Multi Agent Systems in Finance

The following applets are just toys models (KISS principle) are proposed without any guarantee !

 

Minority Game

I have worked  on an extension of the « El farol » problem (used as a toy-model to understand some properties of markets when agents do not share the same preferences (e.g. are heterogeneous when one considers their representations of Nature; this research has been published in Physica A).

Do you know the « El-Farol Bar Problem ? Just have a look at the paper of B. Arthur (1994), « Inductive reasonning and bounded rationality: the El Farol problem », American Economic Review, Vol 94, 1994).  I propose here a basic applet of one basic replication of the El-Farol problem in NetLogo.  Notice that Mark Garofalo has also proposed a (different) replication of this model and I strongly recommend to have also a look at it. Feel free to request my program.

 

Artificial Stock Markets

I am also interested in « stylized facts » and Artificial stock markets. Have a look at the two following applets (click on the picture !) and to this paper (introductory, in French). For more advanced researchs using artificial stock markets, you could also consider the ATOM platform.

 

This simulation allows to observe the dynamics of  prices and returns when Zero Intelligence Traders are interacting in a double-auction, order-driven, asynchronous market. This is a very simple framework where only limit orders can be sent to the order book. At each round, traders have the possibility to issue a new limit order : if they do so and are willing to sell, they turn red, green if they are willing to buy, and yellow if they decline this possibility.

 

 

This simulation implements a model of a simplified artificial stock market with Zero Intelligence Traders (simiar to the Santa-Fe Artificial Stock Market w.r.t. some aspects)