Heterogeneous trading agents

Abstract

In this article, we present a multiagent system (MAS) simulation of a financial market and investigate the requirements to obtain realistic data. The model consists of autonomous, interactive agents that buy stock on a financial market. Transaction decisions are based on a number of individual and collective elements, the former being risk aversion and a set of decision rules reflecting their anticipation of the future evolution of prices and dividends and the latter the information arriving on the market influencing the decision making process of each trader. We specifically look at this process and the following observations hold: The market behavior is determined by the information arriving at the market and agent heterogeneity is required in order to

A Methodology for Creating Ontology-Based Multi-agent Systems with an Experiment in Financial Application Development

“…Of the financial agent systems described in the literature, the agents in these models are linked via mathematical functions dictating and modifying the agents' behaviours [22]. Further, the domain knowledge is embedded in the agents.…”

Complex dynamics in equilibrium asset pricing models with boundedly rational, heterogeneous agents

“…Given a hypothesized aggregate pricing function, each agent solves the dynamic optimization problem for that agent's conditional consumption and asset demand equations. None of our investors are “noise traders” (see, e.g., ) nor do they ignore any observable information about market fundamentals such as the known distribution of dividend payments or market clearing prices.…”