market-price-dynamics

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Tags

colorful 

Tagged by Muhammad Taha Siddiqui 21 days ago

finances, economics 

Tagged by Edgar Kouajiep Kouega about 1 month ago

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globals [current-price previous-price return
         current-number-asks current-number-bids order-balance order-book-balance] ; declare of global variables
breed [persons person] ; declare agent
persons-own [talk? bid? ask? volume] ; declare individual properties of the agent

to setup
  clear-all
  setup-variables ; set up the global variables used for computation
  setup-persons ; set up the agents
  reset-ticks
end 

to go
  if (ticks > 15000) [stop]
  cancel-orders ; reset the decisions
  make-decision ; create the market speakers and set their decisions
  execute-orders ; execute the orders of the speakers to compute market features
  tick
end 

to setup-variables
   set current-price initial-price
   set previous-price initial-price
   set current-number-bids 0
   set current-number-asks 0
   set return [] ;
   set order-book-balance [0];
end 

to setup-persons
  create-persons number-agents ; create a given number of persons
  ask persons [
    setxy random-xcor random-ycor
    set color green
    set shape "person"
    set talk? False
    set bid? False
    set ask? False
  ]
end 

to make-decision
  ; only a hand of people can intervene in the market
  ask n-of number-speakers persons [
  ifelse random-float 1 <= 0.5 [set talk? False] [set talk? True] ; some of them can decide to actually interve or not
  if talk? [
    set volume 1 + random (max-order-size - 1) ; only when an agent wants to participate, the agent defines the volume he wants to bid or ask
    ifelse random-float 1 <= 0.5
      [set bid? False
       set ask? True
       set color yellow] ; when an agent wants to sell ie speak on the supply side, color him in yellow
      [set bid? True
       set ask? False
       set color red] ; when an agent wants to buy ie speak on the demand side, color him in red
   ]
  ]
end 

to execute-orders
  set current-number-bids sum [volume] of persons with [bid? = True] ; compute the total of bids
  set current-number-asks sum [volume] of persons with [ask? = True] ; compute the total of asks
  set order-balance current-number-bids  - current-number-asks ; compute the spread
  set order-book-balance lput order-balance order-book-balance ; monitor all the values of spread

  set previous-price current-price
  set current-price previous-price * exp(order-balance * granularity)

  let current-return ln(current-price) - ln(previous-price) ; get the return of the stock
  set return lput current-return return  ; monitor all its values during the simulation
end 

to cancel-orders
  ask persons [
    set color green
    set talk? False
    set bid? False
    set ask? False
  ]
end 

There is only one version of this model, created about 1 month ago by Edgar Kouajiep Kouega.

Attached files

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market-price-dynamics.png preview Preview for 'market-price-dynamics' about 1 month ago, by Edgar Kouajiep Kouega Download

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