Amb motiu del tancament d'estiu, la validació de documents es reprendrà a partir del 28 d'agost de 2026. Disculpeu les molèsties.
Con motivo del cierre de verano, la validación de documentos se reanudará a partir del 28 de agosto de 2026. Disculpad las molestias
Due to the summer closure, document validation will resume starting August 28, 2026. We apologize for any inconvenience.

Files

673195.pdf (1.58 MB)

Document type

Article

Version

Accepted version

Publication date

2018-09

All rights reserved

Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/131122

Using realistic trading strategies in an agent-based stock market model

Journal Title

Authors

Director/Tutor

Journal ISSN

Volume Title

Related resource

https://doi.org/10.1007/s10588-017-9258-0

Abstract

The use of agent-based models (ABMs) has increased in the last years to simulate social systems and, in particular, financial markets. ABMs of financial markets are usually validated by checking the ability of the model to reproduce a set of empirical stylised facts. However, other common-sense evidence is available which is often not taken into account, ending with models which are valid but not sensible. In this paper we present an ABM of a stock market which incorporates this type of common-sense evidence and implements realistic trading strategies based on practitioners literature. We next validate the model using a comprehensive approach consisting of four steps: assessment of face validity, sensitivity analysis, calibration and validation of model outputs.

Subject

Mercat financer, Anàlisi de sistemes, Mètodes de simulació, Calibratge

Subject (English)

Financial market, System analysis, Simulation methods, Calibration

Citation

Collections

Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

Citation

LLACAY PINTAT, Bàrbara and PEFFER, Gilbert. Using realistic trading strategies in an agent-based stock market model. Computational and Mathematical Organization Theory. 2018. Vol. 24, num. 3, pags. 308-350. ISSN 1381-298X. [consulted: 14 of August of 2026]. Available at: https://hdl.handle.net/2445/131122

Export metadata

JSON - METS

Share record