Abstract
The problem of insider trading and other illegal
practices in financial markets is an important issue in
the field of financial regulatory policies. Market
control bodies, such as the US SEC or the Italian
CONSOB regularly perform statistical analyses on
security prices in order to unveil clues of fraudulent
behaviour within the market. Fraudulent behaviour is
connected to the more general problem of information
asymmetries, which had already been addressed in the
field of experimental economics. Recently, interesting
conclusions were drawn thanks to a computer-simulated
market where agents had different pieces of information
about the future dividend cash flow of exchanged
securities. Here, by means of an agent-based artificial
market: the Genoa Artificial Stock Market (GASM), the
more specific problem of fraudulent behaviour in a
financial market is studied. A simplified model of
fraudulent behaviour is implemented and the action of
fraudulent agents on the statistical properties of
simulated prices and the agent wealth distribution is
investigated.
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