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 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.

• 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
• OAI Identifier: oai:repositorio.unal.edu.co:unal/37600
• Acceso en línea: https://repositorio.unal.edu.co/handle/unal/37600; http://bdigital.unal.edu.co/27684/
• Palabra clave: MABS; Stock Market; Continuous Double Auction; Fuzzy Logic.
• Rights: openAccess
• License: Atribución-NoComercial 4.0 Internacional