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Agent-Based Models of Stock Exchange: Analysis via Computational Simulation

In: Network Models in Economics and Finance

Author

Listed:
  • Lyudmila G. Egorova

    (National Research University Higher School of Economics, International Laboratory of Decision Choice and Analysis, Laboratory of Algorithms and Technologies for Network Analysis)

Abstract

We introduce simulation models of stock exchange to explore which traders are successful and how their strategies influence to their wealth and probability of bankruptcy.

Suggested Citation

  • Lyudmila G. Egorova, 2014. "Agent-Based Models of Stock Exchange: Analysis via Computational Simulation," Springer Optimization and Its Applications, in: Valery A. Kalyagin & Panos M. Pardalos & Themistocles M. Rassias (ed.), Network Models in Economics and Finance, edition 127, pages 147-158, Springer.
    • Handle: RePEc:spr:spochp:978-3-319-09683-4_8
    DOI: 10.1007/978-3-319-09683-4_8
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    References listed on IDEAS

    as
    1. Dieci, Roberto & Foroni, Ilaria & Gardini, Laura & He, Xue-Zhong, 2006. "Market mood, adaptive beliefs and asset price dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 29(3), pages 520-534.
    2. Fiess, Norbert M & MacDonald, Ronald, 2002. "Towards the fundamentals of technical analysis: analysing the information content of High, Low and Close prices," Economic Modelling, Elsevier, vol. 19(3), pages 353-374, May.
    3. Aleskerov, Fuad & Egorova, Lyudmila, 2012. "Is it so bad that we cannot recognize black swans?," Economics Letters, Elsevier, vol. 117(3), pages 563-565.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Economic modeling; Agent systems; Simulation;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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