title: |
Predicting Technical Investors' Decisions in a Financial Market through Agent-Based Simulation |
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publication: |
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part of series: |
Advances in Intelligent Systems Research | |
ISBN: |
978-90-78677-01-7 | |
ISSN: |
1951-6851 | |
DOI: |
doi:10.2991/jcis.2006.328 (how to use a DOI) | |
author(s): |
Yoshiki Kano, Takao Terano |
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corresponding author: |
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publication date: |
October 2006 |
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keywords: |
Artificial market, Agent based simulation, Behavioral finance, |
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abstract: |
We are developing an artificial stock market model with investor agents in order to analyze characteristics of a market price. In this paper, we analyze the effects of agent’s reaction rate to technical indicators in a financial market. Intensive experiments have suggested that trend follow investor tends to change his reaction rate frequently to increase his wealth. Moreover, we could get positive return using proper technical indicators in a given artificial stock price path. Based on these results, we propose a simple price estimation method in a real financial market. |
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copyright: |
©
Atlantis Press. This is an open-access article distributed under the
terms of the Creative Commons Attribution License, which permits
non-commercial use, distribution and reproduction in any medium,
provided the original work is properly cited. |
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full text: |