New Generation Computing

, Volume 35, Issue 2, pp 129–156

An Asynchronous Double Auction Market to Study the Formation of Financial Bubbles and Crashes

  • Sadek Benhammada
  • Frédéric Amblard
  • Salim Chikhi
Research Paper

DOI: 10.1007/s00354-017-0010-6

Cite this article as:
Benhammada, S., Amblard, F. & Chikhi, S. New Gener. Comput. (2017) 35: 129. doi:10.1007/s00354-017-0010-6

Abstract

Stock market is a complex system composed from heterogeneous traders with highly non-linear interactions from which emerge a phenomenon of speculative bubble. To understand the role of heterogeneous behaviors of traders and interactions between them in the emergence of bubbles, we propose an agent-based model of double auction market, with asynchronous time management, where traders act asynchronously and take different times to make decisions. The market is populated by heterogeneous traders. In addition to fundamentalist, noise, and technical (chartist) traders, we propose a hybrid trader, which can switch between technical (chartist) and fundamentalist strategies integrating panicking behavior. We find that when market is populated by a majority of hybrid traders, we observe quite realistic bubble formation characterized by a boom phase when hybrid traders switch to technical behavior, followed by a relatively shorter burst phase when hybrid traders return to fundamentalist strategy and change to panicked state. The aim is to design agents which act asynchronously, with simple behaviors, but complex enough to produce realistic price dynamics, which provide a basis for developing agents with sophisticated decision-making processes.

Keywords

Artificial stock market Multi-agent simulation Agent-based computational economic 

Copyright information

© Ohmsha, Ltd. and Springer Japan 2017

Authors and Affiliations

  • Sadek Benhammada
    • 1
  • Frédéric Amblard
    • 2
  • Salim Chikhi
    • 1
  1. 1.MISC Laboratory, Computer Science DepartmentUniversity of Constantine 2ConstantineAlgeria
  2. 2.UMR 5505 CNRS-IRIT, Universit Toulouse 1 CapitoleToulouseFrance

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