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Open AccessArticle

Detecting the Proportion of Traders in the Stock Market: An Agent-Based Approach

by Minh Tran 1,2,*, Thanh Duong 3, Duc Pham-Hi 1,4 and Marc Bui 2
1
John von Neumann Institute, Vietnam National University Ho Chi Minh City, Ho Chi Minh City 70000, Vietnam
2
CHArt Laboratory EA 4004, EPHE, PSL Research University, 75014 Paris, France
3
CEO at QT-Data Inc., Saskatoon, SK S7K 2P7, Canada
4
Financial Engineering Department, ECE Paris Graduate School of Engineering, Paris 75015, France
*
Author to whom correspondence should be addressed.
Mathematics 2020, 8(2), 198; https://doi.org/10.3390/math8020198
Received: 31 December 2019 / Revised: 27 January 2020 / Accepted: 29 January 2020 / Published: 5 February 2020
(This article belongs to the Special Issue Mathematical Methods in Artificial Intelligence)
In this research, an agent-based model (ABM) of the stock market is constructed to detect the proportion of different types of traders. We model a simple stock market which has three different types of traders: noise traders, fundamental traders, and technical traders, trading a single asset. Bayesian optimization is used to tune the hyperparameters of the strategies of traders as well as of the stock market. The experimental results on Bayesian calibration with the Kolmogorov–Smirnov (KS) test demonstrated that the proposed separate calibrations reduced simulation error, with plausible estimated parameters. With empirical data of the Dow Jones Industrial Average (DJIA) index, we found that fundamental traders account for 9%–11% of all traders in the stock market. The statistical analysis of simulated data can produce the important stylized facts in real stock markets, such as the leptokurtosis, the heavy tail of the returns, and volatility clustering. View Full-Text
Keywords: Bayesian optimization; artificial stock market; agent-based modeling; traders proportion Bayesian optimization; artificial stock market; agent-based modeling; traders proportion
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Tran, M.; Duong, T.; Pham-Hi, D.; Bui, M. Detecting the Proportion of Traders in the Stock Market: An Agent-Based Approach. Mathematics 2020, 8, 198.

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