@article{article_849275, title={Modelling an Artificial Financial Market: Agent Based Approach}, journal={Maliye ve Finans Yazıları}, pages={71–96}, year={2021}, DOI={10.33203/mfy.849275}, author={Beyhan, Hidayet and Ülengin, Burç}, keywords={Yapay Finansal Piyasa, Ajan Temelli Simulasyon, Heterojen Ajanlar}, 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.}, number={Özel Sayı 2}, publisher={Maliye ve Finans Yazıları Yayıncılık Ltd. Şti.}