Related papers: An Agent-Based Model With Realistic Financial Time…
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 existence of stylized facts in financial data has been documented in many studies. In the past decade the modeling of financial markets by agent-based computational economic market models has become a frequently used modeling approach.…
Agent-based models, particularly those applied to financial markets, demonstrate the ability to produce realistic, simulated system dynamics, comparable to those observed in empirical investigations. Despite this, they remain fairly…
Interest in agent-based models of financial markets and the wider economy has increased consistently over the last few decades, in no small part due to their ability to reproduce a number of empirically-observed stylised facts that are not…
We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for Agent-Based Computational Economic Market…
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…
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…
Agent Based Modelling (ABM) is a computational framework for simulating the behaviours and interactions of autonomous agents. As Agent Based Models are usually representative of complex systems, obtaining a likelihood function of the model…
Agent-based modeling (ABM) has emerged as a powerful tool in social policy-making and socio-economics, offering a flexible and dynamic approach to understanding and simulating complex systems. While traditional analytic methods may be less…
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…
Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from…
We present an agent based model of a single asset financial market that is capable of replicating several non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. While previous…
Agent-based models (ABMs) simulate the formation and evolution of social processes at a fundamental level by decoupling agent behavior from global observations. In the case where ABM networks evolve over time as a result of (or in…
The paper proposes a computational adaptation of the principles underlying principal component analysis with agent based simulation in order to produce a novel modeling methodology for financial time series and financial markets. Goal of…
Agent-based models (ABMs) highlight the importance of simulation validation, such as qualitative face validation and quantitative empirical validation. In particular, we focused on quantitative validation by adjusting simulation input…
We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main…
We present our Agent-Based Market Microstructure Simulation (ABMMS), an Agent-Based Financial Market (ABFM) that captures much of the complexity present in the US National Market System for equities (NMS). Agent-Based models are a natural…
An agent-based model (ABM) is a computational model in which the local interactions of autonomous agents with each other and with their environment give rise to global properties within a given domain. As the detail and complexity of these…
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provide realistic simulated price impact curves. This is possible…
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…