Agent’s minimal intelligence calibration for realistic market dynamics

This paper investigates the question of the sophistication level, in the mean of behavior and intelligence, one should endow artificial traders in order to obtain, with realistic market microstructure, not only both qualitative and quantitative stylized facts in an artificial market. For this purpose, we introduce an agent-based simulation environment with an architecture close to the Euronext-NYSE Stock Exchange. Series of experiments with different kinds of agents’ behavior and trading framework specifications where realized within this environment. The results indicate that only special calibrations provide realistic stylized facts with coherent quantitative levels. We introduce a new type of agents, called in this paper ”strongly calibrated agents”, with their specific environment design, that provide price dynamics in quantitative and qualitative accordance with real stock market characteristics.