A New Agent-Based Artificial Stock Market with Short-Term Dynamics

摘要：

Agent-based computational finance is attracting significant interest in many disciplines. But most artificial stock markets (ASM) was built in a complex manner and not suited for studying the short-term dynamics of stock market. This activated us to build a new model different from literatures in three main parts of designing an artificial stock market: economic environment, agents behavior and price formation. The results of simulation show that our model can reproduce the stylized facts of short-term dynamics.

关键词： financial engineering stylized facts artificial stock market short-term dynamics

作者: Xinghua Liu Jianmei Yang Bingyong Tang

作者单位: School of Information Management, Shandong Economic University, Jinan, 250014, China School of Business Administration, South China University of Technology, Guangzhou, 510641, China Glorious Sun School of Business and Management, Donghua University, Shanghai, 200051,China

会议类型: 国际会议

会议名称: 第三届IEEE无线通讯、网络技术暨移动计算国际会议

会议地点: 上海

会议语种:英文

在线出版日期: 2007-09-21（万方平台首次上网日期，不代表论文的发表时间）