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Modelo de autómatas celulares para la dinámica de un mercado financiero. Estrategias, imitación y estados de ánimo

Author

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  • Juan José María Martínez

    (CIETyMA-UNSAM)

Abstract

We present a model of artificial market generated by heterogeneous agents to simulate the stylized facts observed in real markets. This model, from the minimalist approach of a complex system, intended to reproduce these phenomena with minimum cost and generate a parametric heuristic scalable in complexity from a stochastic micro-foundation and a price mechanism that includes bounded rationality, imitation, adaptation and moods.

Suggested Citation

  • Juan José María Martínez, 2018. "Modelo de autómatas celulares para la dinámica de un mercado financiero. Estrategias, imitación y estados de ánimo," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 64, pages 46-94, January-D.
    • Handle: RePEc:lap:journl:614
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    File URL: https://revistas.unlp.edu.ar/Economica/article/view/6017/5549
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    More about this item

    Keywords

    Financial Markets; Stylized facts; Agent-based models; Simulation.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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