Artificial stock market

Artificial stock market preview image

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Gil Alvaro Gil (Author)

Tags

economics 

Tagged by Alvaro Gil almost 11 years ago

finances 

Tagged by Alvaro Gil almost 11 years ago

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Model was written in NetLogo 5.0.2 • Viewed 2534 times • Downloaded 159 times • Run 0 times
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Where I can find more information?

This model was created for supporting my thesis during my master in economics between 2009 and 2012. The research, the model and the mayor findings are explained in the Prezi link (spanish only): http://prezi.com/prgfvkzhntj/?utmcampaign=share&utm_medium=copy&rc=ex0share

Other onlie version is ready to use at http://agiltools.com/ASM/index.html

CREDITS AND REFERENCES

If you want to use this model, you have to quote the author: Gil, Alvaro. Artificial Stock Market. Pontificia Universidad Javeriana (Colombia) 2012. alvaro.gil@polymtl.ca

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Click to Run Model

extensions [matrix]

breed [Acciones Accion]
breed [Agentes Agente]

globals [
  choque?
  t_choque
  array_ref
  historic_price
  historic_rent
  historic_trans 
  book_buy
  book_sell
  daily_book  
  lin_trend_fund
  actual_price
  actual_volume
  ret_price
  ret_db
  ret_medio
  number_agents
  number_acciones
  min_agentes
  global_fund
  fund?
  rent_db
  index_array
  ]


Acciones-own [
 precio 
 estado
 propietario]

Agentes-own [
 dinero_inic
 dinero
 patrimonio
 mi_rendimiento
 tipo
 g1
 g2
 Li
 ki
 rLi
 ni
 ei
 ri
 pt+1
 ai
 bi
 portafolio
 desde
 senal
]

to setup
  __clear-all-and-reset-ticks
  file-close-all
  set historic_price []
  set historic_rent []
  set ret_db []
  set rent_db []
  set index_array []
  set choque? 0
  set array_ref [] ;Fund_perc, Tasa_ref
  ;if Crecimiento = true [set fund? true]
  set fund? true
  set min_agentes int(Agentes_Iniciales / 2)
  set global_fund Fundamental
  set historic_trans [] ;Formato por posiciones:
                        ;  0      1      2        3        4  
                        ;Periodo  De    Para    Titulo   Valor
  set book_buy [] ;Formato por posiciones
                  ;  0      1         2           3
                  ;Valor  Agente  Cantidad   Vigente_Hasta
  set book_sell [] ;Formato por posiciones
                   ;  0      1       2
                   ;Valor  Agente  Titulo
  ask patches [set pcolor white]
  setup_plots
  gen_hist_price
  setup_indice
  set-default-shape turtles "Person"
  create-Agentes Agentes_Iniciales [
    setxy random-pxcor random-pycor 
    set portafolio []
    update_atributos
    update_expectations
    allocate_money
    set desde ticks]
  foreach [who] of agentes [
    create-Acciones 1 [
      set hidden? true
      set size 0.1
      set estado "vendida"
      let ac who
      set propietario ?
      ask agente ? [
        set dinero dinero - last(historic_price)
        let tempar []
        set tempar lput(ac) tempar
        set tempar lput(last(historic_price)) tempar
        set tempar lput(ticks) tempar
        set portafolio lput(tempar) portafolio
        set shape "person student"
        ]
      set precio last(historic_price) 
    ]
  ]
  update_patrimonio
  update_plots 2
  set actual_price last(historic_price)
end 

to go
  if ticks = 0 and Modo = "Traza" [
    file-close-all
    if file-exists? "ASM.txt" [file-delete "ASM.txt"]
    file-open "ASM.txt"
    file-write "Per"
    file-write "Tasa"
    file-write "Tec"
    file-write "Fund"
    file-write "Ruido"
    file-write "Pt"
    file-write " "
    file-print "Ret"
    ]

