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2D LATTICE MODEL & SIMULATION OF HETEROGENEOUS AGENT FOR STOCK MARKET BEHAVIOR STUDY

 

TITLE 2D LATTICE MODEL & SIMULATION OF HETEROGENEOUS AGENT FOR STOCK MARKET BEHAVIOR STUDY
AUTHOR SARIT RITWIRUNE
DEGREE MASTER OF SCIENCE PROGRAMME IN COMPUTER SCIENCE
FACULTY FACULTY OF SCIENCE
ADVISOR DAMRAS WONGSAWANG
CO-ADVISOR WITHOON CHUNWACHIRASIRI
CHARNYOTE PLUEMPITIVIRIYAWEJ
 

ABSTRACT

This research proposes a modified agent-based model which can imitate some of the empirical stylized facts of stock market returns. The research changes the trustworthiness among the agents by weighting them against surrounding stocks to avoid the pitfalls of extreme conditions. For instance, if one of the four nearest neighbours decides to sell the stocks while the others prefer to hold them, the previous existing models will show that the trader is most likely to sell the stocks. However, such models did not include the factor of the weighting which means that an error will occur if that agent possesses only a tiny minority of stocks. As a result, a modification of this model is highly desired especially the factor of the weighted score, which is the main focus of this research. In the experiments, it defines X% of the total area as sample data in order to investigate the activities of people in the actual stock market. It was noticed that the probability of the average price is always higher than the initial price if the state variables are in the saturated area. This thesis is intended to study the behaviour and activities of the trader, which affects prices over the time series. It also suggests further research to explore the use of modern applications such as a dynamic time warping algorithms in stock market model studying.


KEYWORD AGENT-BASED MODEL / STOCK MARKET / HERD BEHAVIOUR / PHYSICS OF FINANCE / CUDA GPUs

 

 

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