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Network of Networks: A Meta-model for Simulated Financial Markets

  • Talal Alsulaiman
  • Khaldoun Khashanah
Conference paper
Part of the Studies in Computational Intelligence book series (SCI, volume 693)

Abstract

We investigate the properties of a calibrated network structure of an agent-based model for a simulated financial market. A meta-model of a network of networks is introduced to capture the simulated market structure. The agent-based model consists of heterogeneous agents characterized by two-dimensional attributes that are investment behavior and investment strategy. The resulting groups of agents are viewed as subnetworks giving rise to a network of networks (NoN). The aggregation of activities of agents in a subnetwork trickles up to shape the aggregate activities of the NoN. The objective of introducing the NoN is to provide a testbed for complex models of simulated markets. Furthermore, we investigate the emergence of the market patterns in terms of prices, moments of returns, market capital, and wealth distributions. The investigation was performed for fully connected homogeneous agents. The results show a significant difference in the market emergence behaviors in terms of prices and returns, however, the market capitalization stays close to the calibrated financial market. Also, the deviation of wealth distributions was less than those in the heterogeneous market.

Keywords

Asset Price Investment Strategy Risk Averse Loss Aversion Wealth Distribution 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  1. 1.Financial Engineering DivisionStevens Institute of TechnologyHobokenUSA

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