Paper Info
Title
An Asynchronous Double Auction Market to Study the Formation of Financial Bubbles and Crashes.
Abstract
Stock market is a complex system composed from heterogeneous traders with highly non-linear interactions from which emerge a phenomenon of speculative bubble. To understand the role of heterogeneous behaviors of traders and interactions between them in the emergence of bubbles, we propose an agent-based model of double auction market, with asynchronous time management, where traders act asynchronously and take different times to make decisions. The market is populated by heterogeneous traders. In addition to fundamentalist, noise, and technical (chartist) traders, we propose a hybrid trader, which can switch between technical (chartist) and fundamentalist strategies integrating panicking behavior. We find that when market is populated by a majority of hybrid traders, we observe quite realistic bubble formation characterized by a boom phase when hybrid traders switch to technical behavior, followed by a relatively shorter burst phase when hybrid traders return to fundamentalist strategy and change to panicked state. The aim is to design agents which act asynchronously, with simple behaviors, but complex enough to produce realistic price dynamics, which provide a basis for developing agents with sophisticated decision-making processes.
Year
DOI
Venue
2017
https://doi.org/10.1007/s00354-017-0010-6
New Generation Comput.
Keywords
Field
DocType
Artificial stock market,Multi-agent simulation,Agent-based computational economic
Asynchronous communication,Economic bubble,Computer science,Microeconomics,Theoretical computer science,Stock market,Boom,Double auction
Journal
Volume
Issue
ISSN
35
2
0288-3635
Citations 
PageRank 
References 
2
0.39
4
Authors
3
Name
Order
Citations
PageRank
Sadek Benhammada151.50
Frédéric Amblard243051.43
Salim Chikhi311820.47