Evaluation of Technical Analysis Trading Rules in a Artificial Stock Market Environment

Artificial multi-agent systems can be applied to replicate complex processes, including the stock market. In this manuscript, an artificial stock market was simulated. Heterogeneous agents are set to trade by using different investiment strategies through a double auction market. The main innovative aspect of this work is to evaluate the performance and effectiveness of agents with different investment strategies based on the combination of Technical/Fundamental Analysis. According to the simulations performed, the results showed that the time series resulting from the interactions among these agents resemble to the real financial series, reproducing some of the stylized facts found in the Literature. Moreover, the statistical analysis reported no significant differences in the distribution mean performance between these diverse agents types.