Critical Overview of Agent-Based Models for Economics
AbstractWe present an overview of some representative Agent-Based Models in Economics. We discuss why and how agent-based models represent an important step in order to explain the dynamics and the statistical properties of financial markets beyond the Classical Theory of Economics. We perform a schematic analysis of several models with respect to some specific key categories such as agents' strategies, price evolution, number of agents, etc. In the conclusive part of this review we address some open questions and future perspectives and highlight the conceptual importance of some usually neglected topics, such as non-stationarity and the self-organization of financial markets.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1101.1847.
Date of creation: Jan 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-23 (All new papers)
- NEP-CBA-2011-01-23 (Central Banking)
- NEP-CBE-2011-01-23 (Cognitive & Behavioural Economics)
- NEP-CMP-2011-01-23 (Computational Economics)
- NEP-EVO-2011-01-23 (Evolutionary Economics)
- NEP-HPE-2011-01-23 (History & Philosophy of Economics)
- NEP-MIC-2011-01-23 (Microeconomics)
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- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006.
"Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach,"
Economics Working Papers
2006,16, Christian-Albrechts-University of Kiel, Department of Economics.
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- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2005. "Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Economics Working Papers 2005,14, Christian-Albrechts-University of Kiel, Department of Economics.
- Friedrich Wagner & Thomas Lux & Simone Alfarano, 2005. "Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach," Working Papers wp05-02, Warwick Business School, Financial Econometrics Research Centre.
- Iori, G. & Porter, J., 2012. "Agent-Based Modelling for Financial Markets," Working Papers 12/08, Department of Economics, City University London.
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