May 29, 2003. NEU2003, Venice, Italy 1 Agent-Based Stock Market: Replication & Participation László Gulyás ([email protected]) Computer and Automation Research Institute Hungarian Academy of Sciences Balázs Adamcsek AITIA, Inc. Budapest, Hungary Árpád Kiss AITIA, Inc. Budapest, Hungary Loránd Eötvös University, Budapest
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May 29, 2003.NEU2003, Venice, Italy1 An Early Agent-Based Stock Market: Replication & Participation László Gulyás ( [email protected] ) Computer and Automation.
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May 29, 2003. NEU2003, Venice, Italy 1
An Early Agent-Based Stock Market:
Replication & Participation
László Gulyás ([email protected])Computer and Automation Research Institute Hungarian Academy of Sciences
Balázs AdamcsekAITIA, Inc. Budapest, Hungary
Árpád KissAITIA, Inc. Budapest, HungaryLoránd Eötvös University, Budapest
The Early Santa Fe Artificial Stock Market Results:
Replication Participatory Experiments
May 29, 2003. NEU2003, Venice, Italy 3
Agent-Based Modeling (ABM) A form of computational modeling. Aiming at creating complex (social)
behavior “from the bottom up”. Complex interactions of A high number of (Complex) individuals.
A generative and mostly theoretical approach: Computational “thought experiments”, Existence proofs, etc.
May 29, 2003. NEU2003, Venice, Italy 4
Experimental Economics Controlled laboratory experiments with
human subjects. The effect of human cognition on economic
behavior. Learning and adaptation. Social traps, etc.
Typical tools: Observation (Videotaping) Questionnaires, etc.
An experimental approach.
May 29, 2003. NEU2003, Venice, Italy 5
Participatory Simulation (PS) A computer simulation, in which human
subjects also take part. Agent-based simulations are well suited:
Individuals are explicitly modeled, with Strict Agent-Environment and Agent-Agent
boundaries. Bridges the theoretical and experimental
approaches. Can help both of them: Testing assumptions and results of an ABM. Generating specific scenarios (e.g., crowd
behavior) for laboratory experiments.
May 29, 2003. NEU2003, Venice, Italy 6
Summary of the project Replication of a famous ABM in finance.
Replication of results is a most important step in science!
Conversion to a PS. Partly as a demonstration of our General-Purpose
Participatory Architecture for RePast (GPPAR).
Initial Experiments, testing: Original results’ sensitivity to human trading strategies. Human versus computational economic performance. The effect of human learning between runs.
May 29, 2003. NEU2003, Venice, Italy 7
The Santa Fe Artificial Stock Market 1/2 A prominent model of agent-based finance
(Arthur, Holland, LeBaron, Palmer and Tayler, 1994.) A minimalist model of two assets: