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Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems

Author

Listed:
  • Iris Lucas

    (RI2C - LITIS - Equipe Réseaux d'interactions et Intelligence Collective - LITIS - Laboratoire d'Informatique, de Traitement de l'Information et des Systèmes - ULH - Université Le Havre Normandie - NU - Normandie Université - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université - INSA Rouen Normandie - Institut national des sciences appliquées Rouen Normandie - INSA - Institut National des Sciences Appliquées - NU - Normandie Université)

  • Michel Cotsaftis

    (ECE Paris)

  • Cyrille Bertelle

    (RI2C - LITIS - Equipe Réseaux d'interactions et Intelligence Collective - LITIS - Laboratoire d'Informatique, de Traitement de l'Information et des Systèmes - ULH - Université Le Havre Normandie - NU - Normandie Université - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université - INSA Rouen Normandie - Institut national des sciences appliquées Rouen Normandie - INSA - Institut National des Sciences Appliquées - NU - Normandie Université)

Abstract

Multiagent systems (MAS) provide a useful tool for exploring the complex dynamics and behavior of financial markets and now MAS approach has been widely implemented and documented in the empirical literature. This paper introduces the implementation of an innovative multi-scale mathematical model for a computational agent-based financial market. The paper develops a method to quantify the degree of self-organization which emerges in the system and shows that the capacity of self-organization is maximized when the agent behaviors are heterogeneous. Numerical results are presented and analyzed, showing how the global market behavior emerges from specific individual behavior interactions.

Suggested Citation

  • Iris Lucas & Michel Cotsaftis & Cyrille Bertelle, 2017. "Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems," Post-Print hal-02114933, HAL.
    • Handle: RePEc:hal:journl:hal-02114933
    DOI: 10.1142/S0218127417502194
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    References listed on IDEAS

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    Cited by:

    1. Iris Lucas & Michel Cotsaftis & Cyrille Bertelle, 2018. "Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach," Post-Print hal-02114928, HAL.

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