Effects of diversification among assets in an agent-based market model
Trading and Market Microstructure
2009-11-13 v1 Data Analysis, Statistics and Probability
Physics and Society
Abstract
We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmie et al (2005). In particular, we focus on adaptive agents with threshold behavior allocating their resources among two assets. We explore numerically the effect of this diversification as an additional source of complexity in the financial market and we discuss its destabilizing role. We also point out the relevance of these studies for financial decision making.
Keywords
Cite
@article{arxiv.0712.3611,
title = {Effects of diversification among assets in an agent-based market model},
author = {F. Ghoulmié and M. Bartolozzi and C. P. Mellen and T. Di Matteo},
journal= {arXiv preprint arXiv:0712.3611},
year = {2009}
}
Comments
12 pages, 5 figures, accepted for publication in the Proceedings of the Complex Systems II Conference at the Australian National University, 4-7 December 2007, Canberra, ACT Australia