Evaluation of Technical Analysis Trading Rules in a Artificial Stock Market Enviroment

Authors

Keywords:

Multi-agent System, Artificial Stock Market, Heterogeneous Agents, Performance Evaluation, Technical Trading Rules

Abstract

Artificial multi-agent systems can be applied to replicate complex processes, including the stock market. In this work an artificial stock market was simulated which agents are programmed to operate with indicators of Technical Analysis, Fundamental Analysis or randomly. The main innovative aspect of this work is to evaluate the simulation environment by considering the performance and effectiveness of agents with different investment strategies based on Technical/Fundamental Analysis. According to the simulations performed, the results showed that the time series resulting from the interactions of these agents resemble the real financial series, reproducing some of the stylized facts found in the literature. Additionally, the analysis reported no statistically significant differences in performance between agents using Technical Analysis, but in some scenarios this indicator exhibit greater variability. The simultation framework used can be refined to incorporate other market characteristics.

Published

2020-11-04
Bookmark and Share