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An Artificial Stock Market with Interaction Network and Mimetic Agents

Benhammada, Sadek and Amblard, Frédéric and Chikhi, Salim An Artificial Stock Market with Interaction Network and Mimetic Agents. (2017) In: 9th International Conference on Agents and Artificial Intelligence (ICAART 2017), 24 February 2017 - 26 February 2017 (Porto, Portugal).

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Official URL: http://dx.doi.org/10.5220/0006118803900397

Abstract

Agent-based artificial stock markets attracted much attention over the last years, and many models have been proposed. However, among them, few models take into account the social interactions and mimicking behaviour of traders, while the economic literature describes investors on financial markets as influenced by decisions of their peers and explains that this mimicking behaviour has a decisive impact on price dynamics and market stability. In this paper we propose a continuous double auction model of financial market, populated by heterogeneous traders who interact through a social network of influence. Traders use different investment strategies, namely: fundamentalists who make a decisions based on the fundamental value of assets; hybrids who are initially fundamentalists, but switch to a speculative strategy when they detect an uptrend in prices; noise traders who don’t have sufficient information to take rational decisions, and finally mimetic traders who imitate the decisions of their mentors on the interactions network. An experimental design is performed to show the feasibility and utility of the proposed model.

Item Type:Conference or Workshop Item (Paper)
Additional Information:Thanks to SCITEPRESS (Science and Technology Publications) editor. This paper appears in volume 2 of Proceedings of the 9th International Conference on Agents and Artificial Intelligence ISBN: 978-989-758-220-2 The definitive version is available at: http://www.scitepress.org/DigitalLibrary/Link.aspx?doi=10.5220/0006118803900397
HAL Id:hal-01782550
Audience (conference):International conference proceedings
Uncontrolled Keywords:
Institution:French research institutions > Centre National de la Recherche Scientifique - CNRS (FRANCE)
Université de Toulouse > Institut National Polytechnique de Toulouse - INPT (FRANCE)
Université de Toulouse > Université Toulouse III - Paul Sabatier - UPS (FRANCE)
Université de Toulouse > Université Toulouse - Jean Jaurès - UT2J (FRANCE)
Université de Toulouse > Université Toulouse 1 Capitole - UT1 (FRANCE)
Other partners > Université Constantine 2 Abdelhamid Mehri (ALGERIA)
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Deposited By: IRIT IRIT
Deposited On:26 Mar 2018 12:34

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