A Minimal Agent-Based Model and Self-Organization of Financial Markets

2013 ◽  
pp. 55-86
Author(s):  
Matthieu Cristelli
Keyword(s):  
Financial Markets ◽  
Self Organization ◽  
Agent Based Model ◽  
Agent Based

Analyzing the Influences of Passive Investment Strategies on Financial Markets via Agent-Based Modeling

2008 ◽  
pp. 224-238 ◽  
Author(s):  
Hiroshi Takahashi ◽  
Satoru Takahashi ◽  
Takao Terano
Keyword(s):  
Asset Pricing ◽  
Financial Markets ◽  
Financial Market ◽  
Investment Strategy ◽  
Agent Based Modeling ◽  
Investment Strategies ◽  
Agent Based Model ◽  
Efficient Market ◽  
Agent Based ◽  
Price Fluctuations

This chapter develops an agent-based model to analyze microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. This analysis focuses on the effects of Passive Investment Strategy in a financial market. From the extensive analyses, we have found that (1) Passive Investment Strategy is valid in a realistic efficient market, however, it could have bad influences such as instability of market and inadequate asset pricing deviations, and (2) under certain assumptions, Passive Investment Strategy and Active Investment Strategy could coexist in a Financial Market.

Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems

2017 ◽  
Vol 27 (14) ◽  
pp. 1750219 ◽  
Author(s):  
Iris Lucas ◽  
Michel Cotsaftis ◽  
Cyrille Bertelle
Keyword(s):  
Financial Markets ◽  
Multiagent Systems ◽  
Financial Market ◽  
Complex Dynamics ◽  
Global Market ◽  
Self Organization ◽  
Empirical Literature ◽  
Agent Based ◽  
Multi Scale ◽  
And Behavior

Multiagent systems (MAS) provide a useful tool for exploring the complex dynamics and behavior of financial markets and now MAS approach has been widely implemented and documented in the empirical literature. This paper introduces the implementation of an innovative multi-scale mathematical model for a computational agent-based financial market. The paper develops a method to quantify the degree of self-organization which emerges in the system and shows that the capacity of self-organization is maximized when the agent behaviors are heterogeneous. Numerical results are presented and analyzed, showing how the global market behavior emerges from specific individual behavior interactions.

scholarly journals Minimal agent based model for financial markets II

2009 ◽  
Vol 67 (3) ◽  
pp. 399-417 ◽  
Author(s):  
V. Alfi ◽  
M. Cristelli ◽  
L. Pietronero ◽  
A. Zaccaria
Keyword(s):  
Financial Markets ◽  
Agent Based Model ◽  
Agent Based
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