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

F. Ghoulmié; M. Bartolozzi; C. P. Mellen; T. Di Matteo

doi:10.1117/12.758912

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

F. Ghoulmié^*, M. Bartolozzi, C. P. Mellen, T. Di Matteo

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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 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.

Original language	English
Title of host publication	Complex Systems II
DOIs	https://doi.org/10.1117/12.758912
Publication status	Published - 2008
Event	Complex Systems II - Canberra, Australia Duration: 5 Dec 2007 → 7 Dec 2007

Publication series

Name	Proceedings of SPIE - The International Society for Optical Engineering
Volume	6802
ISSN (Print)	0277-786X

Conference

Conference	Complex Systems II
Country/Territory	Australia
City	Canberra
Period	5/12/07 → 7/12/07

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10.1117/12.758912

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title = "Effects of diversification among assets in an agent-based market model",

abstract = "We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmi{\'e} et al.1 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 = "Agent-based model, Business and management, Complex systems, Diversification, Financial markets, Multi-asset market model, Stability, Stylized facts",

author = "F. Ghoulmi{\'e} and M. Bartolozzi and Mellen, {C. P.} and {Di Matteo}, T.",

year = "2008",

doi = "10.1117/12.758912",

language = "English",

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AU - Bartolozzi, M.

AU - Mellen, C. P.

AU - Di Matteo, T.

PY - 2008

Y1 - 2008

N2 - 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 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.

AB - 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 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.

KW - Agent-based model

KW - Business and management

KW - Complex systems

KW - Diversification

KW - Financial markets

KW - Multi-asset market model

KW - Stability

KW - Stylized facts

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U2 - 10.1117/12.758912

DO - 10.1117/12.758912

M3 - Conference contribution

SN - 9780819469731

T3 - Proceedings of SPIE - The International Society for Optical Engineering

BT - Complex Systems II

T2 - Complex Systems II

Y2 - 5 December 2007 through 7 December 2007

ER -

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

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