2019/09/25 by David R. Byrd, Byrd, David · 3 citations
Economics, Econometrics and Finance · Decision Sciences · #Complex Systems and Time Series Analysis #Stock Market Forecasting Methods #Financial Markets and Investment Strategies
paper · pdf · doi:10.48550/arxiv.1909.11650
This paper is intended to explain, in simple terms, some of the mechanisms and agents common to multiagent financial market simulations. We first discuss the necessity to include an exogenous price time series ("the fundamental value") for each asset and three methods for generating that series. We then illustrate one process by which a Bayesian agent may receive limited observations of the fundamental series and estimate its current and future values. Finally, we present two such agents widely examined in the literature, the Zero Intelligence agent and the Heuristic Belief Learning agent, which implement different approaches to order placement.