Animal Spirits in Financial Markets: Agent-Based Model
Ukwizagira, Janvier (2016)
Diplomityö
Ukwizagira, Janvier
2016
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe201604199943
https://urn.fi/URN:NBN:fi-fe201604199943
Tiivistelmä
In this work an agent based model (ABM) was proposed using the main idea from the
Jabłonska-Capasso-Morale (JCM) model and maximized greediness concept. Using
a multi-agents simulator, the power of the ABM was assessed by using the historical
prices of silver metal dating from the 01.03.2000 to 01.03.2013. The model results, analysed
in two different situations, with and without maximized greediness, have proven
that the ABM is capable of explaining the silver price dynamics even in utmost events.
The ABM without maximal greediness explained the prices with more irrationalities
whereas the ABM with maximal greediness tracked the price movements with more rational
decisions. In the comparison test, the model without maximal greediness stood
as the best to capture the silver market dynamics. Therefore, the proposed ABM confirms
the suggested reasons for financial crises or markets failure. It reveals that an
economic or financial collapse may be stimulated by irrational and rational decisions,
yet irrationalities may dominate the market.
Jabłonska-Capasso-Morale (JCM) model and maximized greediness concept. Using
a multi-agents simulator, the power of the ABM was assessed by using the historical
prices of silver metal dating from the 01.03.2000 to 01.03.2013. The model results, analysed
in two different situations, with and without maximized greediness, have proven
that the ABM is capable of explaining the silver price dynamics even in utmost events.
The ABM without maximal greediness explained the prices with more irrationalities
whereas the ABM with maximal greediness tracked the price movements with more rational
decisions. In the comparison test, the model without maximal greediness stood
as the best to capture the silver market dynamics. Therefore, the proposed ABM confirms
the suggested reasons for financial crises or markets failure. It reveals that an
economic or financial collapse may be stimulated by irrational and rational decisions,
yet irrationalities may dominate the market.