Title

On artificial adaptive agents models of stock markets

Document Type

Journal article

Source Publication

Simulation

Publication Date

5-1-1997

Volume

68

Issue

5

First Page

279

Last Page

289

Keywords

Artificial adaptive agents, deterministic chaos, linear regression, stock market

Abstract

The complex behavior of share prices in a stock market is studied under a modeling technique of artificial adaptive agents. Individual agents who are active in the market are identified and represented by mathematical functions. Share price is then determined by an arithmetic sum of these functions. Iterations of the models produce a time series of share prices, which exhibits nonlinearities similar to those found in real-world stock markets. Several experiments are reported in this paper. The wealth held by an agent at the beginning of the experiment and the method by which the agent adapts himself to market trends are shown to be important to the success of the agent.

DOI

10.1177/003754979706800503

Print ISSN

00375497

Publisher Statement

Copyright © 1997, Sage Publications. All rights reserved. Access to external full text or publisher's version may require subscription.

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