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Looking for the self-fulfilling prophecy effect in a double auction artificial stock market

Albert Meco, Javier Arroyo, Javier Pajares and Juan Pavón

The 2010 Summer Computer Simulation Conference (SCSC 10)
Ottawa, Canada, July 11-14, 2010


Summary

This work proposes a double auction artificial stock market based on the Santa Fe market structure. Our market tries to shed light on some facts that usually arise in real stock markets, specially the creation of technical figures in price series. The origin of these figures is believed to be caused by the selffulfilling prophecy effect, which will be investigated with the proposed market.


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