Cognitive Agents Behaving in a Simple Stock Market Structure
We introduce here the SUM model-the Surprising (Un)realistic Market model-an agent based framework that allows us to deal with the micro-foundations of a stock market. We avoid any artificially simplified solution about price formation, such as to employ an auctioneer to clear the market; on the contrary, our model produces time series of prices continuously evolving, transaction by transaction.
KeywordsArtificial Neural Network Cognitive Agent External Objective Random Coefficient Current Price
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