A simple agent-based financial market model: Direct interactions and comparisons of trading profits

We develop an agent-based financial market model in which agents follow technical and fundamental trading rules to determine their speculative investment positions. A central feature of our model is that we consider direct interactions between speculators due to which they may decide to change their trading behavior. For instance, if a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in the recent past, the probability that the technical trader switches to fundamental trading rules is relatively high. Our simple setup is able to replicate some salient features of asset price dynamics.

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Year of publication:	2009
Authors:	Westerhoff, Frank
Publisher:	Bamberg : Bamberg University, Bamberg Economic Research Group on Government and Growth (BERG)
Subject:	Agent-based Model \| Internationaler Finanzmarkt \| Anlageverhalten \| Informationsverbreitung \| Wertpapieranalyse \| Kapitalertrag \| Effizienzmarktthese \| Theorie \| Agent-based financial market models \| direct interactions \| evolutionary fitness measures \| technical and fundamental analysis \| stylized facts of financial markets

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Series:	BERG Working Paper Series on Government and Growth ; 61
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	978-3-931052-67-6
Other identifiers:	593475402 [GVK] hdl:10419/38759 [Handle] RePEc:zbw:bamber:61 [RePEc]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets
Source:	EconStor

Persistent link: https://www.econbiz.de/10010300807