J Econ Interact Coord (2017) 12:469–506
Complexity and model comparison in agent based
modeling of ﬁnancial markets
· Peter Winker
Received: 17 August 2015 / Accepted: 12 February 2016 / Published online: 4 March 2016
© Springer-Verlag Berlin Heidelberg 2016
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 per-
formance of agent based models in matching key features of real market processes
depends on how these building blocks are selected and combined. For model compari-
son, 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.
Keywords Agent based modeling · Complexity · Model selection
JEL Classiﬁcation C63 · C18 · C58 · G17
We are indebted to Manfred Gilli, to the participants of the Second Meeting of the German Network for
New Economic Dynamics (GENED) at the Technical University Darmstadt, 29th–30th September 2014,
as well as to two anonymous reviewers for their valuable comments on preliminary versions of this paper.
Alexandru Mandes would also like to thank Deutscher Akademischer Austauschdienst (DAAD) for the
awarded Ph.D. scholarship.
University of Giessen, Licher Str. 64, 35394 Giessen, Germany