Understanding Financial Market States Using an Artificial Double Auction Market.

ABSTRACT: The ultimate value of theories describing the fundamental mechanisms behind asset prices in financial systems is reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidence from the fields of finance, mathematics, and even physics, previous theories that attempt to address the complexities of financial markets in full have been inadequate. We propose an artificial double auction market as an agent-based model to study the origin of complex states in financial markets by characterizing important parameters with an investment strategy that can cover the dynamics of the financial market. The investment strategies of chartist traders in response to new market information should reduc

SUBMITTER: Yim K 

PROVIDER: S-EPMC4816384 | biostudies-literature | 2016

REPOSITORIES: biostudies-literature