scholarly journals TRANSACTION COSTS INFLUENCE ON THE STABILITY OF FINANCIAL MARKET: AGENT-BASED SIMULATION

2013 ◽  
Vol 14 (Supplement_1) ◽  
pp. S1-S12 ◽  
Author(s):  
Roman Šperka ◽  
Marek Spišák
Keyword(s):  
Transaction Costs ◽  
Financial Market ◽  
Positive Impact ◽  
State Theory ◽  
Market Model ◽  
Agent Based Simulation ◽  
Trading Rules ◽  
Agent Based ◽  
Market Stability ◽  
Financial Market Stability

We implement an agent-based simulation of financial market model. Agent-based simulations are used nowadays as an alternative to the traditional models, based on predetermined equilibrium state theory. Agent technology brings some kind of local intelligence and rational expectations to the decision support system of financial market participants. Agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators and they may decide to change their trading behaviour. If a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in recent past, the probability that the technical trader switches to the fundamental trading rules is relatively high. In particular the influence of transaction costs is studied in this paper. Transaction costs can be increased by the off-market regulation (for example in the form of taxes) on financial market stability, by overall volume of trade and other market characteristics. The paper shows a positive impact of suitable transaction costs on the financial market stability in the long run.

Effects of Price Regulations and Dark Pools on Financial Market Stability: An Investigation by Multiagent Simulations

2015 ◽  
Vol 23 (1-2) ◽  
pp. 97-120 ◽  
Author(s):  
Takanobu Mizuta ◽  
Shintaro Kosugi ◽  
Takuya Kusumoto ◽  
Wataru Matsumoto ◽  
Kiyoshi Izumi ◽  
...  
Keyword(s):  
Financial Market ◽  
Market Stability ◽  
Financial Market Stability ◽  
Dark Pools

scholarly journals Cognitive modeling of factors of financial market stability of Russia

2018 ◽  
Vol 24 (5) ◽  
pp. 1131-1148
Author(s):  
N.L. Badvan ◽  
◽  
O.S. Gasanov ◽  
A.N. Kuz'minov ◽  
◽  
...  
Keyword(s):  
Financial Market ◽  
Cognitive Modeling ◽  
Market Stability ◽  
Financial Market Stability
Sign in / Sign up

Export Citation Format

Share Document