Abstract
In the framework of microscopic simulation, a mathematical model of the stock exchange is developed for the case of one type of shares. The model exhibits self-maintained trading, which results in a price formation that is sensitive only to the values of internal market parameters. The system responds to external influence and the response is consistent with real market dynamics. Some of the statistical properties of the resulting price time series, which are similar to real stock market time series, are consistent with the so-called stylized facts of real market data. We provide a mathematical formalization of the model for the agents and all the steps of the agents’ interactions. The program “Exchange simulator”, which is a computer representation of our model is developed and implemented. The program contains useful tools for deep exploration of the system. There is an opportunity to affect the system by means of external user trading. The program may be used as a simple stock market trainer.
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© 2012 Springer-Verlag Berlin Heidelberg
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Steryakov, A. (2012). Agent-Based Model of the Stock Market. In: Sornette, D., Ivliev, S., Woodard, H. (eds) Market Risk and Financial Markets Modeling. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-27931-7_21
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DOI: https://doi.org/10.1007/978-3-642-27931-7_21
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