  ;if ticks > 1000 [stop]
  if Disp_val? = True
  [print (word"Periodo " ticks)]
  if ticks = 0 and Disp_val? = True
  [print (word"El precio inicial es de " last(historic_price))]
  ask agentes [update_expectations]
  start_bids
  transar
  update_price
  update_patrimonio
  update_plots 3 
  collect_statistics
  clean_db
  if count(Acciones with [estado = "libre"]) = 0
  [crear_titulos]
  if choque? != 0 [
    ifelse t_choque = 0 [
      set choque? 0
      set global_fund lin_trend_fund
      set T_Ref_% item 1 array_ref] [
      if choque? = 1 [
        set global_fund (lin_trend_fund * (1 + Magnitud / 50))
        repeat 2 [create_new_agents]]
    set t_choque t_choque - 1]]
  tick
end 


;------------------------------------------------;
;---------------- SETUP SUBRUTINES --------------;
;------------------------------------------------;

to create_new_agents 
   create-Agentes 1 [ 
     setxy random-pxcor random-pycor 
     set portafolio []
     update_atributos
     update_expectations
     allocate_money
     let tt length(portafolio) * last(historic_price)
     set patrimonio int(dinero + tt)
     set desde ticks]
end 

to update_atributos
    set ni abs(random-normal 0 n0)      ;chiarella lo usa solo y LeBaron con ABS
    set g1 abs(random-normal 0 sigma_1)
    set g2 random-normal 0 sigma_2
    set ki 0.001 + random-float k
    set ei random-normal 0 1      ;Este valor se re-calcula a cada instante
    set Li 1 + random L_max
    ifelse abs(abs(g1) - abs(g2)) <= ruido
    [set tipo "Noisy"] 
    [ifelse abs(g1) > abs(g2) [set tipo "Fundamentalista"]
      [ifelse g2 > 0
        [set tipo "Trend Chasing"] 
        [set tipo "Chartist"]]]
    if tipo = "Fundamentalista"
    [set color Yellow]
    if tipo = "Noisy"
    [set color black]
    if tipo = "Trend Chasing"
    [set color blue]
    if tipo = "Chartist"
    [set color red]
end 

to gen_hist_price
  let j 0
  let p0 Fundamental
  let p1 p0
  while [j < 200]
  [
    let randval random-normal 0.000812358520455973 0.0109806285398027
    if length(index_array) > 0 [
      set randval random-normal (item 1 index_array) sqrt (item 4 index_array)]
    ifelse j != 199 [
      set historic_rent lput(randval) historic_rent
      set p1 p0 + p0 * last(historic_rent)
      set historic_price lput(p1) historic_price]
    [set p1 aprox (p0 + p0 * randval) tick_size
      set historic_price lput(p1) historic_price
      set historic_rent lput(ln(p1 / p0)) historic_rent]
    set p0 p1
    update_plots 1
    set j j + 1]
end 

to setup_plots
  set-current-plot "Precio"
  set-plot-y-range (Fundamental - 1000) (Fundamental + 1000)
  set-current-plot "Retornos"
  set-plot-y-range -.03 .03
  set-current-plot "Retorno Promedio"
  set-plot-y-range 0 .002
  set-current-plot "Rentabilidad"
  set-plot-y-range 0 5
end 

to allocate_money
  let m 0
  let d 1
  ifelse Media_riqueza_inicial > global_fund * 4
  [set m Media_riqueza_inicial]
  [set m global_fund * 4]
  set d m / 10
  if Distribucion_riqueza_inicial = "Constante" [set dinero m]
  if Distribucion_riqueza_inicial = "Normal" [set dinero round(random-normal m d)]
  if Distribucion_riqueza_inicial = "Uniforme" [set dinero round( m * 3 / 4 + random-float (1 / 2 * m))]
  if Distribucion_riqueza_inicial = "Pareto" [set dinero round((m * 0.9) / ((random-float 1) ^ (1 / 5)))]  
  if Distribucion_riqueza_inicial = "Lognormal" 
  [set dinero round(exp(ln(m) - (1 / 2) * ln(1 + (d / m) ^ 2) + (random-normal 0 1) * (ln(1 + (d / m) ^ 2)) ^ (1 / 2)))]
  set dinero_inic dinero
end 

