A heterogeneous artificial stock market model can benefit people against another financial crisis.

08:00 EDT 18th June 2018 | BioPortfolio

Summary of "A heterogeneous artificial stock market model can benefit people against another financial crisis."

This paper presents results of an artificial stock market and tries to make it more consistent with the statistical features of real stock data. Based on the SFI-ASM, a novel model is proposed to make agents more close to the real world. Agents are divided into four kinds in terms of different learning speeds, strategy-sizes, utility functions, and level of intelligence; and a crucial parameter has been found to ensure system stability. So, some parameters are appended to make the model which contains zero-intelligent and less-intelligent agents run steadily. Moreover, considering real stock markets change violently due to the financial crisis; the real stock markets are divided into two segments, before the financial crisis and after it. The optimal modified model before the financial crisis fails to replicate the statistical features of the real market after the financial crisis. Then, the optimal model after the financial crisis is shown. The experiments indicate that the optimal model after the financial crisis is able to replicate several of real market phenomena, including the first-order autocorrelation, kurtosis, standard deviation of yield series and first-order autocorrelation of yield square. We point out that there is a structural change in stock markets after the financial crisis, which can benefit people forecast the financial crisis.


Journal Details

This article was published in the following journal.

Name: PloS one
ISSN: 1932-6203
Pages: e0197935


DeepDyve research library

PubMed Articles [18390 Associated PubMed Articles listed on BioPortfolio]

Information Cost, Memory Length and Market Instability.

In this article, we study the instability of a stock market with a modified version of Diks and Dindo's (2008) model where the market is characterized by nonlinear interactions between informed trader...

Improving Stock Closing Price Prediction Using Recurrent Neural Network and Technical Indicators.

This study focuses on predicting stock closing prices by using recurrent neural networks (RNNs). A long short-term memory (LSTM) model, a type of RNN coupled with stock basic trading data and technica...

The impact of functional and social value on the price of goods.

According to hedonic pricing theory (HPT) market forces operate on individual characteristics of a good, and the price of a product is the aggregate of the price across those characteristics. The rela...

Improving forecasting accuracy for stock market data using EMD-HW bagging.

Many researchers documented that the stock market data are nonstationary and nonlinear time series data. In this study, we use EMD-HW bagging method for nonstationary and nonlinear time series forecas...

Analysis of global stock index data during crisis period via complex network approach.

Considerable research has been done on the complex stock market, however, there is very little systematic work on the impact of crisis on global stock markets. For filling in these gaps, we propose a ...

Clinical Trials [7704 Associated Clinical Trials listed on BioPortfolio]


The aim of this study is to develop a predictive model of risk of developing melanoma. We will used artificial intelligence techniques to analysed images patterns obtained by clinical and ...

Tailored Drug Titration Through Artificial Intelligence

ARTERY is a randomized clinical trial that investigates the benefit of a predictive modeling artificial intelligence in improving the management of anti-hypertensive medication treatment.

Evaluation of Systane Complete for the Treatment of Contact Lens Discomfort

Clinicians commonly use artificial tears off label for treating contact lens (CL) discomfort and the dry eye associated with CLs because new artificial tear formulations have the potential...

CPAP Titration Using an Artificial Neural Network: A Randomized Controlled Study

The purpose of the study is to determine the validity of the prediction model in reducing the rate of CPAP titration failure and in achieving a shorter time to optimal pressure

Safety and Feasibility Evaluation of the APS APP

This clinical trial is a safety and feasibility study to assess the performance of artificial pancreas (AP) system using the Zone Model Predictive control (Zone-MPC) and Health Monitoring ...

Medical and Biotech [MESH] Definitions

A republic of southeast Asia, northwest of Thailand, long familiar as Burma. Its capital is Yangon, formerly Rangoon. Inhabited by people of Mongolian stock and probably of Tibetan origin, by the 3d century A.D. it was settled by Hindus. The modern Burmese state was founded in the 18th century but was in conflict with the British during the 19th century. Made a crown colony of Great Britain in 1937, it was granted independence in 1947. In 1989 it became Myanmar. The name comes from myanma, meaning the strong, as applied to the Burmese people themselves. (From Webster's New Geographical Dictionary, 1988, p192 & Room, Brewer's Dictionary of Names, 1992, p367)

Statistical formulations or analyses which, when applied to data and found to fit the data, are then used to verify the assumptions and parameters used in the analysis. Examples of statistical models are the linear model, binomial model, polynomial model, two-parameter model, etc.

The science of designing, building or equipping mechanical devices or artificial environments to the anthropometric, physiological, or psychological requirements of the people who will use them.

The science of designing, building or equipping mechanical devices or artificial environments to the anthropometric, physiological, or psychological requirements of the people who will use them.

Theoretical models simulating behavior or activities in nursing, including nursing care, management and economics, theory, assessment, research, and education. Some examples of these models include Orem Self-Care Model, Roy Adaptation Model, and Rogers Life Process Model.

Quick Search


DeepDyve research library

Searches Linking to this Article