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An Artificial Stock Market Based on Soft Control Theory
International Journal of Economics, Finance and Management Sciences
Volume 6, Issue 2, April 2018, Pages: 54-59
Received: Apr. 26, 2018; Published: Apr. 27, 2018
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Pan Fuchen, College of Science, Dalian Ocean University, Dalian, China; College of Basic Education, Dalian University of Finance and Economics, Dalian, China
Li Lin, Department of Technology, Dalian Radio and TV University, Dalian, China
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In this study, we consider the simple but typical artificial stock market model proposed by LeBaron, B. et al.: each trader makes decision by maximizing the same utility function. We constructed a multi-agents artificial market model and investigated the effect of control traders among traders on price shock transfer from one asset to the whole market. The model is composed of two sorts of asset: price stocks and its underlying stocks. Our simulation featured two types of agent: control trader and ordinary traders. Control trader, who owns enough wealth, can intervene in the trading behavior of the group by applying the trading rule: trade when the stock price deviates from preset value. The traders in the artificial stock market reproduce their stylized facts related mainly to information asymmetry and herd behavior, which reduces the volatility of the stock market. The implications for market rules are discussed. From simulations of various trading strategies of control traders, we found the stock price can be controlled by control traders with certain strategies. The simulation results demonstrate the effectiveness of the method.
Soft Control, Artificial Stock Market, Control Trader, Stock Returns
To cite this article
Pan Fuchen, Li Lin, An Artificial Stock Market Based on Soft Control Theory, International Journal of Economics, Finance and Management Sciences. Vol. 6, No. 2, 2018, pp. 54-59. doi: 10.11648/j.ijefm.20180602.13
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