;------------------------------------------------;
;----------------- GO SUBRUTINES ----------------;
;------------------------------------------------;

to update_expectations
  let flag 0
  let q 0
  while [flag = 0] [
    set ei random-normal 0 1           ;Actualiza el error a cada instante
    set rLi update_L Li
    set ri g1 * ln(global_fund / last(historic_price)) + g2 * rLi + ni * ei 
    set pt+1 last(historic_price) * exp(ri)
    ;set q q + 1
    if (pt+1 >= 0 and pt+1 <= last(historic_price) * 50) [ ;
      ifelse senal = 0 [
        set bi aprox int(pt+1 * (1 - ki)) tick_size
        set ai aprox int(pt+1 * (1 + ki)) tick_size
        set flag 1] 
      [
        let ktemp random-float ki
        set bi aprox int(pt+1 * (1 - 1 * ki)) tick_size   ;Quien compra quiere comprar solo si es muy barato
        set ai aprox int(pt+1 * (1 - 0.5 * ki)) tick_size ;Quien vende quiere vender asi sea perdiendo
      set flag 1]]
  ]
end 

to start_bids
  set book_buy []
  set book_sell []
  ask agentes [
   let rr random-float 1
   if rr <= lambda [
     ;if Actualizar_Atributos = True [fd .1]
     if length(portafolio) > 0
     [let i 0
       while [i < length(portafolio)]
       [let pa item 1 (item i portafolio)
         if (pa > pt+1 or (senal < 0 and ai < pa));Si el valor de compra de la accion es mayor que el precio futuro => VENDE 
         [let a2 first(item i portafolio)
           let tempar []
           set tempar lput(ai) tempar
           set tempar lput(who) tempar
           set tempar lput(a2) tempar
           set book_sell lput(tempar) book_sell]
         set i i + 1]]
   ]]
  
  if count(acciones with [estado = "libre"]) > 0 [
    let tempar [who] of acciones with [estado = "libre"]
    let i 0
    while [i < length(tempar)] [
      let acc item i tempar
      let my_array []
      set my_array lput([precio] of accion acc) my_array
      set my_array lput("B") my_array
      set my_array lput(item i tempar) my_array
      set book_sell lput my_array book_sell
      set i i + 1]]
  
  ;show book_sell
  ask agentes [
    let rr random-float 1
   if (rr <= lambda or senal > 0) and length(book_sell) > 0 [ 
     let book_temp map [first ?] book_sell
     if (pt+1 > min(book_temp) or senal < 0) and (dinero > bi and bi > 0) [ ;Si hay acciones a la venta a menor precio que su expectativa => COMPRA
       let tempar []
       set tempar lput(bi) tempar
       set tempar lput(who) tempar
       set tempar lput(int(dinero / bi)) tempar
       set tempar lput(ticks + 1) tempar
       set book_buy lput tempar book_buy] 
   ]
  ]
  
  set book_buy sort-by [first ?1 < first ?2] book_buy
  set book_sell sort-by [first ?1 < first ?2] book_sell
  set book_buy filter [first ? > 0] book_buy
  set book_sell filter [first ? > 0] book_sell
  
  if Disp_Val? = true [
    print (word "El libro de compra es ")
    print book_buy
    print (word "El libro de venta es ")
    print book_sell]
end 

to transar
  let t ticks
  set actual_volume 0
  if length(book_buy) > 0 [
    ;Aqui debemos comenzar con el algoritmo de calce de subastas
    ;1) Ordenar todas las ofertas de compra y venta de mayor a menor
    let tempar_prix []
    let filter_book_sell (filter [? <= (max(map [first ?] book_buy))] map [first ?] book_sell)
    set tempar_prix reverse(sort(sentence (map [first ?] book_buy) filter_book_sell))
    set tempar_prix remove-duplicates tempar_prix
  
