AN ARTIFICIAL STOCK MARKET

Martin Sewell

Abstract

To set the scene, fundamental analysis, technical analysis, behavioural finance and multiagent systems are introduced and discussed. The work utilizes behavioural finance; the evolved heuristics and biases exhibited by fundamental analysts and technical analysts, inducing underreaction and overreaction, are used to build an agent-based artificial stock market. Results showed that whether a fundamental analyst, or a technical analyst, it pays to be in a small majority of about 60 per cent, whilst being in a small minority is the least profitable position to be in. As the number of technical analysts increases, the standard deviation of returns decreases, whilst the skewness increases. Whilst kurtosis of market returns peaks with around 40 per cent technical analysts, and rapidly declines as the number of technical analysts exceeds 90 per cent. The autocorrelation of returns is close to zero with 100 per cent fundamental analysts, and approaches one as the proportion of technical analysts approaches 100 per cent. The artificial stock market replicates mean returns, the standard deviation of returns, the absolute returns correlation and the squared returns correlation of a real stock market, but failed to accurately replicate the skewness, kurtosis and autocorrelation of returns.

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Paper Citation


in Harvard Style

Sewell M. (2012). AN ARTIFICIAL STOCK MARKET . In Proceedings of the 4th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART, ISBN 978-989-8425-96-6, pages 293-300. DOI: 10.5220/0003687002930300


in Bibtex Style

@conference{icaart12,
author={Martin Sewell},
title={AN ARTIFICIAL STOCK MARKET},
booktitle={Proceedings of the 4th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,},
year={2012},
pages={293-300},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003687002930300},
isbn={978-989-8425-96-6},
}


in EndNote Style

TY - CONF
JO - Proceedings of the 4th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,
TI - AN ARTIFICIAL STOCK MARKET
SN - 978-989-8425-96-6
AU - Sewell M.
PY - 2012
SP - 293
EP - 300
DO - 10.5220/0003687002930300