Summary
We explore market dynamics generated by the Santa-Fe Artificial Stock Market model. It allows to study how agents adapt themselves to a market dynamic without knowing its generation process. It was shown by Arthur and LeBaron, with the help of computer experiments, that agents in bounded rationality can make a rational global behavior emerge in this context. In the original model, agents do not ground their decision on an economic logic. Hence, we modify indicators used by agents to watch the market to give them more economic rationality. This leads us to divide agents in two groups: fundamentalists agents, who watch the market with classic economic indicators and speculator agents, who watch the market with technical indicators. This split allows us to study the influence of individual agents behaviors on global price dynamics. In this article, we show with the help of computational simulations that these two types of agents can generate classical market dynamics as well as perturbed ones (bubbles and kraches).
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
B. Arthur. Inductive reasoning and bounded rationality: the el-farol problem. American Economic Review, 84:406–417, 1994.
B. Arthur. Inductive reasoning and bounded rationality: the el-farol problem. American Economic Review, 84:406–417, 1994.
B.W. Arthur, J.H. Holland, B. LeBaron, R.G. Palmer, and P. Tayler. Asset pricing under endogeneous expectations in an artificial stock market. In D. Lane B.W. Arthur and S.N. Durlauf, editors, The Economy as an Evolving Complex System II, pages 15–44, 1997.
N. Ehrentreich. A corrected version of the santa fe institute artificial stock market model. Working Paper, Martin Luther Universitat, Dept of Banking and Finance, Halle-Wittenberg (Germany), September 2003.
S. Focardi, S. Cincotti, and M. Marchesi. Self-organization and market crashes. Journal of Economic Behavior and Organization, 49(2):241–267, 2002.
L. Gulyas, B. Adamcsek, and A. Kiss. An early agent-based stock market: Replicaton and participation. Proceedings of the NEU 2003, 2003.
L. Gulyas, B. Adamcsek, and A. Kiss. An early agent-based stock market: Replicaton and participation. Proceedings of the NEU 2003, 2003.
N.F. Johnson, D. Lamper, P. Jeffries, M.L. Hart, and S. Howison. Application of multi-agent games to the prediction of financial time-series. Oxford Financial Research Centre Working Papers Series N o 2001 mf04., 2001.
J. M. Keynes. The General Theory of Interest, Employment and Money. MacMillan, London, 1936.
B. LeBaron. Experiments in evolutionnary finance. Working Paper, University of Wisconsin-Madison, August 1995.
B. LeBaron. Evolution and time horizons in an agent based stock market. Macroeconomic Dynamics, 5(2):225–254, 2001.
B. LeBaron. Building the santa fe artificial stock market. Working Paper, Brandeis University, June 2002.
H. Levy, M. Levy, and S. Solomon. A microscopic model of the stock market: Cycles, booms, and crashes. Economic Letters, 45(1):103–111, May 1994.
A. Orléan. Le pouvoir de la finance. 1999.
R.G. Palmer, W.B. Arthur, J.H. Holland, B. LeBaron, and P. Tayler. Artificial economic life: A simple model of a stockmarket. Physica D, 75:264–274, 1994.
P.A. Samuelson. Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, (6):41–49, 1965.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2006 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Derveeuw, J. (2006). Market Dynamics and Agents Behaviors: a Computational Approach. In: Beckmann, M., et al. Artificial Economics. Lecture Notes in Economics and Mathematical Systems, vol 564. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-28547-4_2
Download citation
DOI: https://doi.org/10.1007/3-540-28547-4_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-28578-6
Online ISBN: 978-3-540-28547-2
eBook Packages: Business and EconomicsEconomics and Finance (R0)