AN ARTIFICIAL STOCK MARKET IN A SYSTEM DYNAMICS APPROACH

@inproceedings{ProvenzanoANAS,
  title={AN ARTIFICIAL STOCK MARKET IN A SYSTEM DYNAMICS APPROACH},
  author={Davide Provenzano}
}
In order to model the stock market behavior and characterize asset price and wealth dynamics arising form interactions of heterogeneous agents, this paper studies the price dynamics induced by two of the most commonly used financial trading strategies. It shows how these strategies amplify noise, and cause phenomena such as excess and cluster volatility. Since this kind of study starts from the analysis of trading strategies, it follows the bottom-up approach that is typical of agent-based… CONTINUE READING