Multi-agent simulation of financial market with transaction costs influence
ČlánekOtevřený přístuppeer-reviewedpublishedDatum publikování
2011
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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)
1804-8048 (Online)
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Projekt
Zdrojový dokument
Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 22 (4/2011)
Vydavatelská verze
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ISBN
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Signatura tištěné verze
47940-22
Umístění tištěné verze
Univerzitní knihovna (studovna)
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Klíčová slova
agent-based, financial market, netLogo, direct interactions, technical analysis, fundamental analysis, simulation