Related papers: Stylized Facts and Agent-Based Modeling
We advocate the development of a discipline of interacting with and extracting information from models, both mathematical (e.g. game-theoretic ones) and computational (e.g. agent-based models). We outline some directions for the development…
An agent-based model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize…
The past analyses of datasets of social networks have enabled us to make empirical findings of a number of aspects of human society, which are commonly featured as stylized facts of social networks, such as broad distributions of network…
We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if they detect predictable patterns which…
The reproduction of realistic dynamics in financial markets is of great significance, as it enhances our understanding of market evolution beyond other physical processes, and facilitates the development and backtesting of investment…
The paper provides an introduction to agent-based modelling and simulation of social processes. Reader is introduced to the worldview underlying agent-based models, some basic terminology, basic properties of agent-based models, as well as…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
We present a detailed analysis of the self-organization phenomenon in which the stylized facts originate from finite size effects with respect to the number of agents considered and disappear in the limit of an infinite population. By…
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…
The analysis of financial markets using models inspired by statistical physics offers a fruitful approach to understand collective and extreme phenomena [3, 14, 15] In this paper, we present a study based on a 2D Ising network model where…
Advances in computing power and data availability have led to growing sophistication in mechanistic mathematical models of social dynamics. Increasingly these models are used to inform real-world policy decision-making, often with…
In the past decade there has been a growing interest in agent-based econophysical financial market models. The goal of these models is to gain further insights into stylized facts of financial data. We derive the mean field limit of the…
In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to synthesize empirical studies of financial price changes (returns), resulting in 11 statistical properties common to a large set of assets and markets. These…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
Economic agent-based models (ABMs) are becoming more and more data-driven, establishing themselves as increasingly valuable tools for economic research and policymaking. We propose to classify the extent to which an ABM is data-driven based…
In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…
Agent-based modelling and simulation offers a new and exciting way of understanding the world of work. In this paper we describe the development of an agent-based simulation model, designed to help to understand the relationship between…
Agent-based modeling is a computational dynamic modeling technique that may be less familiar to some readers. Agent-based modeling seeks to understand the behaviour of complex systems by situating agents in an environment and studying the…
The three-state agent-based 2D model of financial markets as proposed by Giulia Iori has been extended by introducing increasing trust in the correctly predicting agents, a more realistic consultation procedure as well as a formal…
This article aims at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since its name was coined in 1995 by merging the words Economics and Physics, this new interdisciplinary field has…