Designing a model for financial analysis and market player behavior in the stock market with an agent-based simulation approach
Subject Areas :Seyed Farhad Gooran Heydari 1 , Abbas Toloui eshlaghi 2 , Ahmad Ebrahimi 3 , Mohammad Reza Motadel 4
1 - دانشجوی دکتری مدیریت فناوری اطلاعات علوم و تحقیقات تهران
2 - Professor, Department of Information Technology Management, Faculty of Management and Economics, Science and Research Unit, Islamic Azad University of Tehran, Iran
3 - Assistant Professor, Department of Industrial management and technology, Faculty of Management and Economics, Science and Research Unit, Islamic Azad University of Tehran, Iran
4 - Faculty Member
Keywords: Agent-based simulation, stock exchange, macroeconomic variables, behavioral finance,
Abstract :
Given the importance of financial markets in the country's economic development and the inherent complexities of the economy and market microstructure due to the significant role of human behaviors, it seems necessary to design a simulated model that can surpass these complexities and provide control by analyzing the role of active players in the stock market. In this regard, leveraging the capabilities of agent-based modeling and simulation, we have embarked on designing a model for financial analysis of the country's stock market. After understanding the market structure and organization, we delve into the understanding of the microstructure and pricing mechanisms, moving from a qualitative and inductive approach to observing, studying, and investigating market realities relative to broader predictions and characteristics, and presenting a conceptual model. Through a comparative study, we analyze and compare artificial markets and combine human behavior with quantitative and qualitative research methods using a combinatory approach, utilizing simulation technology as a third scientific research method in addition to comparative and inductive approaches. The research is descriptive and applied in nature. For simulation, all influencing factors of the model and their interactions are determined and simulated as an object-oriented programming in NetLogo software. Model validation (according to the proposed framework and method by William Rand and Ronald Rust) and sensitivity analysis (following the systematic approach proposed by Borganoff for model validation) have been carried out. The results of the research show a significant correlation between the activities of market makers, portfolio managers, investment funds, and the average growth of the overall index, which is presented in all stages of the analytical and visual reports on the various ratios of their presence in the model.
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