Using Software Agents to Simulate How Investors' Greed and Fear Emotions
Explain the Behavior of a Financial Market
Professor Filippo Neri
Department of Computer and System Science
University of Naples "Federico II"
via Claudio 21
80125 Napoli (NA)
Abstract: The flexibility and the
adaptability of the software agent paradigm when coming to the study and the
simulation of complex systems, allowed us to direct our research effort,
that aims to understand the basic drivers of emergent behavior in complex
systems, to the investigation of financial markets.
In particular, we have focused our attention to the following research
question: how the sentiments of greed and fear in investors affect the
overall behaviour of a financial market?
Essentially, we want to understand:
a) if and how the volatility in a financial market, as that observed in
2008, could be explained in term of the spread of fear and of greed among
the population of investors;
b) and, also, how effective a software agent simulator would be in
reproducing the behaviour of a financial market by exploiting a well thought
interaction among simple investors-agents.
During the talk we will also show and comment about some of the empirical
simulations conducted so far.
Brief biography of the Speaker:
Prof. Filippo Neri is currently a professor in Computer Science at the
Department of Computer and System Science of University of Naples "Federico
Prof. Filippo Neri has wide experience in the area of artificial
intelligence, machine learning, and software agent simulation. He had the
opportunity to work both in academic and industrial environments including
Ericsson's and Unlever's R&D centers and across three countries in the
European Union (Italy, Ireland and UK). He is currently setting up a
spin-off company providing consulting services for information technology
strategy and management while at the same time advancing his academic
He has studied and visited at several important academic institutions
including Carnegie Mellon University, MIT, Imperial College London,
University of Milano, University of Torino.
He is a Marie Curie Fellow and an ADI associate, the Italian PhD
association. He is a founding member of initiatives aiming to close the gap
between academia and the business application of research results.
Finally he has served in the program committees and as reviewer at several
international conferences and he is author of more than 50 internationally