In this study, we consider the simple but typical artificial stock market model proposed by LeBaron, B. et al.: each trader makes decision by maximizing the same utility function. We constructed a multi-agents artificial market model and investigated the effect of control traders among traders on price shock transfer from one asset to the whole market. The model is composed of two sorts of asset: price stocks and its underlying stocks. Our simulation featured two types of agent: control trader and ordinary traders. Control trader, who owns enough wealth, can intervene in the trading behavior of the group by applying the trading rule: trade when the stock price deviates from preset value. The traders in the artificial stock market reproduce their stylized facts related mainly to information asymmetry and herd behavior, which reduces the volatility of the stock market. The implications for market rules are discussed. From simulations of various trading strategies of control traders, we found the stock price can be controlled by control traders with certain strategies. The simulation results demonstrate the effectiveness of the method.
| Published in | International Journal of Economics, Finance and Management Sciences (Volume 6, Issue 2) |
| DOI | 10.11648/j.ijefm.20180602.13 |
| Page(s) | 54-59 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2018. Published by Science Publishing Group |
Soft Control, Artificial Stock Market, Control Trader, Stock Returns
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APA Style
Pan Fuchen, Li Lin. (2018). An Artificial Stock Market Based on Soft Control Theory. International Journal of Economics, Finance and Management Sciences, 6(2), 54-59. https://doi.org/10.11648/j.ijefm.20180602.13
ACS Style
Pan Fuchen; Li Lin. An Artificial Stock Market Based on Soft Control Theory. Int. J. Econ. Finance Manag. Sci. 2018, 6(2), 54-59. doi: 10.11648/j.ijefm.20180602.13
AMA Style
Pan Fuchen, Li Lin. An Artificial Stock Market Based on Soft Control Theory. Int J Econ Finance Manag Sci. 2018;6(2):54-59. doi: 10.11648/j.ijefm.20180602.13
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Download@article{10.11648/j.ijefm.20180602.13,
author = {Pan Fuchen and Li Lin},
title = {An Artificial Stock Market Based on Soft Control Theory},
journal = {International Journal of Economics, Finance and Management Sciences},
volume = {6},
number = {2},
pages = {54-59},
doi = {10.11648/j.ijefm.20180602.13},
url = {https://doi.org/10.11648/j.ijefm.20180602.13},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20180602.13},
abstract = {In this study, we consider the simple but typical artificial stock market model proposed by LeBaron, B. et al.: each trader makes decision by maximizing the same utility function. We constructed a multi-agents artificial market model and investigated the effect of control traders among traders on price shock transfer from one asset to the whole market. The model is composed of two sorts of asset: price stocks and its underlying stocks. Our simulation featured two types of agent: control trader and ordinary traders. Control trader, who owns enough wealth, can intervene in the trading behavior of the group by applying the trading rule: trade when the stock price deviates from preset value. The traders in the artificial stock market reproduce their stylized facts related mainly to information asymmetry and herd behavior, which reduces the volatility of the stock market. The implications for market rules are discussed. From simulations of various trading strategies of control traders, we found the stock price can be controlled by control traders with certain strategies. The simulation results demonstrate the effectiveness of the method.},
year = {2018}
}
TY - JOUR T1 - An Artificial Stock Market Based on Soft Control Theory AU - Pan Fuchen AU - Li Lin Y1 - 2018/04/27 PY - 2018 N1 - https://doi.org/10.11648/j.ijefm.20180602.13 DO - 10.11648/j.ijefm.20180602.13 T2 - International Journal of Economics, Finance and Management Sciences JF - International Journal of Economics, Finance and Management Sciences JO - International Journal of Economics, Finance and Management Sciences SP - 54 EP - 59 PB - Science Publishing Group SN - 2326-9561 UR - https://doi.org/10.11648/j.ijefm.20180602.13 AB - In this study, we consider the simple but typical artificial stock market model proposed by LeBaron, B. et al.: each trader makes decision by maximizing the same utility function. We constructed a multi-agents artificial market model and investigated the effect of control traders among traders on price shock transfer from one asset to the whole market. The model is composed of two sorts of asset: price stocks and its underlying stocks. Our simulation featured two types of agent: control trader and ordinary traders. Control trader, who owns enough wealth, can intervene in the trading behavior of the group by applying the trading rule: trade when the stock price deviates from preset value. The traders in the artificial stock market reproduce their stylized facts related mainly to information asymmetry and herd behavior, which reduces the volatility of the stock market. The implications for market rules are discussed. From simulations of various trading strategies of control traders, we found the stock price can be controlled by control traders with certain strategies. The simulation results demonstrate the effectiveness of the method. VL - 6 IS - 2 ER -
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