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Effects of diversification among assets in an agent-based market model

Date

Authors

Ghoulmie, Francois

Bartolozzi, M

Mellen, C

Di Matteo, Tiziana

Publisher

SPIE - The International Society for Optical Engineering

Abstract

We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmié et al.1 In particular, we focus on adaptive agents with threshold behavior allocating their resources among two assets. We e

Keywords

Keywords: Decision making; Financial data processing; Industrial management; Large scale systems; Strategic planning; Agent based models; Diversification; Financial markets; Multi asset market models; Stylized facts; Asset management Agent-based model; Business and management; Complex systems; Diversification; Financial markets; Multi-asset market model; Stability; Stylized facts

URI

http://hdl.handle.net/1885/49995

Collections

ANU Research Publications

Source

Complex Systems II (Proceedings of SPIE Vol. 6802 )

Type

Conference paper

DOI

10.1117/12.758912

Restricted until

2037-12-31

Downloads

File

Description

01_Ghoulmie_Effects_of_diversification_2008.pdf (647.39 KB)