Template-Type: ReDIF-Article 1.0

Author-Name: Juan José María Martínez
Author-Workplace-Name: CIETyMA-UNSAM
 
Title: Modelo de autómatas celulares para la dinámica de un mercado financiero. Estrategias, imitación y estados de ánimo

Abstract: We  present  a  model  of  artificial  market  generated  by  heterogeneous  agents to  simulate  the  stylized  facts  observed  in  real  markets.  This  model,  from the  minimalist  approach  of  a  complex  system,  intended  to  reproduce  these phenomena  with  minimum  cost  and  generate  a  parametric  heuristic  scalable in complexity from a stochastic micro-foundation and a price mechanism that includes bounded rationality, imitation, adaptation and moods.

Classification-JEL: G140; D470; C63
 
Keywords:  Financial Markets; Stylized facts; Agent-based models; Simulation.
Journal: Económica

Pages: 46-94
Volume: 64
Year: 2018
Month: January-December
File-URL: https://revistas.unlp.edu.ar/Economica/article/view/6017/5549
File-Format: Application/pdf
Handle: RePEc:akh:journl:615