Agent-based Models of Financial Markets

Details Agent-based Models of Financial Markets Agent-based Models of Financial Markets

2007-01-11

arxiv.org/abs/physics/0701140v1

Physics

Physics and Society

Long review. Accepted by Reports on Progress in Physics

Scientific paper

10.1088/0034-4885/70/3/R03

This review deals with several microscopic (``agent-based'') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective in terms of the universal statistical features of financial time series.

Affiliated with

Also associated with

No associations

Rating

Agent-based Models of Financial Markets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Agent-based Models of Financial Markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Agent-based Models of Financial Markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-643170