Agent-Based Simulation in Finance: Design Choices

Conference Paper

• نوع عمل المنشور: Conference Paper
• رابط المنشور على الويب: ACRN Oxford Publishing House
• الوسوم: Efficient markets, behavioral finance, market microstructure, Agent-based markets, Agent-based simul
• اسم المؤتمر: 14th FRAP Finance, Risk and Accounting conference.
• عنوان المؤتمر: Oxford, United Kingdom.
• تاريخ المؤتمر: الأحد, تشرين اﻷول (أكتوبر) 19, 2014
• المنظمة الراعية: ACRN Oxford Publishing House

مستخلص المنشور

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.