Heterogeneous trading agents

In this paper, we present a multi agent system (MAS) simulation of a financial market and investigate the requirements to obtain realistic data. The model consists of autonomous, interactive agents that buy stock on a financial market. Transaction decisions are based on a number of individual and collective elements. The former being risk aversion and a set of decision rules reflecting their anticipation of the future evolution of prices and dividends. The latter is the information arriving on the market influencing the decision making process of each trader. We specifically look at this process and the following observations hold : The market behaviour is determined by the information arriving at the market and agent heterogeneity is required in order to obtain the right statistical properties of the price and return time series. The observed results are not sensitive to changes in the parameter values.