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

被引：0
|
作者：
Liu, Xinghua [1 ]
Yang, Jianmei [2 ]
Tang, Bingyong [3 ]
机构：
[1] Shandong Econ Univ, Sch Informat Management, Jinan 250014, Peoples R China
[2] South China Univ Technol, Sch Business Adm, Guangzhou 510641, Guangdong, Peoples R China
[3] Donghua Univ, Glorious Sun Sch Business & Management, Shanghai 200051, Peoples R China
来源：
2007 INTERNATIONAL CONFERENCE ON WIRELESS COMMUNICATIONS, NETWORKING AND MOBILE COMPUTING, VOLS 1-15 | 2007年
基金：
中国博士后科学基金;
关键词：
financial engineering; stylized facts; artificial stock market; short-term dynamics;
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
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, agent's behavior and price formation. The results of simulation show that our model can reproduce the stylized facts of short-term dynamics.
引用
收藏
页码：4089 / +
页数：2
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