Evaluation of technical analysis trading rules in a artificial stock market environment

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dc.creatorMichel Carlo Rodrigues Leles
dc.creatorMarcos Vinícius Lopes Pereira
dc.creatorRoberto Aldo Iquiapaza
dc.creatorElton Felipe Sbruzzi
dc.creatorCairo Lúcio Nascimento Júnior
dc.date.accessioned2025-07-07T14:05:13Z
dc.date.accessioned2025-09-09T00:52:04Z
dc.date.available2025-07-07T14:05:13Z
dc.date.issued2020
dc.identifier.doi10.1109/TLA.2020.9387641
dc.identifier.issn1548-0992
dc.identifier.urihttps://hdl.handle.net/1843/83370
dc.languageeng
dc.publisherUniversidade Federal de Minas Gerais
dc.relation.ispartofIEEE Latin America Transactions
dc.rightsAcesso Restrito
dc.subjectAções (Finanças)
dc.subject.otherMulti-agent system
dc.subject.otherArtificial stock market
dc.subject.otherHeterogeneous agents
dc.subject.otherPerformance technical trading rules.
dc.titleEvaluation of technical analysis trading rules in a artificial stock market environment
dc.typeArtigo de periódico
local.citation.epage1714
local.citation.issue10
local.citation.spage1707
local.citation.volume18
local.description.resumoArtificial 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.
local.publisher.countryBrasil
local.publisher.departmentFCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVAS
local.publisher.initialsUFMG
local.url.externahttp://latamt.ieeer9.org/index.php/transactions/article/view/3296

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