Combining Empirical Data with Multi Agent Social Simulation: Investigating Micro-Macro Links in Stock Markets

21 Pages Posted: 28 Apr 2006

See all articles by Arvid O. I. Hoffmann

Arvid O. I. Hoffmann

University of Adelaide - Business School

Wander Jager

University of Groningen - Faculty of Management & Organization

J. Henk von Eije

University of Groningen - Faculty of Economics and Business

Date Written: April 2006

Abstract

This paper investigates micro-macro links in stock markets. Empirical investigations on individual investors' decision-making and interactions are used to formalize agent rules for an artificial stock market. Simulation of the social interactions of multiple agents in this market generates macro results, like stock market prices and returns over time. The outcomes of the artificial market are finally compared to empirical facts from real stock markets. Taken together, the paper is the first example of an Axtell & Epstein level 3 model in financial markets.

Keywords: multi-agent simulation, artificial stock markets, stock market characteristics, micro-macro links, behavioral finance

JEL Classification: D40, D79, D83, G10, Z13

Suggested Citation

Hoffmann, Arvid O. I. and Jager, Wander and von Eije, J. Henk, Combining Empirical Data with Multi Agent Social Simulation: Investigating Micro-Macro Links in Stock Markets (April 2006). Available at SSRN: https://ssrn.com/abstract=898826 or http://dx.doi.org/10.2139/ssrn.898826

Arvid O. I. Hoffmann (Contact Author)

University of Adelaide - Business School ( email )

10 Pulteney Street
Adelaide, South Australia 5005
Australia

Wander Jager

University of Groningen - Faculty of Management & Organization ( email )

P.O. Box 800
NL-9700 AV Groningen
Netherlands

J. Henk Von Eije

University of Groningen - Faculty of Economics and Business ( email )

Postbus 72
9700 AB Groningen
Netherlands

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