BUSINESS INFORM №1-2015

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Section: Economic and Mathematical Modeling
UDC 519.866
Prymostka A. О.
Agent-Oriented Modeling of Stock Market (p. 131 - 136)
In article the main points of the conception of agent-oriented modeling are considered, an interpretation of the term «agent» is presented, agent-oriented models of financial markets are analyzed. The main attention is paid to the agent-oriented model of stock market by Lux and Marchesi, which was used as a basis for development of a programming unit for calculation of artificial market to simulate stock market's activity and predict its price dynamics. As result of computer simulation, a forecast of dynamics of prices change and profitability of shares, distribution of traders on the chartists and fundamentalists, economic sentiment index that characterizes the relationship between pessimistic and optimistic chartists, have been obtained. The proposed approach can be used to predict dynamics of the domestic stock market or its individual components under the conditions of high volatility of prises and sudden change of traders' sentiments.
Keywords: agents, agent-oriented modeling, artificial market model, chartists, fundamentalists, market price of the shares
Fig.: 6. Formulae: 15. Bibl.: 11.

Prymostka Andrii О. –

Article is written in Ukrainian
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Reference to this article:
Prymostka, Andrii О. (2015) “Agent-Oriented Modeling of Stock Market.” Business Inform 1:131–136.

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