Simulation of Stock Market by Concerning Structural Characteristics of Tehran Stock Exchange

Abstract

Simulation has been increasingly applied in social sciences and economics in the two last decades. Agent Based Simulation (ABS) provides the opportunity of creation of an artificial environment for many agents to have interaction in a computer. In this paper, concerning ABS literature and the new characteristics, Tehran Stock Exchange has been simulated. Primary tests show that this model is capable of reproducing the existing statistical identifications in time-series of prices and returns in International and Tehran stock markets.