Computational Model Library

This model analyzes two investors forming their expectations with heterogeneous strategies in order to optimize their portfolios by means of a Sharpe ratio maximization. Traders are distinguished according to their methodology used in forecasting. Two acknowledged algorithms of technical analysis have been implemented to compare portfolios performances and assess profitability of each technique.

Multi Asset Variable Network Stock Market Model

Matthew Oldham | Published Mon Sep 12 18:10:04 2016 | Last modified Tue Oct 10 17:50:03 2017

An artifcal stock market model that allows users to vary the number of risky assets as well as the network topology that investors forms in an attempt to understand the dynamics of the market.

The model implements a double auction financial markets with two types of agents: rational and noise. The model aims to study the impact of different compensation structure on the market stability and market quantities as prices, volumes, spreads.

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