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It is a stock market with zero intelligent agents. The emergent behaviour is complex in spite of the extremely simple agents in the system. It is interesting to see how also simple agents can produce complex aggregate behaviours
Our (un)realistic market emerges from the behavior of myopic agents that:
(i) know only the last executed price,
(ii) choose randomly, in a balanced way, the buy or sell side and
(iii) fix their limit price by multiplying the previously executed price times a random coefficient
The model have Zero Intelligent agent (they act randomly) in a market with structure. The structure of the market is a book which register the sell orders and the buy orders and the prices at which the agent are willing to buy or sell. The actual sell or buy is carried out if the book find compatible sell orders and buy orders. The agents know only the last transaction price, they choose to buy or sell randomly, they fix their price by multiplying the last price by a random coefficient.
There are 100 agents which choose to buy or sell an single asset with probability 1/2. They multiply the last price by a uniform random variable 0.9 - 1.1. If the price is below a threshold (price = 0.3) the agents tend to buy. The initial price is equal to 1.
"probabilità imitazione mercato" the probability that an agent would choose the buy or
sell side as an imitation act, i.e. buying if the market mean price is increasing from day -2 to day -1 and the doing contrary if the price is decreasing;
"probabilità-imitazione-locale" the probability that an agent would choose the buy or sell side on the basis of the majority of the decisions of the last N agents (here N = 20)
"prezzo per transazione" is the price of the last trasaction
"prezzo per giornata" is the mean price of the day, in each day each agent acts once
See the bubbles and the crashes and how the aggregate behaviour change with the change of "probabilità imitazione mercato" or/and "probabilità-imitazione-locale".
Terna, Pietro 2000, SUM: a Surprising (Un)realistic Market: Building a
Simple Stock Market Structure with Swarm, presented at CEF 2000,
Barcelona, June 5-8
Terna, Pietro 2000, The "mind or no mind" dilemma in agents behaving in a
market, in G. Ballot e G. Weisbuch (eds.), Applications of Simulation to Social
Sciences. Paris, Hermes Science Publications