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Network of Networks: A Meta-model for Simulated Financial Markets

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Complex Networks & Their Applications V (COMPLEX NETWORKS 2016 2016)

Part of the book series: Studies in Computational Intelligence ((SCI,volume 693))

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Abstract

We investigate the properties of a calibrated network structure of an agent-based model for a simulated financial market. A meta-model of a network of networks is introduced to capture the simulated market structure. The agent-based model consists of heterogeneous agents characterized by two-dimensional attributes that are investment behavior and investment strategy. The resulting groups of agents are viewed as subnetworks giving rise to a network of networks (NoN). The aggregation of activities of agents in a subnetwork trickles up to shape the aggregate activities of the NoN. The objective of introducing the NoN is to provide a testbed for complex models of simulated markets. Furthermore, we investigate the emergence of the market patterns in terms of prices, moments of returns, market capital, and wealth distributions. The investigation was performed for fully connected homogeneous agents. The results show a significant difference in the market emergence behaviors in terms of prices and returns, however, the market capitalization stays close to the calibrated financial market. Also, the deviation of wealth distributions was less than those in the heterogeneous market.

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Authors and Affiliations

  1. Financial Engineering Division, Stevens Institute of Technology, Hoboken, NJ, USA

    Talal Alsulaiman & Khaldoun Khashanah

Authors
  1. Talal Alsulaiman
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  2. Khaldoun Khashanah
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Corresponding author

Correspondence to Talal Alsulaiman .

Editor information

Editors and Affiliations

  1. University of Burgundy , Dijon, France

    Hocine Cherifi

  2. Computer Science Department, University of Milan Computer Science Department, Milan, Italy

    Sabrina Gaito

  3. IMT Lucca , Lucca, Italy

    Walter Quattrociocchi

  4. Blanchardstown Business and Tech Park, Bell Labs-Nokia Blanchardstown Business and Tech Park, Blanchardstown, Ireland

    Alessandra Sala

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Alsulaiman, T., Khashanah, K. (2017). Network of Networks: A Meta-model for Simulated Financial Markets. In: Cherifi, H., Gaito, S., Quattrociocchi, W., Sala, A. (eds) Complex Networks & Their Applications V. COMPLEX NETWORKS 2016 2016. Studies in Computational Intelligence, vol 693. Springer, Cham. https://doi.org/10.1007/978-3-319-50901-3_53

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  • DOI: https://doi.org/10.1007/978-3-319-50901-3_53

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-50900-6

  • Online ISBN: 978-3-319-50901-3

  • eBook Packages: EngineeringEngineering (R0)

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