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Nematrian Reference Library

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ReferenceTitleLink
Palin, J. (2002)Agent based stock-market models: calibration issues and application

Abstract

"Returns on stocks have traditionally been modelled by fitting a suitable statistical process to empirical returns. In contrast the agent-based approach to stockmarket modelling considers stock prices as arising from the interaction of a number of individual investors each trading with their own aims. This approach has been shown to reproduce features of real stockmarkets. To date the agent-based approach has been used principally as an academic research tool and not as an aid to investment. This paper considers whether a particular agent-based stockmarket model is of use in addressing the specific practical issue of how share prices respond to the sale of a large volume of shares. The paper also considers the problems faced in calibrating the model to stock returns found in real markets."


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