Abstract

ESCOBAR, Alejandro; MORENO, Julián  and  MUNERA, Sebastián. Software agents based simulation for the assessment of technical indicators. Rev.fac.ing.univ. Antioquia [online]. 2011, n.58, pp.123-132. ISSN 0120-6230.

Considering the inconvenients that the assessment of technical indicators may handle in a real stock market, an agent based simulation model is presented in this document as an alternative where two micro aspects are considered for this kind of systems: agents' decision making mechanisms and the continuous double auction protocol through which transactions are made. In particular, the following indicators are analyzed in an empirical way: Simple, Double and Triple Weighted Moving Averages; Momentum, ROC, MACD and RSI throughout a series of simulations for 280 agents adding also external factors that may affect prices by using a Brownian motion model.

Keywords : Simulation; software agents; technical analysis; continuous double auction.

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