Finance and Credit

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Finance and Credit

38(422) - 2010 October

Agent-based modeling as a basis for financial market behavior phenomenon learning

Vol. 16, Iss. 38, OCTOBER 2010

Available online: 15 October 2010

Subject Heading: Financial policy

JEL Classification:

Karaev A.K. Head of Chair of Informatics, Doctor of Science (Engineering), professor
a_karaev@mail.ru

Melnichuk M.V. the candidate of pedagogical sciences, docent, chairman of department of foreign languages, All-Russian state tax academy of the RF Ministry of Finance
melnichuk_m_v@inbox.ru

This paper is devoted to the aspects of agent-based financial modelling and, more specifically, artificial stock market modelling. Two categories of artificial stock market models are discussed: models based on hard-wired rules and models with learning and systemic adaptation. The paper provides the advantages of agent-based financial modelling as opposed to the standard representative-agent approach and argues that market complexity, agent heterogeneity, bounded rationality and adaptive expectations should be taken into account in financial modelling.

Keywords: agent-based financial modelling, artificial stock market, agent heterogeneity, intelligent adaptation

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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