    ;2) Por cada precio, crear un arreglo temporal que contenga 5 posiciones:
    ;2.1 Precio
    ;2.2 Qc 
    ;2.3 Qv  
    ;2.4 Calce
    ;2.5 Desbalance
    let tempar_prix_3 []
    let i 0
    let meanprix 0
    while [i < length(tempar_prix)] [
      let tempar_prix_2 [0 0 0 0 0]
      set tempar_prix_2 replace-item 0 tempar_prix_2 (item i tempar_prix)                                                    ;Precio
      set tempar_prix_2 replace-item 1 tempar_prix_2 sum(map [item 2 ?] (filter [first ? >= (item i tempar_prix)] book_buy)) ;Qc
      set tempar_prix_2 replace-item 2 tempar_prix_2 length(filter [? <= (item i tempar_prix)] (map [first ?] book_sell))    ;Qv
      let calce item 1 tempar_prix_2
      if item 2 tempar_prix_2 < calce [set calce item 2 tempar_prix_2]
      set tempar_prix_2 replace-item 3 tempar_prix_2 calce                                                                   ;Calce
      let maxq item 1 tempar_prix_2
      if item 2 tempar_prix_2 > maxq [set maxq item 2 tempar_prix_2]
      set tempar_prix_2 replace-item 4 tempar_prix_2 (maxq - calce)                                                          ;Desbalance
      set tempar_prix_3 lput tempar_prix_2 tempar_prix_3
      set i i + 1]
    
    
    ;Ahora se elige el mayor calce con el menor desbalance. 
    ifelse length(tempar_prix) > 0 [
      set daily_book matrix:from-row-list tempar_prix_3
      if Disp_Val? = true
      [print matrix:pretty-print-text daily_book]
      let col_max matrix:get-column daily_book 3 ;CRASO ERROR, ANTES ERA LA COLUMNA 2, WRONG!
      let max_val max(col_max)
      if Disp_Val? = true
      [print (word "El calce maximo es " max_val)]
      let tempar_prix_5 []
      set i 0
      while [i < length(tempar_prix_3)] [
        if item 3 (item i tempar_prix_3) = max_val
        [set tempar_prix_5 lput(item i tempar_prix_3) tempar_prix_5] 
        set i i + 1]
      if Disp_Val? = true [print (word "El libro depurado es")]
      let daily_book2 matrix:from-row-list tempar_prix_5
      if Disp_Val? = true
      [print matrix:pretty-print-text daily_book2]
      let col_min matrix:get-column daily_book2 4
      let min_val min(col_min)
      if Disp_Val? = true
      [print (word "El valor minimo es " min_val)]
      
      let tempar_prix_6 []
      set i 0
      while [i < length(tempar_prix_5)][
        if item 4 (item i tempar_prix_5) = min_val
        [set tempar_prix_6 lput(item i tempar_prix_5) tempar_prix_6] 
        set i i + 1]
      if Disp_Val? = true
      [print (word "Finalmente")]
      let daily_book3 matrix:from-row-list tempar_prix_6
      if Disp_Val? = true
      [print matrix:pretty-print-text daily_book3]
      
