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IntroductionMulti-Agent Systems
Stylized FactsConclusion
MAS and Financial Markets
Pierre-Étienne Crépy
http://www.pierreetienne.crepy.fr/docs/SMABourse.pdf
April 10th, 2014
Pierre-Étienne Crépy MAS and Financial Markets
IntroductionMulti-Agent Systems
Stylized FactsConclusion
Financial markets
Markets of financial assetsVirtual market places
AutomationMore transactionsFasterEverywhere
Different kind of markets (Euronext, NASDAQ, ...)
Pierre-Étienne Crépy MAS and Financial Markets
IntroductionMulti-Agent Systems
Stylized FactsConclusion
Agents modelsMarkets models
Bottom-Up or Top-Down approach ?
Zero Intelligence TraderCognitive agentsSocial agents
Pierre-Étienne Crépy MAS and Financial Markets
IntroductionMulti-Agent Systems
Stylized FactsConclusion
Agents modelsMarkets models
Three parts of the marketMicro-structureAgentsInformation
From the marketFrom the world
Pierre-Étienne Crépy MAS and Financial Markets
IntroductionMulti-Agent Systems
Stylized FactsConclusion
Agents modelsMarkets models
Figure: Architecture of Artificial Financial Market
Pierre-Étienne Crépy MAS and Financial Markets
IntroductionMulti-Agent Systems
Stylized FactsConclusion
DefinitionExemple
All the statistics facts observable on the marketThose facts are well knownBut still ununderstandableMAS could help us to give some explanationsSimulation can reproduce stylized facts
Pierre-Étienne Crépy MAS and Financial Markets
IntroductionMulti-Agent Systems
Stylized FactsConclusion
DefinitionExemple
Figure: Distribution des rendements du Dow-Jones
Pierre-Étienne Crépy MAS and Financial Markets
IntroductionMulti-Agent Systems
Stylized FactsConclusion
Importance of micro-structure for the stylized factsBut it’s certainly not the only pointGreat perspectives with massive simulation
Pierre-Étienne Crépy MAS and Financial Markets
IntroductionMulti-Agent Systems
Stylized FactsConclusion
References I
Ghoulmie, F. ; Rama, R.C. and Nadal, J.-P.Heterogeneity and feedback in an agent-based market model.Journal of physics, 1996.
Bak, P. ; Paczuski, M. and Shubik, M.Price variations in a stock market with many agents, 1996.
Derveeuw, J.Simulation multi-agents de marchés financiers, 2008.
Derveeuw, J. ; Beaufils, B ; Brandouy, O. and Mathieu, P.L’apport des SMA à la modélisation des marchés financiers,2007.
Pierre-Étienne Crépy MAS and Financial Markets
IntroductionMulti-Agent Systems
Stylized FactsConclusion
References II
Brandouy, O. and Mathieu, P.Marchés financiers artificiels.Pour la Science, jul. 2006, p.98.
Arthur, B.Inductive reasoning and bounded rationality : the El Farolproblem, 1994.
Pierre-Étienne Crépy MAS and Financial Markets
