相关论文: Agent-based Model Construction In Financial Econom…

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…

We present examples of agent-based and stochastic models of competition and business processes in economics and finance. We start from as simple as possible models, which have microscopic, agent-based, versions and macroscopic treatment in…

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 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…

Modelling and computational methods have been essential in advancing quantitative science, especially in the past two decades with the availability of vast amount of complex, voluminous, and heterogeneous data. In particular, there has been…

The advent of artificial intelligence has led to a growing emphasis on data-driven modeling in macroeconomics, with agent-based modeling (ABM) emerging as a prominent bottom-up simulation paradigm. In ABM, agents (e.g., households, firms)…

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…

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…

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.…

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…

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…

We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are…

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…

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,…

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 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…

Climate change is a major global challenge today. To assess how policies may lead to mitigation, economists have developed Integrated Assessment Models, however, most of the equilibrium based models have faced heavy critiques. Agent-based…

This review deals with several microscopic (``agent-based'') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch,…

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…

Many complex systems can be modeled as multiagent systems in which the constituent entities (agents) interact with each other. The global dynamics of such a system is determined by the nature of the local interactions among the agents.…