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Drawing Technical Figures in Double Auction Artificial Stock Markets

机译:在双重拍卖人工股票市场中绘制技术数据

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This paper presents an artificial stock market that is able to reproduce both technical figures, such as the price bouncing between support and resistance lines, and some typical stylized facts of financial time series. The proposed mar ket implements a continuous double auction system where agents can either follow a fundamental or a chartist investment approach. Some novelties are introduced to this setting. Firstly, the fundamental strategy is based on a time-varying fundamental value, which does not exhibit the stylized facts of financial time series. The funda mental strategy tries to make the price follow this fundamental value. Secondly, chartist agents can adopt either a trend-following or a bouncing strategy. Interest ingly, chartist strategies are implemented taking into account the support and resis tance lines that each agent draws. As a result of both investment approaches, some typical technical figures can be spotted on the time series of the prices.
机译:本文介绍了一个人造股票市场,它能够复制两个技术指标,例如支撑线和阻力线之间的价格反弹以及金融时间序列的一些典型程式化事实。拟议的市场实施了一个连续的双重拍卖系统,在该系统中,代理商可以遵循基本投资或特许投资的方法。此设置引入了一些新颖性。首先,基本策略基于随时间变化的基本值,该基本值不显示金融时间序列的风格化事实。基本面策略试图使价格跟随这一基本价值。其次,特许代理可以采用趋势跟踪或反弹策略。有趣的是,在考虑到每个特工所汲取的支持和抵抗线的情况下实施了宪章策略。通过这两种投资方法,可以在价格的时间序列上找到一些典型的技术数字。

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