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Simulation experiment of continuous double auction stock market based on multi-agent model

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5 Author(s)
Hongtao Zhou ; Institute of Systems Engineering, Huazhong University of Science and Technology, Wuhan, China ; Jiang Jiang ; Wei Zeng ; Guangyong Liu
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This paper uses the agent-based modeling approach to construct an artificial stock market with the continuous double auction mechanism. In this market, several psychological effects that described in behavioral finance (such as anchoring effect, mental accounting and disposition effect), are introduced into the decision process of agent to illustrate the impact of agent's psychological factors. Base on this model, this paper mainly studied the nonlinear dynamical characteristics of stock market, the comparison of two trading strategies, as well as the relationship between the tick size and the trading volume, under the influence of agent's psychological factors.

Published in:

Progress in Informatics and Computing (PIC), 2010 IEEE International Conference on  (Volume:1 )

Date of Conference:

10-12 Dec. 2010