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Pré-Publication, Document De Travail Année : 2023

Mesoscale impact of trader psychology on stock markets: a multi-agent AI approach

S. Palminteri
  • Fonction : Auteur
S. Bourgeois-Gironde
  • Fonction : Auteur
B. Gutkin

Résumé

Recent advances in the fields of machine learning and neurofinance have yielded new exciting research perspectives in practical inference of behavioural economy in financial markets and microstructure study. We here present the latest results from a recently published stock market simulator built around a multi-agent system architecture, in which each agent is an autonomous investor trading stocks by reinforcement learning (RL) via a centralised double-auction limit order book. The RL framework allows for the implementation of specific behavioural and cognitive traits known to trader psychology, and thus to study the impact of these traits on the whole stock market at the mesoscale. More precisely, we narrowed our agent design to three such psychological biases known to have a direct correspondence with RL theory, namely delay discounting, greed, and fear. We compared ensuing simulated data to real stock market data over the past decade or so, and find that market stability benefits from larger populations of agents prone to delay discounting and most astonishingly, to greed.
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Dates et versions

hal-02355678 , version 1 (08-11-2023)

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J. Lussange, S. Palminteri, S. Bourgeois-Gironde, B. Gutkin. Mesoscale impact of trader psychology on stock markets: a multi-agent AI approach. 2023. ⟨hal-02355678⟩
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