CLC number: TP391.9; F224-39
On-line Access: 2024-08-27
Received: 2023-10-17
Revision Accepted: 2024-05-08
Crosschecked: 0000-00-00
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Liu Cheng, Wu Yi-li, Yan Gang-feng. Simulation of game analysis based on an agent-based artificial stock market re-examined[J]. Journal of Zhejiang University Science A, 2006, 7(4): 564-569.
@article{title="Simulation of game analysis based on an agent-based artificial stock market re-examined",
author="Liu Cheng, Wu Yi-li, Yan Gang-feng",
journal="Journal of Zhejiang University Science A",
volume="7",
number="4",
pages="564-569",
year="2006",
publisher="Zhejiang University Press & Springer",
doi="10.1631/jzus.2006.A0564"
}
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%A Yan Gang-feng
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%I Zhejiang University Press & Springer
%DOI 10.1631/jzus.2006.A0564
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%@ 1673-565X
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PB - Zhejiang University Press & Springer
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DOI - 10.1631/jzus.2006.A0564
Abstract: This work re-examined the simulation result of game analysis (Joshi et al., 2000) based on an agent-based model, Santa Fe Institute Artificial Stock Market. Allowing for recent research work on this artificial model, this paper’s modified game simulations found that the dividend amplitude parameter is a crucial factor and that the original conclusion still holds in a not long period, but only when the dividend amplitude is large enough. Our explanation of this result is that the dividend amplitude parameter is a measurement of market uncertainty. The greater the uncertainty, the greater the price volatility, and so is the risk of investing in the stock market. The greater the risk, the greater the advantage of including technical rules.
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