Digitální knihovnaUPCE
 

Multi-agent simulation of financial market with transaction costs influence

ČlánekOtevřený přístuppeer-reviewedpublished
Náhled

Datum publikování

2011

Vedoucí práce

Oponent

Název časopisu

Název svazku

Vydavatel

Univerzita Pardubice

Abstrakt

We implement a multi-agent financial market model simulation in which agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators due to which they may decide to change their trading behaviour. For instance, if a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in the recent past, the probability that the technical trader switches to fundamental trading rules is relatively high. In particular the influence of transaction costs is studied, which can be increased by the off-market regulation (for example in the form of taxes) on market stability, the overall volume of trade and other market characteristics.

Rozsah stran

p. 165-175

ISSN

1211-555X (Print)
1804-8048 (Online)

Trvalý odkaz na tento záznam

Projekt

Zdrojový dokument

Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 22 (4/2011)

Vydavatelská verze

Přístup k e-verzi

Název akce

ISBN

Studijní obor

Studijní program

Signatura tištěné verze

47940-22

Umístění tištěné verze

Univerzitní knihovna (studovna)

Přístup k tištěné verzi

Klíčová slova

agent-based, financial market, netLogo, direct interactions, technical analysis, fundamental analysis, simulation

Endorsement

Review

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