student profile: Miss Karina Arias Calluari


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Thesis work

Thesis title: PROPOSAL FOR MODELLING STOCK MARKETS BASED ON GAME THEORY

Supervisors: Michael HARRE , Fernando ALONSO-MARROQUIN

Thesis abstract:

Focusing on past agent-based models, it is possible to recognize that over the years, economists, physicists, and other professionals reflected on different aspects with the purpose of developing realistic models of real stock markets. Current models do not reflect all the characteristic features that real stock markets have such as heavy tails in price variation distribution and volatility clusters in time series, also known as ‘stylized facts’. The old paradigms which assumed that price fluctuation is a result of the trading activity without agents’ interaction and arrival of new information cannot capture these stylized facts. The new paradigm should consider that price fluctuation in financial markets is a result of new information and expectations made by agents considering agents’ interactions. This new view of the stock market implies the possibility that in a more realistic situation other parameters such as noise, arrival of new information, and how agents interact, influence over agents’ action at the moment of taking their decision, instead of only the rational maximization of their profit. The main goal of this project is to develop a predictable agent-based model of stock markets based on a ‘sand-pile’ interaction model. This model would help to understand the impact of agents interaction on price dynamics. Consequently, the validated model will allow us to understand better the underlying mechanism of bubbles and crashes formation in the stock markets.

Selected publications

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Conferences

  • Arias Calluari, K., Alonso-Marroquin, F. (2017). Structural analysis of an off-grid tiny house. Workshop on Off-Grid Technology 2017, New York: American Institute of Physics (AIP). [More Information]

2017

  • Arias Calluari, K., Alonso-Marroquin, F. (2017). Structural analysis of an off-grid tiny house. Workshop on Off-Grid Technology 2017, New York: American Institute of Physics (AIP). [More Information]

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