An Artificial Market for Brazilian Real Estate Investment Funds: An Agent-Based Proposal
This study addresses a critical gap in the literature by developing a computational model capable of capturing the full value chain of Brazilian Real Estate Investment Trusts (FIIs) and their interaction with macroeconomic dynamics, which has previously hindered effective policy analysis and mechanism design. The authors propose an agent-based artificial market that, for the first time, integrates within a unified framework the entire FII process—from property income generation and dividend distribution to trading of shares by heterogeneous investors via a double-auction order book. The model endogenously incorporates key macroeconomic variables such as the Selic interest rate and inflation, alongside behaviorally heterogeneous agents whose decisions are driven by financial literacy. It successfully replicates key stylized facts of the IFIX index, achieving over 75% coverage of calibrated moments and producing simulated trajectories statistically indistinguishable from empirical data in 96% of cases, while spontaneously generating power-law decay in absolute return autocorrelations and aggregate Gaussianity.