Autonomous Agent Models of Stock Markets

Authors:
Hakman A. Wan;Andrew Hunter;Peter Dunne
Affiliations:
School of Business and Administration, The Open University of Hong Kong, 30 Good Shepherd Street, Homantin, Hong Kong SAR, China (E-mail: hmwan@ouhk.edu.hk);Department of Computer Science, University of Durham, Durham, DM1, 3LE, England, UK (E-mail: andrew1.hunter@durham.ac.uk);chool of Computing and Information Systems, University of Sunderland, Sunderland SRQ 3PZ, England, UK (E-mail: Peter.Dunne@sunderland.ac.uk)
Venue:
Artificial Intelligence Review
Year:
2002

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Abstract

The use of artificial agents in the studyof stock markets has aroused much interest in the past two decades. Modelsof markets consisting of agents were built to reinforce or question theoriesin economics – including the principleof ``negative feedback'', the EfficientMarket Hypothesis, and chaos theory.In this article, we review the developmentof these agent models, highlight key design issues and problems,and suggest some directions for future research.