Related papers: Agent-Based Modelling for Real-World Stock Markets…
This paper proposes a methodology to empirically validate an agent-based model (ABM) that generates artificial financial time series data comparable with real-world financial data. The approach is based on comparing the results of the ABM…
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…
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…
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…
Agent-Based Models (ABM) are computational scenario-generators, which can be used to predict the possible future outcomes of the complex system they represent. To better understand the robustness of these predictions, it is necessary to…
Agent-based modelling (ABM) is a widespread approach to simulate complex systems. Advancements in computational processing and storage have facilitated the adoption of ABMs across many fields; however, ABMs face challenges that limit their…
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 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…
Running agent-based models (ABMs) is a burdensome computational task, specially so when considering the flexibility ABMs intrinsically provide. This paper uses a bundle of model configuration parameters along with obtained results from a…
Simulations of artificial stock markets were considered as early as 1964 and multi-agent ones were introduced as early as 1989. Starting the early 90's, collaborations of economists and physicists produced increasingly realistic simulation…
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…
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…
Taking agent-based models (ABM) closer to the data is an open challenge. This paper explicitly tackles parameter space exploration and calibration of ABMs combining supervised machine-learning and intelligent sampling to build a surrogate…
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…
Nowadays, we are surrounded by a large number of complex phenomena ranging from rumor spreading, social norms formation to rise of new economic trends and disruption of traditional businesses. To deal with such phenomena,Complex Adaptive…
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…
The global economy is one of today's major challenges, with increasing relevance in recent decades. A frequent observation by policy makers is the lack of tools that help at least to understand, if not predict, economic crises. Currently,…
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…
Agent-based modeling (ABM) is a well-established paradigm for simulating complex systems via interactions between constituent entities. Machine learning (ML) refers to approaches whereby statistical algorithms 'learn' from data on their…