Assessment of artificial stock market building strategies
DOI:
https://doi.org/10.33571/teuken.v8n11a4Keywords:
rational decisions, behavior finances, cellular automata, investor psychology, simulationAbstract
The primary objective of this paper is to show the methodology assessment to construct artificial stock markets, determining: first, a Colombian price generator model; second, modifying the cellular automaton model developed by Fan in 2009; third, building a rational automaton model, adapting the Alexander Filters methodology. The models are compared using their consensus (volume of Buyers, Holders, and Sellers). This research determines that rational agent-based modeling allows a less predictive behavior and a greater impact on the information use, similar to the Efficient Market Hypothesis; moreover, there is no convergence between rational and behavioral artificial stock markets. Therefore, we propose a rational-behavioral model abreast price estimation algorithm as a future research proposal.References
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