Agent-Based Simulation in Finance: Design Choices

Conference Paper

• Publication Work Type: Conference Paper
• Publication Online URL: ACRN Oxford Publishing House
• Tags: Efficient markets, behavioral finance, market microstructure, Agent-based markets, Agent-based simul
• Conference Name: 14th FRAP Finance, Risk and Accounting conference.
• Conference Location: Oxford, United Kingdom.
• Conference Date: Sunday, October 19, 2014
• Sponsoring Organization: ACRN Oxford Publishing House

Publication Abstract

To understand the behavior of financial markets, and predict possible financial crises, we have to analyze market microstructure. Agent-based simulation is one of the most successful innovations in modeling complex behavior. The availability of computing power and access to financial market data has opened up new avenues for scientific research. While classical financial approaches fail to explain some existing phenomena, agent-based simulations offer a potential approach for understanding the behavior of financial markets. The paper briefly outlines the scope and agenda of agent-based financial simulation research. In particular, this paper outlines the design choices need to be made in building agent-based market.