Multi-agent Simulation of Financial Market with Transaction Costs Influence

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F11%3A%230001448" target="_blank" >RIV/47813059:19520/11:#0001448 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Multi-agent Simulation of Financial Market with Transaction Costs Influence

Popis výsledku v původním jazyce

We implement a multi-agent financial market model simulation in which agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators due to which they may decide to change their trading behaviour. For instance, if a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in the recent past, the probability that the technical traderswitches to fundamental trading rules is relatively high. In particular the influence of transaction costs is studied, which can be increased by the off-market regulation (for example in the form of taxes) on market stability, the overall volume of tradeand other market characteristics.

Název v anglickém jazyce

Multi-agent Simulation of Financial Market with Transaction Costs Influence

Popis výsledku anglicky

We implement a multi-agent financial market model simulation in which agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators due to which they may decide to change their trading behaviour. For instance, if a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in the recent past, the probability that the technical traderswitches to fundamental trading rules is relatively high. In particular the influence of transaction costs is studied, which can be increased by the off-market regulation (for example in the form of taxes) on market stability, the overall volume of tradeand other market characteristics.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2011

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Scientific Papers of the University of the Pardubice, Series D

ISSN

1211-555X

e-ISSN

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Svazek periodika

22

Číslo periodika v rámci svazku

16

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

11

Strana od-do

165-175

Kód UT WoS článku

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EID výsledku v databázi Scopus

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