A MatLab (TM) Computational Framework for Multiagent System Simulation of Financial Markets

Author(s)

Leles, Michel C. R. ; Sbruzzi, Elton E. ; P de Oliveira, Josd M. ; Nascimento, Cairo L., Jr. ; IEEE

• Document type: Journal article
• Source: 2019 13TH ANNUAL IEEE INTERNATIONAL SYSTEMS CONFERENCE (SYSCON); v. N/A, p. 8-pg., 2019-01-01.

Abstract

This manuscript introduces a Matlab computational framework for a multiagent system simulation of financial markets. The main motivation of using Matlab is that this platform is very familiar among researches in the area of engineering. This could motivate that researchers to investigate this area. The aim of our platform is to replicate the interactions among agents through a double auction environment, leading to an artificial market. Every agent is assigned with unlimited credit, and short selling is allowed. These two degrees of freedom might ensure that a particular agent is able to trade whenever it becomes active. Agents should be able to take their own decisions. The key innovative aspect of this work is the development of a computational platform which integrates such heterogeneous financial agents. This framework intends to mimic behavioral patterns followed by the market practitioners. Even though the proposed framework uses a simplified version of the financial market, the time series resulted from the interactions of those agents reproduces some of the financial stylized facts. Therefore, at least some market dynamics are successfully emulated by the proposed approach. (AU)

• FAPESP's process: 16/04992-6 - Employing computational intelligence techniques and Big Data analytics in a multi-agent system experiment of finance
• Grantee: Cairo Lúcio Nascimento Júnior
• Support Opportunities: Research Grants - eScience and Data Science Program - Regular Program Grants
• FAPESP's process: 17/20248-8 - Employing computational intelligence techniques and Big Data analytics in a multi-agent system experiment of finance
• Grantee: Michel Carlo Rodrigues Leles
• Support Opportunities: Scholarships in Brazil - Post-Doctoral