Wan, Hakman A. and Hunter, Andrew (1997) On artificial adaptive agents models of stock markets. Simulation, 68 (5). pp. 279-290. ISSN 0037-5497
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The complex behavior of share prices in a stock market is studied under a modeling technique of artificial adaptive agents. Individual agents who are active in the market are identified and represented by mathematical functions. Share price is then determined by an arithmetic sum of these functions. Iterations of the models produce a time series of share prices, which exhibits nonlinearities similar to those found in real-world stock markets. Several experiments are reported in this paper. The wealth held by an agent at the beginning of the experiment and the method by which the agent adapts himself to market trends are shown to be important to the success of the agent.
| Item Type: | Article |
|---|---|
| Additional Information: | The complex behavior of share prices in a stock market is studied under a modeling technique of artificial adaptive agents. Individual agents who are active in the market are identified and represented by mathematical functions. Share price is then determined by an arithmetic sum of these functions. Iterations of the models produce a time series of share prices, which exhibits nonlinearities similar to those found in real-world stock markets. Several experiments are reported in this paper. The wealth held by an agent at the beginning of the experiment and the method by which the agent adapts himself to market trends are shown to be important to the success of the agent. |
| Keywords: | Artificial adaptive agents, deterministic chaos, linear regression, stock market |
| Subjects: | G Mathematical and Computer Sciences > G400 Computer Science |
| Divisions: | College of Sciences > Faculty of Science > Lincoln School of Computer Science |
| Depositing User: | Rosaline Smith |
| Date Deposited: | 13 Jul 2010 19:43 |
| Last Modified: | 18 Jul 2011 16:27 |
| URI: | http://eprints.lincoln.ac.uk/id/eprint/2779 |
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