<abstract xmlns="http://www.w3.org/1999/xhtml"><p> One of the most important advantage of ABM (Agent-Based Modeling) used in social and economic calculation simulation is that the critical behavioral characteristics of the micro agents can be deeply depicted by the approach. Why, what and how real behavior(s) should be incorporated into ABM and is it appropriate and effective to use ABM with HSCA collaboration and micro-macro link features for complex economy/finance analysis? Through deepening behavioral analysis and using computational experimental methods incorporating HS (Human Subject) into CA (Computational Agent), which is extended ABM, based on the theory of behavioral finance and complexity science as well, we constructed a micro-macro integrated model with the key behavioral characteristics of investors as an experimental platform to cognize the conduction mechanism of complex capital market and typical phenomena in this paper, and illustrated briefly applied cases including the internal relations between impulsive behavior and the fluctuation of stock’s, the asymmetric cognitive bias and volatility cluster, deflective peak and fat-tail of China stock market.</p></abstract>

One of the most important advantage of ABM (Agent-Based Modeling) used in social and economic calculation simulation is that the critical behavioral characteristics of the micro agents can be deeply depicted by the approach. Why, what and how real behavior(s) should be incorporated into ABM and is it appropriate and effective to use ABM with HSCA collaboration and micro-macro link features for complex economy/finance analysis? Through deepening behavioral analysis and using computational experimental methods incorporating HS (Human Subject) into CA (Computational Agent), which is extended ABM, based on the theory of behavioral finance and complexity science as well, we constructed a micro-macro integrated model with the key behavioral characteristics of investors as an experimental platform to cognize the conduction mechanism of complex capital market and typical phenomena in this paper, and illustrated briefly applied cases including the internal relations between impulsive behavior and the fluctuation of stock’s, the asymmetric cognitive bias and volatility cluster, deflective peak and fat-tail of China stock market.

ABM with Behavioral Bias and Applications in Simulating China Stock Market

Institute of Quantitative & Technical Economics Chinese Academy of Social Sciences Beijing 100732 China

Graduate School of Chinese Academy of Social Sciences Beijing Fangshan 102488 China

Journal of Artificial Intelligence and Soft Computing Research

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"ABM with Behavioral Bias and Applications in Simulating China Stock Market"}

One of the most important advantage of ABM (Agent-Based Modeling) used in social and economic calculation simulation is that the critical behavioral...

ABM with Behavioral Bias and Applications in Simulating China Stock Market

Publié en ligne: 29 oct. 2015

Pages: 257 - 270

DOI: https://doi.org/10.1515/jaiscr-2015-0034

© 2015

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.