An evolutionary agent-based model inspired by the adaptive market hypothesis is used to investigate the link between the microscopic parameter of sentiment and market price movements. Agents model cognitive and social behaviors by means of rules wired into their decision-making models and of parameters encoded in their genome. Results show that co-evolution and social interaction among traders are responsible for bubbles and crashes.
Investigating the role of social behavior in financial markets through agent-based simulation / A. Mauri, A.G.B. Tettamanzi - In: Proceedings of the 11th International Conference on Autonomous Agents and Multiagent Systems, AAMAS 2012 : 4th-8th june 2012, Valencia, Spain. 3 / [a cura di] V. Conitzer, M. Winikoff, L. Padgham, W. van der Hoek. - [s.l] : International foundation for autonomous agents and multiagent systems, 2012. - pp. 1339-1340 (( Intervento presentato al 11. convegno International Conference on Autonomous Agents and Multiagent Systems (AAMAS) tenutosi a València nel 2012.
Investigating the role of social behavior in financial markets through agent-based simulation
A.G.B. Tettamanzi
2012
Abstract
An evolutionary agent-based model inspired by the adaptive market hypothesis is used to investigate the link between the microscopic parameter of sentiment and market price movements. Agents model cognitive and social behaviors by means of rules wired into their decision-making models and of parameters encoded in their genome. Results show that co-evolution and social interaction among traders are responsible for bubbles and crashes.
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