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Trends in Practical Applications of Agents, Multi-Agent Systems and Sustainability pp 3–10Cite as

Behavioral and Informational Agents-Based Modeling and Simulation of Emerging Stock Markets

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Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 372))

Abstract

This work presents an artificial order-driven market populated by heterogeneous agents characterized by mixed behaviors and shared information. This market is designed to reproduce immature markets stylized facts based mainly on important asymmetric information and herd behaviors. Information flows are modeled by a directed weighted network. The important information asymmetry is modeled by different assortative network behaviors. Our experimental findings show that the artificial market developed here was able to reproduce the main features characterizing immature stock markets.

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Author information

Authors and Affiliations

  1. LARODEC, ISG de Tunis, Tunis, Tunisia

    Hazem Krichene & Mhamed-Ali El-Aroui

  2. Université de Carthage, FSEG Nabeul, Carthage, Tunisia

    Mhamed-Ali El-Aroui

Authors
  1. Hazem Krichene
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  2. Mhamed-Ali El-Aroui
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Corresponding author

Correspondence to Hazem Krichene .

Editor information

Editors and Affiliations

  1. Departamento de Inteligencia Artificial, Universidad Politécnica de Madrid, Madrid, Spain

    Javier Bajo

  2. Departamento de Inteligencia Artificial, Universidad Politécnica de Madrid, Madrid, Spain

    Josefa Z. Hernández

  3. Lille University of Science and Technology, Villeneuve d’Ascq Cédex, France

    Philippe Mathieu

  4. Department of Computer Science, Dartmouth College, Hanover, USA

    Andrew Campbell

  5. Computing Systems Department, Universidad de Castilla-La Mancha ESII, Albacete, Spain

    Antonio Fernández-Caballero

  6. Departamento de Informática y Automática, Universidad de Salamanca, Salamanca, Spain

    María N. Moreno

  7. Departamento de Sistemas Informáticos y Computación, Universidad Politécnica de Valencia, Valencia, Spain

    Vicente Julián

  8. Computer Science Department, Laboratory for Research and Development in Artificial Intelligence (LIDIA), University of A Coruña, A Coruña, Spain

    Amparo Alonso-Betanzos

  9. Facultat de Lletres de la Universitat Rovira i Virgili, Tarragona, Spain

    María Dolores Jiménez-López

  10. Departamento de Sistemas Informáticos y Computación, Universidad Politécnica de Valencia, Valencia, Spain

    Vicente Botti

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© 2015 Springer International Publishing Switzerland

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Cite this paper

Krichene, H., El-Aroui, MA. (2015). Behavioral and Informational Agents-Based Modeling and Simulation of Emerging Stock Markets. In: Bajo, J., et al. Trends in Practical Applications of Agents, Multi-Agent Systems and Sustainability. Advances in Intelligent Systems and Computing, vol 372. Springer, Cham. https://doi.org/10.1007/978-3-319-19629-9_1

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  • DOI: https://doi.org/10.1007/978-3-319-19629-9_1

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-19628-2

  • Online ISBN: 978-3-319-19629-9

  • eBook Packages: EngineeringEngineering (R0)

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