Evaluation of technical analysis trading rules in a artificial stock market environment
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Universidade Federal de Minas Gerais
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Artigo de periódico
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Membros da banca
Resumo
Artificial multi-agent systems can be applied to
replicate complex processes, including the stock market. In this
manuscript, an artificial stock market was simulated. Heterogeneous agents are set to trade by using different investiment
strategies through a double auction market. The main innovative
aspect of this work is to evaluate the performance and effectiveness of agents with different investment strategies based on the
combination of Technical/Fundamental Analysis. According to
the simulations performed, the results showed that the time series
resulting from the interactions among these agents resemble to
the real financial series, reproducing some of the stylized facts
found in the Literature. Moreover, the statistical analysis reported
no significant differences in the distribution mean performance
between these diverse agents types.
Abstract
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Multi-agent system, Artificial stock market, Heterogeneous agents, Performance technical trading rules.
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http://latamt.ieeer9.org/index.php/transactions/article/view/3296