Yapay Finansal Market Modelleme: Ajan Temelli Yaklaşım

Year 2021, , 71 - 96, 02.02.2021

Hidayet Beyhan , Burç Ülengin

https://doi.org/10.33203/mfy.849275

Abstract

Finans ve iktisatta rasyonellik ve homojenlik konusundaki geleneksel görüş, teorik sınırlamalar ve artan ampirik bulgular ile sorgulanmaya başlanmıştır. Bu, rasyonel beklentileri olan ajanları temsil etmekten heterojen beklentileri olan rasyonel ajanlara doğru bir paradigma değişikliğine yol açmaktadır. Bu bağlamda, bu çalışma, ajanlar üzerindeki heterojenliği daha iyi ele almak ve aralarındaki etkileşimi yakalamak için ajan temelli bir finansal piyasayı modellemeyi amaçlamaktadır.

Raberto ve diğerleri (2001) tarafından sunulan Genoa piyasa modeline dayanarak, ilkel bir ajan tabanlı yapay finansal piyasa yaratılmıştır. Modelin geçerliliğini sağlamak için finansal varlık getirilerinin “stylized fact” olgusunu tekrarlamayı hedefliyoruz. Ajanlara önceden belirlenmiş nakit ve varlık tutarı atanır. Ajan tabanlı simülasyon farklı senaryolar altında yapılarak sonuçlar incelendi. Ajanlar, alım satım yaparken gürültücü yatırımcı veya teknik indikatörleri kullanan bir ajan olarak farklılık gösterir. Model olasılık yoğunluk fonksiyonunun leptokurtik şekli, getirilerin otokorelasyon yokluğu ve uçuculuk kümelenmesi özelliklerini tekrarlamıştır.

Keywords

Yapay Finansal Piyasa, Ajan Temelli Simulasyon, Heterojen Ajanlar

Modelling an Artificial Financial Market: Agent Based Approach

Abstract

The traditional view of perfect rationality and homogeneity in finance and economics has been challenged by growing evidence on the theoretical limitations and empirical findings. That leads a paradigm shift from representing agents with rational expectations to boundedly rational agent having heterogenous expectations. In this regard, this study aims to model a financial market with agent-based approach to deal better with heterogeneity over agents and to capture the interaction among them.

A primitive agent-based artificial financial market is created based on the Genoa market model introduced by Raberto et al., (2001). We aim to replicate the stylized fact of financial asset returns to assure validity of model. Agents are endowed with prespecified cash and assets amount. Agents based simulation is run under different scenarios and results are examined. Agents differ when trading as being noise trader or an agent using technical trading. The model was able to replicate leptokurtic shape of probability density function, absence of autocorrelation and volatility clustering.

Keywords

Artificial Financial Market, Agent Based Simulation, Heterogenous Agents

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