Desenvolvimento de um simulador de mercado artificial com opções financeiras para a interação de agentes externos

• Ano de defesa: 2015
• Autor(a) principal: Luiz Paulo da Cruz Scarp
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Minas Gerais; UFMG
• Palavras-chave em Português: Simulação por agentes; Mercado de opções; Mercados artificiais; Engenharia de produção
• Link de acesso: http://hdl.handle.net/1843/BUBD-A9CJRK

The use of computational tools in teaching activities is becoming increasingly common, which is causing the demand for technological products to support education to grow. In this sense, starting from the artificial stock market of Ferreira (2014), this research aimed to develop an artificial options market to be used in a financial market simulator, in which users can interact with artificial agents and learn about the mechanisms of stock and options markets. This was accomplished by means of agent-based modeling, a technique which allows the construction of an interactive simulator of the real markets. In this simulator, the real user plays the role of one of the markets agents. Artificial markets developed with agent-based modeling are more capable to reproduce realistic price series than classical approaches, because the prices are generated by the interaction of markets agents, not by an explicitly programmed equation. Furthermore, the financial market has a natural representation as consisting of interacting autonomous agents, i.e., the definition of an agent as an investor is intuitive. Even though the main purpose of this simulator is to deal with educational issues, it can also be applied as an electronic laboratoryto analyze economic policies and regulations on the market. The implemented artificial market was able to replicate the theoretically expected behavior of an option, as well as stylized facts of stock markets and options markets. Therefore, it was shown to be a close representation of real markets. Lastly, it was implemented an adapted version of the online interface proposed by Ferreira (2014), in which users can trade with artificial agents and another users.