Complexity and model comparison in agent based modeling of financial markets

Complexity and model comparison in agent based modeling of financial markets Agent based models of financial markets follow different approaches and might be categorized according to major building blocks used. Such building blocks include agent design, agent evolution and the price finding mechanism. The performance of agent based models in matching key features of real market processes depends on how these building blocks are selected and combined. For model comparison, both measures of model fit and model complexity are required. Some suggestions are made on how to measure complexity of agent based models. An application for the foreign exchange market illustrates the potential of this approach. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Economic Interaction and Coordination Springer Journals

Complexity and model comparison in agent based modeling of financial markets

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Publisher
Springer Berlin Heidelberg
Copyright
Copyright © 2016 by Springer-Verlag Berlin Heidelberg
Subject
Economics; Economic Theory/Quantitative Economics/Mathematical Methods; Computer Appl. in Social and Behavioral Sciences; Theoretical, Mathematical and Computational Physics; Finance, general
ISSN
1860-711X
eISSN
1860-7128
D.O.I.
10.1007/s11403-016-0173-0
Publisher site
See Article on Publisher Site

Abstract

Agent based models of financial markets follow different approaches and might be categorized according to major building blocks used. Such building blocks include agent design, agent evolution and the price finding mechanism. The performance of agent based models in matching key features of real market processes depends on how these building blocks are selected and combined. For model comparison, both measures of model fit and model complexity are required. Some suggestions are made on how to measure complexity of agent based models. An application for the foreign exchange market illustrates the potential of this approach.

Journal

Journal of Economic Interaction and CoordinationSpringer Journals

Published: Mar 4, 2016

References

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