Servicios Personalizados
Revista
Articulo
Indicadores
- Citado por SciELO
- Accesos
Links relacionados
- Citado por Google
- Similares en SciELO
- Similares en Google
Compartir
Revista Facultad de Ingeniería Universidad de Antioquia
versión impresa ISSN 0120-6230versión On-line ISSN 2422-2844
Resumen
ESCOBAR, Alejandro; MORENO, Julián y 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.
Palabras clave : Simulation; software agents; technical analysis; continuous double auction.