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Journal of Economic Interaction and Coordination

, Volume 13, Issue 3, pp 511–535 | Cite as

Artificial stock markets with different maturity levels: simulation of information asymmetry and herd behavior using agent-based and network models

  • Hazem Krichene
  • Mhamed-Ali El-Aroui
Regular Article

Abstract

This paper aims mainly at building artificial stock markets with different maturity levels by modeling information asymmetry and herd behavior. The developed artificial markets are multi-assets, order-driven and populated by agents having heterogeneous behaviors and information. Agents are defined by their information and their herd behavior levels. Agents trade multiple risky assets based on their wealth, their behaviors and their available information which spread among multiple behavioral networks. In a novel contribution to artificial stock markets literature, agents’ behaviors modeling is mixed with social network simulation to reproduce different degrees of information asymmetry and herd behavior based on several assortative topologies. Several simulations validated the proposed model since univariate and multivariate stylized facts were reproduced both for mature and immature stock markets. The proposed artificial stock market can be considered as a first step toward decision and simulation tools for optimal management, strategy analysis and predictions evolution of immature stock markets.

Keywords

Agent-based model Multi-assets trading Immature stock markets Information asymmetry Herd behavior Assortativity 

JEL Classification

C58 C63 G12 G14 G15 G17 O16 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2017

Authors and Affiliations

  1. 1.ISG de Tunis, LARODECUniversité de TunisTunisTunisia
  2. 2.Graduate School of Simulation StudiesUniversity of HyogoKobeJapan
  3. 3.FSEG Nabeul and LARODECUniversité de CarthageTunisTunisia

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