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 micro-level 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 non-expert investors have, including a stochastic component in order to model human factors.
| Main Authors: | , , |
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| Format: | Digital revista |
| Language: | English |
| Published: |
Universidad Nacional de Colombia
2010
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| Online Access: | http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0012-73532010000300022 |
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