Behavioral and informational agents-based modeling and simulation of emerging stock markets

Abstract

This work presents an artificial order-driven market populated by heterogeneous agents characterized by mixed behaviors and shared information. This market is designed to reproduce immature markets stylized facts based mainly on important asymmetric information and herd behaviors. Information flows are modeled by a directed weighted network. The important information asymmetry is modeled by different assortative network behaviors. Our experimental findings show that the artificial market developed here was able to reproduce the main features characterizing immature stock markets.