Modeling of investment strategies in stocks markets: an approach from multi agent based simulation and fuzzy logic

This paper presents a simulation model of a complex system, in this case a financial market, using a Multi-Agent Based Simulation approach. Such model takes into account microlevel aspects like the Continuous Double Auction mechanism, which is widely used within stock markets, as well as investor ag...

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Autores:: Escobar Garcés, Alejandro
Moreno Cadavid, Julián
Múnera Álvarez, Sebastián Fernando

Tipo de recurso:: Article of journal

Fecha de publicación:: 2010

Institución:: Universidad Nacional de Colombia

Repositorio:: Universidad Nacional de Colombia

Idioma:: spa

Description
Summary:	This paper presents a simulation model of a complex system, in this case a financial market, using a Multi-Agent Based Simulation approach. Such model takes into account microlevel aspects like the Continuous Double Auction mechanism, which is widely used within stock markets, as well as investor agents reasoning who participate looking for profits. To model such reasoning several variables were considered including general stocks information like profitability and volatility, but also some agent’s aspects like their risk tendency. All these variables are incorporated throughout a fuzzy logic approach trying to represent in a faithful manner the kind of reasoning that nonexpert investors have, including a stochastic component in order to model human factors.

Modeling of investment strategies in stocks markets: an approach from multi agent based simulation and fuzzy logic

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