Stock Market Simulation for Volatility Analysis Inspired on Ideal Gas: an Intelligent Agent Approach

Título: Stock Market Simulation for Volatility Analysis Inspired on Ideal Gas: an Intelligent Agent Approach

Autores: Mattos Neto, Paulo S. G. de; Lima, Aranildo R.; Ferreira, Tiago A. E.; Cavalcanti, George D. C.

Resumo: This paper proposes a simulation environment for stock market analysis that uses intelligent agents. The behavior of the environment is defined by the ideal gas theory and the idea is to analyze the fluctuation of the stock markets and also the distribution of the gains and losses of the agents. The movement of the market can be estimated by a measure called volatility, which is defined by the difference between two stock prices in distinct periods. It characterizes the sensibility of a market change in the world economy. Thus, the contributions of this paper are: i) it is proposed a simulation framework of the stock market dynamics based on intelligent agents; ii) the volatility dynamics of the financial world indexes is analyzed; iii) a relationship between the volatility of the markets, the distribution of gains and losses of the agents and the coefficient of the exponential function based on the ideal gas theory of Maxwell-Boltzmann is proposed. In the experimental study, fifteen world market indexes were chosen to guide the simulation of the stock prices.

Palavras-chave: Volatility Analysis; agents; Maxwell-Boltzmann theory; probability density function

Páginas: 8

Código DOI: 10.21528/CBIC2011-40.3

Artigo em pdf: st_40.3.pdf

Arquivo BibTex: st_40.3.bib