The Statistical Properties of Price Fluctuation by Computer Agent in U-Mart Virtual Futures Market Simulator
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Artificial Market is a growing research area where economist, scientist and engineers collaborate to understand real world’s market as complex systems. The shape of the distribution of price fluctuation in market is one of the active topics in the research of artificial market. The aim of this paper is to simulate the market from the bottom up and investigate it. We attempt to clarify some statistical properties of it using U-Mart virtual stock price index futures simulator — an agent-based economic simulator. Agent-based simulation is promising method for complex systems such as economics or mass psychology. U-Mart simulator is characterized by dealing with virtual stock price index futures of real stock price index in order to hold a connection between virtual and real world. We show that the high peaked and fat tailed distributions of price fluctuation can emerge from the agents whose price fluctuation on order is normal distribution. We show that kurtosis — the measure of high peak and fat tail — increases when all agents become more conservative. We also show that kurtosis increases when a small number of large traders exist in a large number of small traders.
KeywordsArtificial Market Agent-Based Simulation Price Fluctuation U-Mart Complex Systems
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