Diffusion and aggregation in an agent based model of stock market fluctuations
Authored by Filippo Castiglione
Date Published: 2000-07
DOI: 10.1142/s0129183100000754
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Abstract
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a strategy chosen from a proportional voting `'dominated” by a leader's decision. The interplay of both kind of agents gives rise to complex price dynamics that is consistent with the main stylized facts of financial time series. The present model incorporates many features of other known models and is meant to be the first step toward the construction of an agent-based model that uses more realistic markets rules, strategies, and information structures.
Tags
Social influence
Financial market
agents-based models
collective analysis
lattice gas