AN ARTIFICIAL STOCK MARKET IN A SYSTEM DYNAMICS APPROACH

摘要

In order to model the stock market behavior and characterize asset price andwealth dynamics arising form interactions of heterogeneous agents, this paper studies theprice dynamics induced by two of the most commonly used financial trading strategies. Itshows how these strategies amplify noise, and cause phenomena such as excess and clustervolatility.Since this kind of study starts from the analysis of trading strategies, it follows thebottom-up approach that is typical of agent-based financial markets. Investors’ tradingrules are modeled, more or less, as the strategies used in the real world.In closing, some of the questions centred on market stability will be discussed. Noattempt has been made to make forecasts, which are not trivial for this kind of models.To model market behavior and trading strategies, system dynamics methodologyhas been used.