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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 Raberto
The 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.

History

Publication status

  • Published

Publisher

Springer

Issue

550

Book title

Nonlinear dynamics and heterogenous interacting agents

Place of publication

Berlin

ISBN

9783540272960

Series

Lecture notes in economics and mathematical systems

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Editors

Stefan Reitz, Thomas Lux, Eleni Samanidou

Legacy Posted Date

2014-09-30

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