The problem of insider trading and other illegal practices in financial markets is an important issue in the field of financial regulatory policies. Market control bodies, such as the US SEC or the Italian CONSOB regularly perform statistical analyses on security prices in order to unveil clues of fraudulent behaviour within the market. Fraudulent behaviour is connected to the more general problem of information asymmetries, which had already been addressed in the field of experimental economics. Recently, interesting conclusions were drawn thanks to a computer-simulated market where agents had different pieces of information about the future dividend cash flow of exchanged securities. Here, by means of an agent-based artificial market: the Genoa Artificial Stock Market (GASM), the more specific problem of fraudulent behaviour in a financial market is studied. A simplified model of fraudulent behaviour is implemented and the action of fraudulent agents on the statistical properties of simulated prices and the agent wealth distribution is investigated.

Fraudulent agents in artificial financial markets / Scalas, Enrico; Cincotti, S; Dose, C; Raberto, M.. - (2005), pp. 1-12.

Fraudulent agents in artificial financial markets

SCALAS, Enrico;
2005

Abstract

The problem of insider trading and other illegal practices in financial markets is an important issue in the field of financial regulatory policies. Market control bodies, such as the US SEC or the Italian CONSOB regularly perform statistical analyses on security prices in order to unveil clues of fraudulent behaviour within the market. Fraudulent behaviour is connected to the more general problem of information asymmetries, which had already been addressed in the field of experimental economics. Recently, interesting conclusions were drawn thanks to a computer-simulated market where agents had different pieces of information about the future dividend cash flow of exchanged securities. Here, by means of an agent-based artificial market: the Genoa Artificial Stock Market (GASM), the more specific problem of fraudulent behaviour in a financial market is studied. A simplified model of fraudulent behaviour is implemented and the action of fraudulent agents on the statistical properties of simulated prices and the agent wealth distribution is investigated.
2005
Nonlinear Dynamics And Heterogenous Interacting Agents
3540222375
insider trading; fraudulent agents; financial markets; artificial financial markets
02 Pubblicazione su volume::02a Capitolo o Articolo
Fraudulent agents in artificial financial markets / Scalas, Enrico; Cincotti, S; Dose, C; Raberto, M.. - (2005), pp. 1-12.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1667147
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