Investigating the collective behaviour of the stock market using Agent-Based Modelling

Abstract: The stock market is a place in which numerous entities interact, operate, andchange state based on the decisions they make. Further, the stock market itselfevolves and changes its dynamics over time as a consequence of the individualactions taking place in it. In this sense, the stock market can be viewed andtreated as a complex adaptive system. In this study, an agent-based model,simulating the trading of a single asset has been constructed with the purposeof investigating how the collective behaviour affects the dynamics of the stockmarket. For this purpose, the agent-based modelling program NetLogo wasused. Lastly, the conclusion of the study revealed that the dynamics of thestock market are clearly dependent on some specific factors of the collectivebehaviour, such as the information source of the investors.