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Journal Articles Chaos: An Interdisciplinary Journal of Nonlinear Science Year : 2018

Elements of decisional dynamics: An agent-based approach applied to artificial financial market

Abstract

This paper introduces an original mathematical description for describing agents' decision-making process in the case of problems affected by both individual and collective behaviors in systems characterized by nonlinear, path dependent, and self-organizing interactions. An application to artificial financial markets is proposed by designing a multi-agent system based on the proposed formalization. In this application, agents' decision-making process is based on fuzzy logic rules and the price dynamics is purely deterministic according to the basic matching rules of a central order book. Finally, while putting most parameters under evolutionary control, the computational agent-based system is able to replicate several stylized facts of financial time series (distributions of stock returns showing a heavy tail with positive excess kurtosis, absence of autocorrelations in stock returns, and volatility clustering phenomenon).
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Dates and versions

hal-02114930 , version 1 (30-04-2019)

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Iris Lucas, Michel Cotsaftis, Cyrille Bertelle. Elements of decisional dynamics: An agent-based approach applied to artificial financial market. Chaos: An Interdisciplinary Journal of Nonlinear Science, 2018, 28 (2), pp.023114. ⟨10.1063/1.5010185⟩. ⟨hal-02114930⟩
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