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 rea...

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Bibliografski detalji
Izdano u:MAGKS - Joint Discussion Paper Series in Economics (Band 28-2015)
Glavni autori: Mandes, Alexandru, Winker, Peter
Format: Članak
Jezik:engleski
Izdano: Philipps-Universität Marburg 2015
Teme:
model selection
complexity
Wirtschaft
Agent based modeling
Economics
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Opis
Sažetak: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.
Opis fizičkog objekta:38 Seiten
ISSN:1867-3678
Digitalni identifikator objekta:10.17192/es2024.0387

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