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Modeling of investment strategies in stocks markets: an approach from multi agent based simulation and fuzzy logic

ESCOBAR, ALEJANDRO and MORENO, JULIÁN and MÚNERA, SEBASTIÁN (2011) Modeling of investment strategies in stocks markets: an approach from multi agent based simulation and fuzzy logic. Dyna; Vol. 77, núm. 163 (2010); 211-221 DYNA; Vol. 77, núm. 163 (2010); 211-221 2346-2183 0012-7353 .

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URL oficial: http://revistas.unal.edu.co/index.php/dyna/article...

Resumen

This paper presents a simulation model of a complex system, in this case a financial market, using a Multi-Agent Based Simulation approach. Such model takes into account microlevel aspects like the Continuous Double Auction mechanism, which is widely used within stock markets, as well as investor agents reasoning who participate looking for profits. To model such reasoning several variables were considered including general stocks information like profitability and volatility, but also some agent’s aspects like their risk tendency. All these variables are incorporated throughout a fuzzy logic approach trying to represent in a faithful manner the kind of reasoning that nonexpert investors have, including a stochastic component in order to model human factors.

Tipo de documento:Artículo - Article
Información adicional:Derechos de autor reservados
Palabras clave:MABS, Stock Market, Continuous Double Auction, Fuzzy Logic.
Unidad administrativa:Revistas electrónicas UN > Dyna
Código ID:27684
Enviado por : Dirección Nacional de Bibliotecas STECNICO
Enviado el día :27 Junio 2014 18:53
Ultima modificación:18 Agosto 2014 18:05
Ultima modificación:18 Agosto 2014 18:05
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