Simulation of Stylized Facts in Agent-Based Computational Economic Market Models
We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for Agent-Based Computational Economic Market Models) tool recently introduced by the authors (Trimborn et al. 2019). Furthermore, we present novel ABCEM models created by recombining existing models and study them with respect to stylized facts as well. This can be efficiently performed by the SABCEMM tool thanks to its object-oriented software design. The code is available on GitHub (Trimborn et al. 2018), such that all results can be reproduced by the reader.
Code (1)
Similar Papers 제목 키워드 기반
Stylized Facts and Agent-Based Modeling
The existence of stylized facts in financial data has been documented in many studies. In the past decade the modeling of financial markets by agent-based computational economic market models has become a frequently used…
A basic macroeconomic agent-based model for analyzing monetary regime shifts
In macroeconomics, an emerging discussion of alternative monetary systems addresses the dimensions of systemic risk in advanced financial systems. Monetary regime changes with the aim of achieving a more sustainable fina…
Reinforcement Learning in Agent-Based Market Simulation: Unveiling Realistic Stylized Facts and Behavior
Investors and regulators can greatly benefit from a realistic market simulator that enables them to anticipate the consequences of their decisions in real markets. However, traditional rule-based market simulators often …
Reinforcement Learning (RL)Models we Can Trust: Toward a Systematic Discipline of (Agent-Based) Model Interpretation and Validation
We advocate the development of a discipline of interacting with and extracting information from models, both mathematical (e.g. game-theoretic ones) and computational (e.g. agent-based models). We outline some directions…
A Multi-agent Market Model Can Explain the Impact of AI Traders in Financial Markets -- A New Microfoundations of GARCH model
The AI traders in financial markets have sparked significant interest in their effects on price formation mechanisms and market volatility, raising important questions for market stability and regulation. Despite this in…