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Critical Overview of Agent-Based Models for Economics

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  • M. Cristelli
  • L. Pietronero
  • A. Zaccaria
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    Abstract

    We 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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    File URL: http://arxiv.org/pdf/1101.1847
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1101.1847.

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    Date of creation: Jan 2011
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    Handle: RePEc:arx:papers:1101.1847

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    Web page: http://arxiv.org/

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    1. 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, vol. 32(1), pages 101-136, January.
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    Cited by:
    1. 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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