Agent-Oriented Modeling of Stock Market
Journal Title: Бізнес Інформ - Year 2015, Vol 1, Issue 0
Abstract
In article the main points of the conception of agent-oriented modeling are considered, an interpretation of the term «agent» is presented, agent-oriented models of financial markets are analyzed. The main attention is paid to the agent-oriented model of stock market by Lux and Marchesi, which was used as a basis for development of a programming unit for calculation of artificial market to simulate stock market's activity and predict its price dynamics. As result of computer simulation, a forecast of dynamics of prices change and profitability of shares, distribution of traders on the chartists and fundamentalists, economic sentiment index that characterizes the relationship between pessimistic and optimistic chartists, have been obtained. The proposed approach can be used to predict dynamics of the domestic stock market or its individual components under the conditions of high volatility of prises and sudden change of traders' sentiments.
Authors and Affiliations
Andrii Prymostka
Keywords
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