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Proceedings Paper

Effects of diversification among assets in an agent-based market model
Author(s): F. Ghoulmié; M. Bartolozzi; C. P. Mellen; T. Di Matteo
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Paper Abstract

We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmié et al.1 In particular, we focus on adaptive agents with threshold behavior allocating their resources among two assets. We explore numerically the effect of this diversification as an additional source of complexity in the financial market and we discuss its destabilizing role. We also point out the relevance of these studies for financial decision making.

Paper Details

Date Published: 5 January 2008
PDF: 12 pages
Proc. SPIE 6802, Complex Systems II, 68020D (5 January 2008); doi: 10.1117/12.758912
Show Author Affiliations
F. Ghoulmié, Grinham Managed Funds Pty. Ltd. (Australia)
The Australian National Univ. (Australia)
M. Bartolozzi, Grinham Managed Funds Pty. Ltd. (Australia)
Univ. of Adelaide (Australia)
C. P. Mellen, Grinham Managed Funds Pty. Ltd. (Australia)
T. Di Matteo, The Australian National Univ. (Australia)

Published in SPIE Proceedings Vol. 6802:
Complex Systems II
Derek Abbott; Tomaso Aste; Murray Batchelor; Robert Dewar; Tiziana Di Matteo; Tony Guttmann, Editor(s)

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