Related papers: Stylized Facts and Agent-Based Modeling
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…
Simulation serves as a third way of doing science, in contrast to both induction and deduction. The web based modeling may considerably facilitate the execution of simulations by other people. We present examples of agent-based and…
We propose a set of conservative models in which agents exchange wealth with a preference in the choice of interacting agents in different ways. The common feature in all the models is that the temporary values of financial status of agents…
We have used agent-based modeling as our numerical method to artificially simulate a dynamic real economy where agents are rational maximizers of an objective function of Cobb-Douglas type. The economy is characterised by heterogeneous…
The design of agent-based models (ABMs) is often ad-hoc when it comes to defining their scope. In order for the inclusion of features such as network structure, location, or dynamic change to be justified, their role in a model should be…
We propose a novel approach to the statistical analysis of stochastic simulation models and, especially, agent-based models (ABMs). Our main goal is to provide fully automated, model-independent and tool-supported techniques and algorithms…
Economies and societal structures in general are complex stochastic systems which may not lend themselves well to algebraic analysis. An addition of subjective value criteria to the mechanics of interacting agents will further complicate…
This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a…
We introduce a simple agent-based model which allows us to analyze three stylized facts: a fat-tailed size distribution of companies, a `tent-shaped' growth rate distribution, the scaling relation of the growth rate variance with firm size,…
The premise of this working paper is based around agent-based simulation models and how to go about creating them from given incomplete information. Agent-based simulations are stochastic simulations that revolve around groups of agents…
Agent-based models have emerged as a promising paradigm for addressing ever increasing complexity of information systems. In its initial days in the 1990s when object-oriented modeling was at its peak, an agent was treated as a special kind…
Recent advances in large language models, tool-using agents, and financial machine learning are shifting financial automation from isolated prediction tasks to integrated decision systems that can perceive information, reason over…
We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the…
Agent-based models are a natural choice for modeling complex social systems. In such models simple stochastic interaction rules for a large population of individuals can lead to emergent dynamics on the macroscopic scale, for instance a…
We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling…
This chapter presents the main lines of agent based modeling in the field of medical research. The general diagram consists of a cohort of patients (virtual or real) whose evolution is observed by means of so-called evolution models.…
A formal but intuitive framework is introduced to bridge the gap between data obtained from empirical studies and that generated by agent-based models. This is based on three key tenets. Firstly, a simulation can be given multiple formal…
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show various stylized facts…
The history of research in finance and economics has been widely impacted by the field of Agent-based Computational Economics (ACE). While at the same time being popular among natural science researchers for its proximity to the successful…
Despite the extensive use of the agent technology in the Supply Chain Management field, its integration with Advanced Planning and Scheduling (APS) tools still represents a promising field with several open research questions. Specifically,…