Advanced Search
MyIDEAS: Login

Agent-based Models of Financial Markets

Contents:

Author Info

  • E. Samanidou
  • E. Zschischang
  • D. Stauffer
  • T. Lux

Abstract

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://arxiv.org/pdf/physics/0701140
File Function: Latest version
Download Restriction: no

Bibliographic Info

Paper provided by arXiv.org in its series Papers with number physics/0701140.

as in new window
Length:
Date of creation: Jan 2007
Date of revision:
Handle: RePEc:arx:papers:physics/0701140

Contact details of provider:
Web page: http://arxiv.org/

Related research

Keywords:

References

References listed on IDEAS
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.:
as in new window
  1. 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.
  2. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Society for Computational Economics, vol. 26(1), pages 19-49, August.
  3. Alfarano, Simone & Lux, Thomas, 2005. "A noise trader model as a generator of apparent financial power laws and long memory," Economics Working Papers 2005,13, Christian-Albrechts-University of Kiel, Department of Economics.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Lindgren, Kristian & Verendel, Vilhelm, 2013. "Evolutionary Exploration of the Finitely Repeated Prisoners' Dilemma--The Effect of Out-of-Equilibrium Play," MPRA Paper 43662, University Library of Munich, Germany.
  2. Georges, Christophre, 2008. "Staggered updating in an artificial financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2809-2825, September.
  3. Yang, ChunXia & Hu, Sen & Xia, BingYing, 2012. "The endogenous dynamics of financial markets: Interaction and information dissemination," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3513-3525.
  4. Orrell, David & McSharry, Patrick, 2009. "System economics: Overcoming the pitfalls of forecasting models via a multidisciplinary approach," International Journal of Forecasting, Elsevier, vol. 25(4), pages 734-743, October.
  5. Lengnick, Matthias & Wohltmann, Hans-Werner, 2011. "Agent-based financial markets and New Keynesian macroeconomics: A synthesis," Economics Working Papers 2011,09, Christian-Albrechts-University of Kiel, Department of Economics.
  6. Angle, John, 2006. "Not a Hollowing Out, a Stretching: Trends in U.S. Nonmetro Wage Income Distribution, 1961-2003," MPRA Paper 10111, University Library of Munich, Germany, revised 18 Aug 2008.
  7. Kristian Lindgren & Vilhelm Verendel, 2013. "Evolutionary Exploration of the Finitely Repeated Prisoners’ Dilemma—The Effect of Out-of-Equilibrium Play," Games, MDPI, Open Access Journal, vol. 4(1), pages 1-20, January.
  8. A. O. Glekin & A. Lykov & K. L. Vaninsky, 2014. "On Simulation of Various Effects in Consolidated Order Book," Papers 1402.4150, arXiv.org.
  9. Samuel E. Vazquez, 2009. "Scale Invariance, Bounded Rationality and Non-Equilibrium Economics," Papers 0902.3840, arXiv.org.
  10. Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Stable mixture GARCH models," Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
  11. Aleksejus Kononovicius & Valentas Daniunas, 2013. "Agent-based and macroscopic modeling of the complex socio-economic systems," Papers 1303.3693, arXiv.org, revised Apr 2013.
  12. Krause, Sebastian M. & Bornholdt, Stefan, 2013. "Spin models as microfoundation of macroscopic market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4048-4054.
  13. Zoltan Kuscsik & Denis Horvath, 2007. "Statistical properties of agent-based market area model," Papers 0710.0459, arXiv.org.
  14. Aoki, Masanao & Hawkins, Raymond J., 2010. "Non-self-averaging and the statistical mechanics of endogenous macroeconomic fluctuations," Economic Modelling, Elsevier, vol. 27(6), pages 1543-1546, November.
  15. Schinckus, C., 2013. "Between complexity of modelling and modelling of complexity: An essay on econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3654-3665.
  16. Mimkes, Jürgen, 2010. "Stokes integral of economic growth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1665-1676.
  17. Victor M. Yakovenko & J. Barkley Rosser, 2009. "Colloquium: Statistical mechanics of money, wealth, and income," Papers 0905.1518, arXiv.org, revised Dec 2009.
  18. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics: agent-based models," Post-Print hal-00621059, HAL.
  19. Chen, Shu-Heng, 2012. "Varieties of agents in agent-based computational economics: A historical and an interdisciplinary perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 1-25.
  20. Materassi, Donatello & Innocenti, Giacomo, 2009. "Unveiling the connectivity structure of financial networks via high-frequency analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3866-3878.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:arx:papers:physics/0701140. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.