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Time Series Properties of an Artificial Stock Market

Author

Listed:
  • Arthur, W.B.
  • LeBaron, B.
  • Palmer, R.

Abstract

This paper presents results from an experiemtal computer simulated stock market. In this market artificial intelligence algorithms take on the role of traders. They make predictions about the future, and buy and sell stock an indicated by their expectations of future risk and return.

Suggested Citation

  • Arthur, W.B. & LeBaron, B. & Palmer, R., 1997. "Time Series Properties of an Artificial Stock Market," Working papers 9725, Wisconsin Madison - Social Systems.
    • Handle: RePEc:att:wimass:9725
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    References listed on IDEAS

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    More about this item

    Keywords

    FINANCIAL MARKET ; TIME SERIES;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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