Investigating General Equilibria in Artificial Stock Markets
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چکیده
We develop a new class of artificial stock market that apply general equilibrium price clearing. Our model is the first multi-asset artificial stock market to use exogenously generated dividends from a geometric vector autoregressive model and is therefore the first truly multi-asset artificial stock market. Our model does not require the concept of a risk free asset and agents are able to form demands for an arbitrary number of assets with arbitrary covariance structure. We derive an optimisation problem for computing approximate equilibrium prices that clear our market and then show our market is able to faithfully reproduce many real stock market dynamics and phenomenon.
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