Complexity and Model Comparison in Agent Based Modeling of Financial Markets
Loading...
Date
Authors
Publisher
Abstract
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.
Metadata
License
This item has been published with the following license: In Copyright