Price Discovery in Agent-Based Computational Modeling of Artificial Stock Markets
نویسندگان
چکیده
This paper studies the behavior of price discovery within a context of an agent based stock market, in which the twin assumptions, namely, rational expectations and the representative agents normally made in mainstream economics, are removed. In this model, traders stochastically update their forecasts by searching the business school whose evolution is driven by genetic programming. Via these agent based simulations, it is found that, except for some extreme cases, the mean prices generated from these artificial markets deviate from the homogeneous rational expectation equilibrium (HREE) prices no more than by 20%. This figure provides us a rough idea on how different we can possibly be when the twin assumptions are not taken. Furthermore, while the HREE price should be a deterministic constant in all of our simulations, the artificial price series generated exhibit quite wild fluctuation, which may be coined as the well-known excessive volatility in finance.
منابع مشابه
Linear and nonlinear Granger causality in the stock price-volume relation: A perspective on the agent-based model of stock markets
From the perspective of the agent-based model of stock markets, this paper examines the possible explanations for the presence of the causal relation between stock returns and trading volume. The implication of this result is that the presence of the stock price-volume causal relation does not require any explicit assumptions like information asymmetry, reaction asymmetry, noise traders, or tax...
متن کاملمدلی ساده برای توضیح پویایی شاخص کل قیمت بازار سهام تهران
Modeling price fluctuations in financial markets is very important. We try to model price fluctuations in Tehran stock exchange using heterogeneous agents’ model. We used agent-based computational approach. In this model, there are two kinds of agents, some agents have extrapolating expectations (chartists) and others have stabilizing or mean-reverting expectations (fundamentalists)...
متن کاملStock Market Modeling Using Artificial Neural Network and Comparison with Classical Linear Models
Stock market plays an important role in the world economy. Stock market customers are interested in predicting the stock market general index price, since their income depends on this financial factor; Therefore, a reliable forecast in stock market can be extremely profitable for stockholders. Stock market prediction for financial markets has been one of the main challenges in forecasting finan...
متن کاملPredicting stock prices on the Tehran Stock Exchange by a new hybridization of Fuzzy Inference System and Fuzzy Imperialist Competitive Algorithm
Investing on the stock exchange, as one of the financial resources, has always been a favorite among many investors. Today, one of the areas, where the prediction is its particular importance issue, is financial area, especially stock exchanges. The main objective of the markets is the future trend prices prediction in order to adopt a suitable strategy for buying or selling. In general, an inv...
متن کاملForecasting Of Tehran Stock Exchange Index by Using Data Mining Approach Based on Artificial Intelligence Algorithms
Uncertainty in the capital market means the difference between the expected values and the amounts that actually occur. Designing different analytical and forecasting methods in the capital market is also less likely due to the high amount of this and the need to know future prices with greater certainty or uncertainty. In order to capitalize on the capital market, investors have always sough...
متن کامل