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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Simone Alfarano & Thomas Lux & Friedrich Wagner, 2006.
"Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach,"
Working Papers, Warwick Business School, Finance Group
wpn06-01, Warwick Business School, Finance Group.
- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2008. "Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(1), pages 101-136, January.
- 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.
- Friedrich Wagner & Thomas Lux & Simone Alfarano, 2005. "Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach," Working Papers, Warwick Business School, Finance Group wp05-02, Warwick Business School, Finance Group.
- 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.
- Iori, G. & Porter, J., 2012. "Agent-Based Modelling for Financial Markets," Working Papers, Department of Economics, City University London 12/08, Department of Economics, City University London.
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