      let tempar_prix_7 []
      set i 0
      while [i < length(tempar_prix_6)] [
        set tempar_prix_7 lput(item 0 (item i tempar_prix_6)) tempar_prix_7
        set i i + 1]
      set meanprix aprox mean(tempar_prix_7) tick_size
    ]
    [set meanprix last(historic_price)]
    if Disp_Val? = true [print (word "El precio final de mercado debe ser " meanprix)]
    let book_buy2 filter [first ? >= meanprix] book_buy
    let tempbook [] 
    foreach (filter [first ? > meanprix] book_buy2) [
      set i 0 while [i < item 2 ?] 
      [let tempar replace-item 2 ? 1 
        set tempbook lput(tempar) tempbook 
        set i i + 1]]
    set book_buy2 sort-by [first ?1 > first ?2] tempbook
    ;show book_buy2
    let book_sell2 sort-by [first ?1 < first ?2] (filter [first ? <= meanprix] book_sell)
    ;show book_sell2
    if length(book_buy2) > 0 and length(book_sell2) > 0 [
      set i 0
      let ll length(book_buy2)
      if length(book_sell2) < ll
      [set ll length(book_sell2)]
      while [i < ll] [
        let ac (item 2 (item i book_sell2)) 
        let vendedor (item 1 (item i book_sell2)) 
        let comprador (item 1 (item i book_buy2)) 
        ;La Accion
        ask accion (item 2 (item i book_sell2)) [
          set estado "vendida"
          set precio meanprix
          set propietario comprador]
        ;El que vende
        if vendedor != "B" [
          ask agente vendedor [
            set dinero dinero + meanprix
            let p position ac (map [first ?] portafolio)
            set portafolio remove-item p portafolio
            if length(portafolio) = 0
            [set shape "person"]]]
        ;El que compra
        ask agente comprador [
          set dinero dinero - meanprix
          let tempar []
          set tempar lput(ac) tempar
          set tempar lput(meanprix) tempar
          set tempar lput(ticks) tempar
          set portafolio lput(tempar) portafolio
          set shape "person student"]
        let tempar []
        set tempar lput(ticks) tempar
        set tempar lput(vendedor) tempar
        set tempar lput(comprador) tempar
        set tempar lput(ac) tempar
        set tempar lput(meanprix) tempar
        set historic_trans lput tempar historic_trans
        set i i + 1]
    ]
  set actual_volume length(map [last ?] (filter [first ? = ticks] historic_trans))
  if Disp_Val? = true [print (word "El total de transacciones es de " actual_volume)]
  ]
end 

to update_price
  let pm 0
  let lp last(historic_price)
  ifelse actual_volume > 0
  [set pm last(last(historic_trans))] ;mean(book_transactions)
  [
    ifelse length(book_sell) > 0 and length(book_buy) > 0 [
      let am max(map [first ?] book_buy)
      let bm min(map [first ?] book_sell)
      set pm aprox ((am + bm) / 2) tick_size]
    [set pm last(historic_price)]
  ]
  let ren ln(pm / lp)
  set historic_price lput pm historic_price
  set historic_rent lput ren historic_rent
  if length historic_rent >= 300 ;200 iniciales + 100 de ajuste
  [set ret_db lput ren ret_db]
  if Disp_val? = true
  [print (word"Y el nuevo precio al terminar transacciones es de " last(historic_price))]
  let forecast matrix:forecast-linear-growth historic_price
  ifelse fund? = true [
    set lin_trend_fund aprox first(forecast) tick_size
    if choque? = 0 [
      set global_fund lin_trend_fund
      set array_ref []
      set array_ref lput global_fund array_ref
      set array_ref lput T_Ref_% array_ref]
    ] 
  [set lin_trend_fund global_fund]
end 

to clean_db
  if length(historic_price) > 300 [
    set historic_price sublist historic_price (length(historic_price) - 300) (length(historic_price))
    set historic_rent sublist historic_rent (length(historic_rent) - 300) (length(historic_rent))]
  set historic_trans []
  set daily_book []
  set book_buy []
  set book_sell []
end 

to update_plots [a]
if a = 1 [
  set-current-plot "Retornos"
  set-current-plot-pen "default"
  if length(historic_price) > 200
  [set-plot-pen-color 105]
  plot last(historic_rent)]

set-current-plot "Precio"
  if length(historic_price) > 200
  [set-plot-pen-color 105]
  plot last(historic_price)

if a = 2 or a = 3
[
  set-current-plot "Retornos"
  set-current-plot-pen "default"
  if length(historic_price) > 200
  [set-plot-pen-color 105]
  plot last(historic_rent)
  
  if Modo = "Traza" and ticks > 100 [
    file-write ticks
    file-write T_Ref_%
    file-write (count agentes with [tipo = "Trend Chasing"] + count agentes with [tipo = "Chartist"])
    file-write count agentes with [tipo = "Fundamentalista"]
    file-write count agentes with [tipo = "Noisy"]
    file-write last(historic_price)
    file-write " "
    file-print last(historic_rent)]
  
