Predicting Technical Investors' Decisions in a Financial Market through Agent-Based Simulation

DOI

10.2991/jcis.2006.328How to use a DOI?

Keywords

Artificial market, Agent based simulation, Behavioral finance,

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.

Copyright

© 2006, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yoshiki Kano
AU  - Takao Terano
PY  - 2006/10
DA  - 2006/10
TI  - Predicting Technical Investors' Decisions in a Financial Market through Agent-Based Simulation
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.328
DO  - 10.2991/jcis.2006.328
ID  - Kano2006/10
ER  -