Simuler pour comprendre : un éclairage sur les dynamiques de marchés financiers à l'aide des systèmes multi-agents (notice n° 1009974)
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| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250125140425.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Beaufils, Bruno |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Simuler pour comprendre : un éclairage sur les dynamiques de marchés financiers à l'aide des systèmes multi-agents |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2009.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 52 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | « Quelles spécifications minimales un modèle de marché financier artificiel doit-il respecter pour produire des dynamiques réalistes ? ». A partir de cette question de recherche, l’article fait un point sur l’usage de la simulation multi-agents comme outil de connaissance scientifique, en s’appuyant sur un cas. Le potentiel des systèmes multi-agents (SMA) pour la formalisation de connaissances nouvelles en finance est souligné. Au rang des résultats théoriques, il est montré que la microstructure des marchés financiers tient une place centrale dans l’émergence des dynamiques financières tandis que le comportement des investisseurs semble y jouer un rôle plus réduit. Ce travail présente des implications pratiques en rapport avec la régulation des places financières mais aussi avec le design d’automates d’algorithmic trading. Il fait également un point sur une méthode de connaissance et de modélisation innovante et en plein développement en finance, à la croisée des systèmes d’information, de l’intelligence artificielle et de la finance de marché. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | “What are the minimum specifications to design a realistic atificial financial market?”. Starting from this research question, it is argued in this article that simulation of Multi-Agent Systems (MAS) can be a specific mode of inquiry which improves our knowledge of financial motions. Among others, we show that one must pay a particular attention to market architectures implemented in the MAS in casu generating realistic artificial data is targeted. This element, i.e. market microstructure, appears to be necessary and sufficient in explaining the emergence of a wide range of financial stylized facts at the intraday level, while the design of agents behaviors could be considered as of less value for this emergence. This research has potential implications in the design of regulatory financial institutions or algorithmic trading methods. It also makes a point on a new and promising research methodology, at the crossroads of Information Systems, Artificial Intelligence and Finance. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | intelligence artificielle |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | microstructure |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | finance |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | simulation |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | systèmes multi-agents |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | microstructure |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | finance |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | multi-agents systems |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | artificial intelligence |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | simulation |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Brandouy, Olivier |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Ma, Lin |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Mathieu, Philippe |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Systèmes d'information & management | Volume 14 | 4 | 2009-12-02 | p. 51-70 | 1260-4984 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-systemes-d-information-et-management-2009-4-page-51?lang=fr&redirect-ssocas=7080">https://shs.cairn.info/revue-systemes-d-information-et-management-2009-4-page-51?lang=fr&redirect-ssocas=7080</a> |
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