Intraday Simulation in Japanese Stock Market by using Improved Three-body Trading Model

Abstract

We present an advanced three-body model in markets for numerical simulation of Japanese stock market. The original three-body model was introduced by Yoon in 2001. It is an artificial market model to simulate intraday price fluctuation, and the model is composed of three different types of agents; daytraders, market-makers, and investors. They have different time spans in terms of investment return from each other, and the complex nature of the price fluctuation is explained as resulting from their cross-interaction. In our advanced model, we add the investor agents a new function to observe VWAP for benchmark price, and it makes the price fluctuation very familiar to the real one in the Japanese stock market.