Citing this article

A standard form of citation of this article is:

Hoffmann, A. O. I., Jager, W. and Von Eije, J. H. (2007). 'Social Simulation of Stock Markets: Taking It to the Next Level'. Journal of Artificial Societies and Social Simulation 10(2)7 <http://jasss.soc.surrey.ac.uk/10/2/7.html>.

The following can be copied and pasted into a Bibtex bibliography file, for use with the LaTeX text processor:

@article{hoffmann2007,
title = {Social Simulation of Stock Markets: Taking It to the Next Level},
author = {Hoffmann, A. O. I. and Jager, W. and Von Eije, J. H.},
journal = {Journal of Artificial Societies and Social Simulation},
ISSN = {1460-7425},
volume = {10},
number = {2},
pages = {7},
year = {2007},
URL = {http://jasss.soc.surrey.ac.uk/10/2/7.html},
keywords = {Agent-Based Computational Finance, Artificial Stock Markets, Behavioral Finance, Micro-Macro Links, Multi-Agent Simulation, Stock Market Characteristics},
abstract = {This paper studies the use of social simulation in linking micro level investor behaviour and macro level stock market dynamics. Empirical data from a survey on individual investors' decision-making and social interaction was used to formalize the trading and interaction rules of the agents of the artificial stock market SimStockExchange. Multiple simulation runs were performed with this artificial stock market, which generated macro level results, like stock market prices and returns over time. These outcomes were subsequently compared to empirical macro level data from real stock markets. Partial qualitative as well as quantitative agreement between the simulated asset returns distributions and the asset returns distributions of the real stock markets was found.},
}

The following can be copied and pasted into a text file, which can then be imported into a reference database that supports imports using the RIS format, such as Reference Manager and EndNote.


TY - JOUR
TI - Social Simulation of Stock Markets: Taking It to the Next Level
AU - Hoffmann, A. O. I.
AU - Jager, W.
AU - Von Eije, J. H.
Y1 - 2007/03/31
JO - Journal of Artificial Societies and Social Simulation
SN - 1460-7425
VL - 10
IS - 2
SP - 7
UR - http://jasss.soc.surrey.ac.uk/10/2/7.html
KW - Agent-Based Computational Finance
KW - Artificial Stock Markets
KW - Behavioral Finance
KW - Micro-Macro Links
KW - Multi-Agent Simulation
KW - Stock Market Characteristics
N2 - This paper studies the use of social simulation in linking micro level investor behaviour and macro level stock market dynamics. Empirical data from a survey on individual investors' decision-making and social interaction was used to formalize the trading and interaction rules of the agents of the artificial stock market SimStockExchange. Multiple simulation runs were performed with this artificial stock market, which generated macro level results, like stock market prices and returns over time. These outcomes were subsequently compared to empirical macro level data from real stock markets. Partial qualitative as well as quantitative agreement between the simulated asset returns distributions and the asset returns distributions of the real stock markets was found.
ER -