market-price-dynamics
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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 10 months ago by Edgar Kouajiep Kouega.
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File | Type | Description | Last updated | |
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market-price-dynamics.png | preview | Preview for 'market-price-dynamics' | 10 months ago, by Edgar Kouajiep Kouega | Download |
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