis and Cyrille Bertelle ()
Additional contact information
Iris Lucas: RI2C - LITIS - Equipe Réseaux d'interactions et Intelligence Collective - LITIS - Laboratoire d'Informatique, de Traitement de l'Information et des Systèmes - ULH - Université Le Havre Normandie - NU - Normandie Université - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université - INSA Rouen Normandie - Institut national des sciences appliquées Rouen Normandie - INSA - Institut National des Sciences Appliquées - NU - Normandie Université
Michel Cotsaftis: ECE Paris
Cyrille Bertelle: RI2C - LITIS - Equipe Réseaux d'interactions et Intelligence Collective - LITIS - Laboratoire d'Informatique, de Traitement de l'Information et des Systèmes - ULH - Université Le Havre Normandie - NU - Normandie Université - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université - INSA Rouen Normandie - Institut national des sciences appliquées Rouen Normandie - INSA - Institut National des Sciences Appliquées - NU - Normandie Université

Post-Print from HAL

Abstract: Multiagent systems (MAS) provide a useful tool for exploring the complex dynamics and behavior of financial markets and now MAS approach has been widely implemented and documented in the empirical literature. This paper introduces the implementation of an innovative multi-scale mathematical model for a computational agent-based financial market. The paper develops a method to quantify the degree of self-organization which emerges in the system and shows that the capacity of self-organization is maximized when the agent behaviors are heterogeneous. Numerical results are presented and analyzed, showing how the global market behavior emerges from specific individual behavior interactions.

Keywords: Multiagent system; Complex behavior; Decision-making process; Self-organization; Market microstructure (search for similar items in EconPapers)
Date: 2017-12-30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in International journal of bifurcation and chaos in applied sciences and engineering , 2017, 27 (14), pp.1750219. ⟨10.1142/S0218127417502194⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02114933

DOI: 10.1142/S0218127417502194

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().