Publicado

2010-07-01

MODELING OF INVESTMENT STRATEGIES IN STOCKS MARKETS: AN APPROACH FROM MULTI AGENT BASED SIMULATION AND FUZZY LOGIC

Palabras clave:

MABS, Stock Market, Continuous Double Auction, Fuzzy Logic. (es)

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Autores/as

  • ALEJANDRO ESCOBAR Department of Systems Engineering, School of Mines, National University of Colombia
  • JULIÁN MORENO Department of Systems Engineering, School of Mines, National University of Colombia
  • SEBASTIÁN MÚNERA Department of Systems Engineering, School of Mines, National University of Colombia
This paper presents a simulation model of a complex system, in this case a financial market, using a Multi-Agent Based Simulation approach. Such model takes into account microlevel aspects like the Continuous Double Auction mechanism, which is widely used within stock markets, as well as investor agents reasoning who participate looking for profits. To model such reasoning several variables were considered including general stocks information like profitability and volatility, but also some agent’s aspects like their risk tendency. All these variables are incorporated throughout a fuzzy logic approach trying to represent in a faithful manner the kind of reasoning that nonexpert investors have, including a stochastic component in order to model human factors.

Cómo citar

IEEE

[1]
A. ESCOBAR, J. MORENO, y S. MÚNERA, «MODELING OF INVESTMENT STRATEGIES IN STOCKS MARKETS: AN APPROACH FROM MULTI AGENT BASED SIMULATION AND FUZZY LOGIC», DYNA, vol. 77, n.º 163, pp. 211–221, jul. 2010.

ACM

[1]
ESCOBAR, A., MORENO, J. y MÚNERA, S. 2010. MODELING OF INVESTMENT STRATEGIES IN STOCKS MARKETS: AN APPROACH FROM MULTI AGENT BASED SIMULATION AND FUZZY LOGIC. DYNA. 77, 163 (jul. 2010), 211–221.

ACS

(1)
ESCOBAR, A.; MORENO, J.; MÚNERA, S. MODELING OF INVESTMENT STRATEGIES IN STOCKS MARKETS: AN APPROACH FROM MULTI AGENT BASED SIMULATION AND FUZZY LOGIC. DYNA 2010, 77, 211-221.

APA

ESCOBAR, A., MORENO, J. y MÚNERA, S. (2010). MODELING OF INVESTMENT STRATEGIES IN STOCKS MARKETS: AN APPROACH FROM MULTI AGENT BASED SIMULATION AND FUZZY LOGIC. DYNA, 77(163), 211–221. https://revistas.unal.edu.co/index.php/dyna/article/view/25553

ABNT

ESCOBAR, A.; MORENO, J.; MÚNERA, S. MODELING OF INVESTMENT STRATEGIES IN STOCKS MARKETS: AN APPROACH FROM MULTI AGENT BASED SIMULATION AND FUZZY LOGIC. DYNA, [S. l.], v. 77, n. 163, p. 211–221, 2010. Disponível em: https://revistas.unal.edu.co/index.php/dyna/article/view/25553. Acesso em: 29 mar. 2024.

Chicago

ESCOBAR, ALEJANDRO, JULIÁN MORENO, y SEBASTIÁN MÚNERA. 2010. «MODELING OF INVESTMENT STRATEGIES IN STOCKS MARKETS: AN APPROACH FROM MULTI AGENT BASED SIMULATION AND FUZZY LOGIC». DYNA 77 (163):211-21. https://revistas.unal.edu.co/index.php/dyna/article/view/25553.

Harvard

ESCOBAR, A., MORENO, J. y MÚNERA, S. (2010) «MODELING OF INVESTMENT STRATEGIES IN STOCKS MARKETS: AN APPROACH FROM MULTI AGENT BASED SIMULATION AND FUZZY LOGIC», DYNA, 77(163), pp. 211–221. Disponible en: https://revistas.unal.edu.co/index.php/dyna/article/view/25553 (Accedido: 29 marzo 2024).

MLA

ESCOBAR, A., J. MORENO, y S. MÚNERA. «MODELING OF INVESTMENT STRATEGIES IN STOCKS MARKETS: AN APPROACH FROM MULTI AGENT BASED SIMULATION AND FUZZY LOGIC». DYNA, vol. 77, n.º 163, julio de 2010, pp. 211-2, https://revistas.unal.edu.co/index.php/dyna/article/view/25553.

Turabian

ESCOBAR, ALEJANDRO, JULIÁN MORENO, y SEBASTIÁN MÚNERA. «MODELING OF INVESTMENT STRATEGIES IN STOCKS MARKETS: AN APPROACH FROM MULTI AGENT BASED SIMULATION AND FUZZY LOGIC». DYNA 77, no. 163 (julio 1, 2010): 211–221. Accedido marzo 29, 2024. https://revistas.unal.edu.co/index.php/dyna/article/view/25553.

Vancouver

1.
ESCOBAR A, MORENO J, MÚNERA S. MODELING OF INVESTMENT STRATEGIES IN STOCKS MARKETS: AN APPROACH FROM MULTI AGENT BASED SIMULATION AND FUZZY LOGIC. DYNA [Internet]. 1 de julio de 2010 [citado 29 de marzo de 2024];77(163):211-2. Disponible en: https://revistas.unal.edu.co/index.php/dyna/article/view/25553

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