Show simple item record

dc.contributor.authorRutkauskas, Aleksandras-Vytautas
dc.contributor.authorRamanauskas, Tomas
dc.date.accessioned2014-10-06T11:04:17Z
dc.date.available2014-10-06T11:04:17Z
dc.identifier.urihttps://www3.mruni.eu/ojs/intellectual-economics/article/view/1198/1146
dc.identifier.urihttps://repository.mruni.eu/handle/007/12290
dc.description.abstractIn this paper we propose an artificial stock market model based on the interaction of heterogeneous agents whose forward-looking behaviour is driven by the reinforcement learning algorithm combined with an evolu¬tionary selection mechanism. We use the model for the analysis of market self-regulation abilities, market efficiency and determinants of emergent properties of the financial market. Novel features of the model include a strong empha¬sis on the economic content of individual decision-making, the application of the Q-learning algorithm for driving individual behaviour, and rich market setup. A parallel version of the model which is based on the research of current changes in the market as well as on the search for newly emerged consistent patterns and which has been repeatedly used for optimal decisions’ search experiments in various capital markets is presented.en
dc.language.isoenen
dc.rightsinfo:eu-repo/semantics/openAccess
dc.titleAgent-based stock market simulation modelen
dc.title.alternativeAgentais pagrįstas akcijų rinkos imitacinis modelisen
dc.typeArticleen
dc.identifier.aleph000018294en
dc.publication.sourceIntelektinė ekonomika, 2009, Nr. 2(6)en
dc.subject.facultyKitasen
dc.subject.keywordAgentais pagrįstas finansinis modeliavimasen
dc.subject.keywordDirbtinė akcijų rinkaen
dc.subject.keywordKompleksinė dinaminė sistemaen
dc.subject.keywordAgent-based financial modellingen
dc.subject.keywordArtificial stock marketen
dc.subject.keywordComplex dynamical systemen
dc.subject.keywordEmergent propertiesen
dc.subject.publicationtypeS3en
dc.subject.sciencedirection04S - Ekonomikaen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record