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Fraudulent agents in an artificial financial market
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posted on 2023-06-08, 18:26 authored by Enrico Scalas, S Cincotti, C Dose, M RabertoThe problem of insider trading and other illegal practices in financial markets is an important issue in the field of financial regulatory policies. Market control bodies, such as the US SEC or the Italian CONSOB regularly perform statistical analyses on security prices in order to unveil clues of fraudulent behaviour within the market. Fraudulent behaviour is connected to the more general problem of information asymmetries, which had already been addressed in the field of experimental economics. Recently, interesting conclusions were drawn thanks to a computer-simulated market where agents had different pieces of information about the future dividend cash flow of exchanged securities. Here, by means of an agent-based artificial market: the Genoa Artificial Stock Market (GASM), the more specific problem of fraudulent behaviour in a financial market is studied. A simplified model of fraudulent behaviour is implemented and the action of fraudulent agents on the statistical properties of simulated prices and the agent wealth distribution is investigated.
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Publication status
- Published
Publisher
SpringerIssue
550Book title
Nonlinear dynamics and heterogenous interacting agentsPlace of publication
BerlinISBN
9783540272960Series
Lecture notes in economics and mathematical systemsDepartment affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Editors
Stefan Reitz, Thomas Lux, Eleni SamanidouLegacy Posted Date
2014-09-30Usage metrics
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