Emergent stock market behaviour from a multitude of simple agents

  • Authors:

  • Volker Nissen;Danilo Saft

  • Affiliations:

  • Chair of Information Systems in Services, Ilmenau University of Technology, Ilmenau, Germany;Chair of Information Systems in Services, Ilmenau University of Technology, Ilmenau, Germany

  • Venue:
  • ICCSA'10 Proceedings of the 2010 international conference on Computational Science and Its Applications - Volume Part IV
  • Year:
  • 2010

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Abstract

In our work the focus is on emergent behaviour in large groups of stock market participants. We do not assume that market participants take rational investment decisions based on full information as would be the case in established views of the capital market. Consequently, the market is not modelled top-down with mathematical equations. Instead, trading decisions and market behaviour are the result of individual participants reacting to stock price and price changes. Each participant is modelled as a fuzzy agent that behaves according to simple trading rules. The research goal we pursue is to increase our understanding of the relationship between simple, swarm-like individual trading behaviour and its macroscopic effects at the market level