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.

scholarly journals Identification of the Efficiency Gap by Coupling a Fundamental Electricity Market Model and an Agent-Based Simulation Model

Energies ◽  
2020 ◽  
Vol 13 (15) ◽  
pp. 3920
Author(s):  
Laura Torralba-Díaz ◽  
Christoph Schimeczek ◽  
Matthias Reeg ◽  
Georgios Savvidis ◽  
Marc Deissenroth-Uhrig ◽  
...  
Keyword(s):  
Simulation Model ◽  
Electricity Market ◽  
Policy Instruments ◽  
Cost Effective ◽  
Market Model ◽  
Perfect Competition ◽  
Agent Based Simulation ◽  
Agent Based ◽  
Target States ◽  
Efficiency Gap

A reliable and cost-effective electricity system transition requires both the identification of optimal target states and the definition of political and regulatory frameworks that enable these target states to be achieved. Fundamental optimization models are frequently used for the determination of cost-optimal system configurations. They represent a normative approach and typically assume markets with perfect competition. However, it is well known that real systems do not behave in such an optimal way, as decision-makers do not have perfect information at their disposal and real market actors do not take decisions in a purely rational way. These deficiencies lead to increased costs or missed targets, often referred to as an “efficiency gap”. For making rational political decisions, it might be valuable to know which factors influence this efficiency gap and to what extent. In this paper, we identify and quantify this gap by soft-linking a fundamental electricity market model and an agent-based simulation model, which allows the consideration of these effects. In order to distinguish between model-inherent differences and non-ideal market behavior, a rigorous harmonization of the models was conducted first. The results of the comparative analysis show that the efficiency gap increases with higher renewable energy shares and that information deficits and policy instruments affect operational decisions of power market participants and resulting overall costs significantly.

scholarly journals Disposition Effect in an Agent-based Financial Market Model

2014 ◽  
Vol 31 ◽  
pp. 680-690 ◽  
Author(s):  
Bangwei Li ◽  
Wei Shang ◽  
Hongquan Li ◽  
Lin Huo ◽  
Shanying Xu
Keyword(s):  
Financial Market ◽  
Market Model ◽  
Disposition Effect ◽  
Agent Based
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