FINancial Agent-based Computational Economics

Bounded rationality, heterogeneous agents and herding effects are the most important ingredients in constructing evolutionary adaptive systems to simulate experimental security markets. The intention of the FINACE project is part of the debate about whether expectations affect asset prices and may lead to excess volatility. The relation between capital market anomalies and bounded rational behaving investors is the main focus of this study. For this purpose a new experimental market will be implemented as an open and modular system to better understand the interactions between agents and the resulting dynamics of the price building process. The JADE platform and Java will be used as a tool to implement this multi-agent system.
"Investment based on genuine long-term expectation is so diffcult as to be scarcely practicable. He who attempts it must surely lead much more laborious days and run greater risks than he who tries to guess better than the crowd how the crowd will behave; and, given equal intelligence, he may make more disastrous mistakes"
(J. M. Keynes, The general theory of unemployment, interest and money, 1936, S. 157)