АГЕНТНЕ МОДЕЛЮВАННЯ ПРИЙНЯТТЯ РІШЕНЬ НА ФІНАНСОВИХ РИНКАХ

Abstract

The work deals with the topical issue of researching the behavior of financial market agents and identifying the motives of participants in unstable, extremely risky and practically unmanaged markets in the modern conditions of their functioning. This article presents the principles of creating financial models, defines the principles of decision-making in financial markets, and analyzes the impact of herd behavior on decision-making. In the work, the concept of agent modeling of decision-making in financial markets is built, mathematical and statistical models, multi-agent systems, models of decisionmaking in financial markets are considered. The available tools for the development and implementation of simulation agent models were analyzed and a simulation agent model of decision-making in the financial market was developed in the AnyLogic Professional modeling environment, with the aim of analyzing the influence of agent behavior on the dynamics of prices in the stock market. Based on a reflexive approach to the analysis of the stock market, within the framework of this work, situations of decision-making by agents regarding the purchase or sale of securities on the virtual stock market were simulated using the Ising model – modeling the impact of different levels of the herding coefficient on the stock market. In the process of modeling, the set goals and objectives were achieved, namely: determination of the principles of functioning and structure of the stock market; the influence of information value on the efficiency of the stock market was investigated; the process of emergence of bubbles on the stock market is investigated. As a result of the computer experiments carried out as part of this work, two virtual stock markets were investigated – a virtual stock market with the number of 1000 agents and the presence of intuitive agents, and a dynamic virtual market with agents under the influence of authoritative agents. So, the scientific article considers methodological approaches to the analysis of decision-making by agents in financial markets and modeling of decision-making processes by economic agents based on the agent model of group behavior, which allows to identify the presence of herd behavior in the actions of agents and to form management measures to coordinate the decision-making process.