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Diffusion And Aggregation In An Agent Based Model Of Stock Market Fluctuations

Author

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  • FILIPPO CASTIGLIONE

    (Center for Applied Computer Science, University of Cologne, Weyertal 80, D-50931 Köln, Germany)

Abstract

We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a strategy chosen from a proportional voting "dominated" by a leader's decision. The interplay of both kind of agents gives rise to complex price dynamics that is consistent with the main stylized facts of financial time series. The present model incorporates many features of other known models and is meant to be the first step toward the construction of an agent-based model that uses more realistic markets rules, strategies, and information structures.

Suggested Citation

  • Filippo Castiglione, 2000. "Diffusion And Aggregation In An Agent Based Model Of Stock Market Fluctuations," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 11(05), pages 865-879.
    • Handle: RePEc:wsi:ijmpcx:v:11:y:2000:i:05:n:s0129183100000754
    DOI: 10.1142/S0129183100000754
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