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We propose a multi-agent-based artificial futures market to understand commodity futures price dynamics, which is called stylized facts. The multi-agent-based artificial futures market includes hedger agents and speculative agents. We use Brenner's stochastic belief learning model (SBL) to describe speculative agents' learning process. The SBL is a social learning process with local information. New...
We propose an agent-based model of a futures market to analyze the characters of wheat futures markets price stylized facts. We use the Brenner's ldquostochastic belief learning modelrdquo to describe the speculative agents' beliefs learning process. In this model, the bounded speculative agents have different learning capability and risk aversion degree, and they can learn both from individual and...
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