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Wolfram Summer School

June/July 2017 (3 weeks)
Near Boston
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Miquel Noguer Alonso

Class of 2008


Miquel Noguer Alonso is Spanish, working and living in Switzerland. He is head of investment consulting for Western Europe at UBS and is working on his PhD in applied mathematics for financial markets. His interests include complex systems science and machine learning applied to financial markets prediction.

He is a Certified European Financial Analyst with several master's degrees related to financial markets, including MBAs from ESADE (Barcelona) and Universita Luigi Bocconi.

Project: Artificial Market Model--Agent-Based Modeling

Alonso's project involves an artificial market model using agent-based modeling techniques. The model is based on a population of heterogeneous agents (fundamental traders and technical traders), and each type of trader decides the trade (buy, sell, or hold) according to a strategy rule and external factors such as good or bad news.

The model includes feedback, non-stationarity, many-interacting agents, adaptation, and evolution, and is an open system (external perturbations). The output of the model is an evolution of the price.

Alonso is studying market behaviors in different scenarios and their sensitivity to different inputs.

This artificial market needs to give a basic set of stylized facts observed in many real markets:

  • Fat-tailed PDF of price changes, with non trivial scaling properties
  • Slow decay of the autocorrelation of absolute value of price changes
  • Volatility clustering
  • Fast decay of the autocorrelation of price changes

Favorite Radius 3/2 Rule

Rule 32421