Elements of decisional dynamics: An agent-based approach applied to artificial financial market.

Clicks: 202
ID: 70088
2018
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Abstract
This paper introduces an original mathematical description for describing agents' decision-making process in the case of problems affected by both individual and collective behaviors in systems characterized by nonlinear, path dependent, and self-organizing interactions. An application to artificial financial markets is proposed by designing a multi-agent system based on the proposed formalization. In this application, agents' decision-making process is based on fuzzy logic rules and the price dynamics is purely deterministic according to the basic matching rules of a central order book. Finally, while putting most parameters under evolutionary control, the computational agent-based system is able to replicate several stylized facts of financial time series (distributions of stock returns showing a heavy tail with positive excess kurtosis, absence of autocorrelations in stock returns, and volatility clustering phenomenon).
Reference Key
lucas2018elementschaos Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Lucas, Iris;Cotsaftis, Michel;Bertelle, Cyrille;
Journal chaos (woodbury, ny)
Year 2018
DOI
10.1063/1.5010185
URL
Keywords
Machine learning economics finance computer science random forests excess return stock selection

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