Artificial economic life: a simple model of a stockmarket
Proceedings of the NATO advanced research workshop and EGS topical workshop on Chaotic advection, tracer dynamics and turbulent dispersion
Extreme programming explained: embrace change
Extreme programming explained: embrace change
An introduction to econophysics: correlations and complexity in finance
An introduction to econophysics: correlations and complexity in finance
Extreme programming examined
Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena
Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena
Modeling and Simulation of an Artificial Stock Option Market
Computational Economics
A quantitative stock prediction system based on financial news
Information Processing and Management: an International Journal
Evolving a robust trader in a cyclic double auction market
Proceedings of the 13th annual conference on Genetic and evolutionary computation
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In this paper, we study the long-run wealth distribution ofagents with different trading strategies in the framework of theGenoa Artificial Stock Market. The Genoa market is an agent-basedsimulated market able to reproduce the main stylised facts observedin financial markets, i.e., fat-tailed distribution of returns andvolatility clustering. Various populations of traders have beenintroduced in a 'thermal bath' made by random traders who makerandom buy and sell decisions constrained by the available limitedresources and depending on past price volatility. We study bothtrend following and trend contrarian behaviour; fundamentalisttraders (i.e., traders believing that stocks have a fundamentalprice depending on factors external to the market) are alsoinvestigated. Results show that the strategy alone does not allowforecasting which population will prevail. Trading strategies yielddifferent results in different market conditions. Generally, in aclosed market (a market with no money creation process), we findthat trend followers lose relevance and money to other populationsof traders and eventually disappear, whereas in an open market (amarket with money inflows), trend followers can survive, but theirstrategy is less profitable than the strategy of otherpopulations.