  set-current-plot "Agentes por tipologia"
  set-current-plot-pen "Tec"
  plot (count agentes with [tipo = "Trend Chasing"] + count agentes with [tipo = "Chartist"])
  set-current-plot-pen "Fund"
  plot count agentes with [tipo = "Fundamentalista"]
  set-current-plot-pen "Noisy"
  plot count agentes with [tipo = "Noisy"]
  set-current-plot "Retorno Promedio"
  if ticks >= 150 [
    if length(index_array) > 0 [
      set-current-plot-pen "A. Crec."
      plot item 0 index_array  
      set-current-plot-pen "B. Calma"
      plot item 1 index_array
      set-current-plot-pen "C. Nerv."
      plot item 2 index_array
      set-current-plot-pen "D. Crisis"
      plot item 3 index_array]
    set-current-plot-pen "Simulado"
    plot ret_medio]

  set-current-plot "Rentabilidad"
  set-current-plot-pen "Rentabilidad"
  plot mean([mi_rendimiento] of agentes) * 100
  set-current-plot-pen "Rent media"
  ifelse length(rent_db) > 0 and ticks > 0  [plot mean rent_db]
  [plot 0]
]
end 

to update_patrimonio
  ask agentes [
    let tt length(portafolio) * last(historic_price)
    set patrimonio int(dinero + tt)
    set mi_rendimiento ((patrimonio / dinero_inic)) - 1;* (ticks - desde) / 244) - 1
    ]
  
  ;Ahora evaluamos la expansion y contraccion del mercado;
  set rent_db lput (mean([mi_rendimiento] of agentes) * 100) rent_db
  if Crecimiento = True and ticks > 100 [
    let ren mean([mi_rendimiento] of agentes) * 100
    if mean(rent_db) > ren [set ren mean rent_db]
    if count(agentes with [length(portafolio) = 0 and pt+1 < actual_price]) > 0 and count(agentes) > min_agentes [ 
        if (ren < T_Ref_% ) [
          let n  int((T_Ref_% - ren) / 100 * count(agentes)) + 1
          if n > count(agentes with [length(portafolio) = 0]) [set n count(agentes with [length(portafolio) = 0])]
          if count(agentes) - n < min_agentes [set n count(agentes) - min_agentes]
          ;ask n-of n agentes with [length(portafolio) > 0] [set senal -1] ; Si el panorama afuera es mas favorable, un agente con acciones VENDE
          ask n-of n agentes with [length(portafolio) = 0] [die]
          ]
        ]
      if (update_rent >= (T_Ref_% / 100)) [ 
        create_new_agents
        ask agentes [set senal 0]]
      ]
end 

to collect_statistics
  set actual_price last(historic_price)
  set ret_price last(historic_rent)
  ifelse length ret_db > 0
  [set ret_medio mean(ret_db)]
  [set ret_medio 0]
  set number_agents count(agentes)
  set number_acciones count(acciones)
end 

to crear_titulos
    create-Acciones 10 [
    set size 0.1
    set hidden? true
    set estado "libre"
    set propietario "B"
    set precio last(historic_price)]
end 

to generar_pos
  ifelse choque? = 0 [
    set choque? 1
    set T_Ref_% T_Ref_% / 2
    set t_choque 50]
  [set choque? 0
    set T_Ref_% item 1 array_ref]
end 

to generar_neg
  ifelse choque? = 0 [
    set choque? -1
    set global_fund (global_fund * (100 - Magnitud) / 100)
    set T_Ref_% int(mean([mi_rendimiento] of agentes) * 100) * (1 + Magnitud / 25)
    set t_choque 5]
  [set choque? 0
    set global_fund lin_trend_fund
    set T_Ref_% item 1 array_ref]
end 

