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

This paper proposes a simulation environment for stock mark et analysis that uses intelligent agents. The behavior of the environment is defined by the ideal gas theory and the id ea is to analyze the fluctuation of the stock markets and also t he distribution of the gains and losses of the agents. The movem ent of the market can be estimated by a measure called volatil ity, which is defined by the difference between two stock prices in distinct periods. It characterizes the sensibility of a mar ket change in the world economy. Thus, the contributions of this paper a r : i) it is proposed a simulation framework of the stock mark et dynamics based on intelligent agents; ii) the volatility dy namics of the financial world indexes is analyzed; iii) a rela tionship between the volatility of the markets, the distribution of g ains and losses of the agents and the coefficient of the expone ntial function based on the ideal gas theory of Maxwell-Boltzmann is pr oposed. In the experimental study, fifteen world market inde xes were chosen to guide the simulation of the stock prices.

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