Simulation of Social Media-Driven Bubble Formation in Financial Markets using an Agent-Based Model with Hierarchical Influence Network

Autor:	Bohorquez, Gonzalo, Cartlidge, John
Rok vydání:	2024
Předmět:	Computer Science - Multiagent Systems Computer Science - Artificial Intelligence Quantitative Finance - Trading and Market Microstructure I.2.11
Zdroj:	36th European Modeling & Simulation Symposium (EMSS 2024), 026
Druh dokumentu:	Working Paper
DOI:	10.46354/i3m.2024.emss.026
Popis:	We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences and investor behaviour. To explore this hypothesis, we introduce an agent-based model of financial markets, where trading agents are embedded in a hierarchical network of communities, and communities influence the strategies and opinions of traders. Empirical analysis of the model shows that its behaviour conforms to several stylized facts observed in real financial markets; and the model is able to realistically simulate the effects that social media-driven phenomena, such as echo chambers and pump-and-dump schemes, have on financial markets. Comment: 11 pages, 7 figures, To appear in Proceedings of 36th European Modeling and Simulation Symposium (EMSS), 21st International Multidisciplinary Modelling and Simulation Multiconference (I3M), Tenerife, Spain, Sep. 2024
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2409.00742 Zobrazit plný text záznamu View this record from Arxiv