to setup_indice 
  if Indice = "IGBC" [
    set index_array lput 0.00229 index_array
    set index_array lput 0.0008123 index_array
    set index_array lput -0.0027 index_array
    set index_array lput -0.0066 index_array
    set index_array lput 0.0001205 index_array
    if modo = "Indice" [
      set Distribucion_riqueza_inicial "Normal"
      set Agentes_Iniciales 500
      set Lambda 0.75
      set Tick_size 1
      set Sigma_1 0.6
      set Sigma_2 2.6
      set n0 0.25
      set k 0.15
      set L_max 50
      set Ruido 0.2
      set Crecimiento true
      set T_Ref_% 0.75]]
  if Indice = "S&P500" [
    set index_array lput 0.00062 index_array
    set index_array lput 0.0003008 index_array
    set index_array lput -0.00073 index_array
    set index_array lput -0.00177 index_array
    set index_array lput 0.0001091 index_array
    if modo = "Indice" [
      set Distribucion_riqueza_inicial "Normal"
      set Agentes_Iniciales 700
      set Lambda 0.75
      set Tick_size 1
      set Sigma_1 0.5
      set Sigma_2 1.5
      set n0 0.15
      set k 0.45
      set L_max 50
      set Ruido 0.2
      set Crecimiento true
      set T_Ref_% 1.0]]
  if Indice = "BVSP" [
    set index_array lput 0.00153 index_array
    set index_array lput 0.0004266 index_array
    set index_array lput -0.00063 index_array
    set index_array lput -0.00040 index_array
    set index_array lput 0.0002106 index_array
    if modo = "Indice" [
      set Distribucion_riqueza_inicial "Uniforme"
      set Agentes_Iniciales 600
      set Lambda 0.90
      set Tick_size 1
      set Sigma_1 0.5
      set Sigma_2 2.0
      set n0 0.15
      set k 0.42
      set L_max 50
      set Ruido 0.2
      set Crecimiento true
      set T_Ref_% 1.0]]
    if Indice = "IPSA" [
    set index_array lput 0.00180793 index_array
    set index_array lput 0.00091044 index_array
    set index_array lput -0.00025778 index_array
    set index_array lput -0.00227601 index_array
    set index_array lput 0.00006301 index_array
    if modo = "Indice" [
      set Distribucion_riqueza_inicial "Uniforme"
      set Agentes_Iniciales 600
      set Lambda 0.75
      set Tick_size 1
      set Sigma_1 0.5
      set Sigma_2 2.0
      set n0 0.15
      set k 0.2
      set L_max 50
      set Ruido 0.2
      set Crecimiento true
      set T_Ref_% 1.0]]
end 

to-report aprox [a b]
  let temp a
  if (a / b) != int(a / b) [
    ifelse (a / b) - int(a / b) < 0.5
    [set temp int(a / b) * b]
    [set temp int(a / b) * b + b]]
  report temp
end 

to-report update_L [L]
  let j 0
  let subli_ret []
  set subli_ret sublist historic_rent (length(historic_rent) - L) length(historic_rent)
  report mean(subli_ret)
end 

to-report update_rent
  let dininic []
  let dinactual []
  ask agentes [
    set dininic lput(dinero_inic) dininic
    set dinactual lput(patrimonio) dinactual]
  let rentact []
  let i 0
  while [i < length(dininic)][
    ifelse item i dininic != 0
    [set rentact lput((item i dinactual) / (item i dininic)) rentact]
    [set rentact lput(0) rentact]
    set i i + 1]
  let rent mean(rentact) - 1
  set rent rent * 244 / (ticks + 1)
  report rent
end 

There are 2 versions of this model.

Uploaded by When Description Download
Alvaro Gil almost 11 years ago updated version Download this version
Alvaro Gil almost 11 years ago Initial upload Download this version

Attached files

File Type Description Last updated
Artificial stock market.png preview Preview for 'Artificial stock market' almost 11 years ago, by Alvaro Gil Download
matrix.jar extension Matrix extension almost 11 years ago, by Alvaro Gil Download

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