How to calibrate the features of a distributed artificial financial market
by Hamed M. Shafiee, Behrouz Bokharaeian, Hamed Alaei
J. for International Business and Entrepreneurship Development (JIBED), Vol. 5, No. 4, 2011

Abstract: The modelling of financial markets by making use of artificial financial agents is an analytical tool that has been highly developed during the past few years. The interaction of agents with different memories in specifying market prices results in the creation of a certain market that makes long-term prediction difficult. The structural characteristics of a computational-financial market that includes agents who are in the process of exchanging information and adapting to the conditions of the market over time are studied in this research. Characteristics of agents, together with the structural characteristics of the market, have been examined to calibrate the employed cellular learning automata framework. The results show that the calibration of these characteristics has the effect of simulating a market very similar to the real market. In this study, the market was simulated in a monthly period; however, the level of return in more distant time periods has been compared.

Online publication date: Tue, 06-Sep-2011

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the J. for International Business and Entrepreneurship Development (JIBED):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?


Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com