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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/4821
Simulación realista de los mercados financieros con sistemas multi-agentes
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Els mercats financers són un exemple paradigmàtic de sistemes complexos adaptatius. Els paradigmes tradicionals de modelització no permeten reflexar aquesta realitat i hem de recórrer a noves eines. Presentem la simulació basada en sistemes multi-agents com el paradigma idoni per a analitzar els mercats financers en tota la seva complexitat. És un mètode que permet estudiar el comportament global del mercat a partir de la seva microestructura, i ja ha suggerit explicacions per a algunes de les regularitats estadístiques observades en una gran varietat de mercats. Exposem, a més amés, els primers passos en la construcció d'una simulació realista del mercat de bons.
Financial markets are a paradigmatic case of complex adaptive systems. However, their complexity cannot be captured by traditional modelisation paradigms and we thus need to turn to new modelling tools. We present agent-based simulation as the suitable paradigm to analyse financial markets: this method allows to study the market macro behaviour on the basis of its microstructure, and some advances have already been done in the analysis and explanation of the stylised facts observed in a range of markets. We moreover describe the first steps we have undertaken to build a realistic simulation of a bond market.
Financial markets are a paradigmatic case of complex adaptive systems. However, their complexity cannot be captured by traditional modelisation paradigms and we thus need to turn to new modelling tools. We present agent-based simulation as the suitable paradigm to analyse financial markets: this method allows to study the market macro behaviour on the basis of its microstructure, and some advances have already been done in the analysis and explanation of the stylised facts observed in a range of markets. We moreover describe the first steps we have undertaken to build a realistic simulation of a bond market.
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LLACAY PINTAT, Bàrbara and PEFFER, Gilbert. Simulación realista de los mercados financieros con sistemas multi-agentes. [consulted: 13 of October of 2026]. Available at: https://hdl.handle.net/2445/4821