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Agent-Based Modelling for Financial Markets

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  • Iori, G.
  • Porter, J.

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Bibliographic Info

Paper provided by Department of Economics, City University London in its series Working Papers with number 12/08.

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Date of creation: 2012
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Handle: RePEc:cty:dpaper:12/08

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Postal: Department of Economics, Social Sciences Building, City University London, Whiskin Street, London, EC1R 0JD, United Kingdom,
Phone: +44 (0)20 7040 8500
Web page: http://www.city.ac.uk
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References

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  3. Thomas Brenner, 2004. "Agent Learning Representation - Advice in Modelling Economic Learning," Papers on Economics and Evolution 2004-16, Max Planck Institute of Economics, Evolutionary Economics Group.
  4. Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2000. "Modeling market mechanism with minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(1), pages 284-315.
  5. Potters, Marc & Bouchaud, Jean-Philippe, 2003. "More statistical properties of order books and price impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 133-140.
  6. Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Working Papers 190, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  7. Cincotti, Silvano & Raberto, Marco & Teglio, Andrea, 2010. "Credit money and macroeconomic instability in the agent-based model and simulator Eurace," Economics Discussion Papers 2010-4, Kiel Institute for the World Economy.
  8. Michael Milakovic & Simone Alfarano, 2007. "Should Network Structure Matter in Agent-Based Finance?," Working Papers wp07-02, Warwick Business School, Finance Group.
  9. Kartik Anand & Alan Kirman & Matteo Marsili, 2010. "Epidemics of rules, information aggregation failure and market crashes," Working Papers halshs-00545144, HAL.
  10. 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.
  11. Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2013. "Minority Games: Interacting agents in financial markets," OUP Catalogue, Oxford University Press, number 9780199686698.
  12. Carlo Bianchi & Pasquale Cirillo & Mauro Gallegati & Pietro Vagliasindi, 2007. "Validating and Calibrating Agent-Based Models: A Case Study," Computational Economics, Society for Computational Economics, vol. 30(3), pages 245-264, October.
  13. M. Cristelli & L. Pietronero & A. Zaccaria, 2011. "Critical Overview of Agent-Based Models for Economics," Papers 1101.1847, arXiv.org.
  14. Marco LiCalzi & Paolo Pellizzari, 2002. "Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets," Computational Economics 0207001, EconWPA, revised 04 Mar 2003.
  15. Christophe Deissenberg & Sander Van Der Hoog & Herbert Dawid, 2008. "EURACE: A Massively Parallel Agent-Based Model of the European Economy," Working Papers halshs-00339756, HAL.
  16. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 817-831, April.
  17. Vriend, Nicolaas J., 2000. "An illustration of the essential difference between individual and social learning, and its consequences for computational analyses," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 1-19, January.
  18. Giorgio Fagiolo & Alessio Moneta & Paul Windrum, 2007. "A Critical Guide to Empirical Validation of Agent-Based Models in Economics: Methodologies, Procedures, and Open Problems," Computational Economics, Society for Computational Economics, vol. 30(3), pages 195-226, October.
  19. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  20. Tedeschi, Gabriele & Iori, Giulia & Gallegati, Mauro, 2012. "Herding effects in order driven markets: The rise and fall of gurus," Journal of Economic Behavior & Organization, Elsevier, vol. 81(1), pages 82-96.
  21. Herbert Dawid & Michael Neugart, 2011. "Agent-based Models for Economic Policy Design," Eastern Economic Journal, Palgrave Macmillan, vol. 37(1), pages 44-50.
  22. Crato, Nuno & de Lima, Pedro J. F., 1994. "Long-range dependence in the conditional variance of stock returns," Economics Letters, Elsevier, vol. 45(3), pages 281-285.
  23. Mike, Szabolcs & Farmer, J. Doyne, 2008. "An empirical behavioral model of liquidity and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 200-234, January.
  24. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
  25. Gatti, Domenico Delli & Guilmi, Corrado Di & Gaffeo, Edoardo & Giulioni, Gianfranco & Gallegati, Mauro & Palestrini, Antonio, 2005. "A new approach to business fluctuations: heterogeneous interacting agents, scaling laws and financial fragility," Journal of Economic Behavior & Organization, Elsevier, vol. 56(4), pages 489-512, April.
  26. John Duffy & M. Ünver, 2006. "Asset price bubbles and crashes with near-zero-intelligence traders," Economic Theory, Springer, vol. 27(3), pages 537-563, 04.
  27. Gsell, Markus, 2008. "Assessing the impact of algorithmic trading on markets: A simulation approach," CFS Working Paper Series 2008/49, Center for Financial Studies (CFS).
  28. J. Doyne Farmer & Paolo Patelli & Ilija I. Zovko, 2003. "The Predictive Power of Zero Intelligence in Financial Markets," Papers cond-mat/0309233, arXiv.org, revised Feb 2004.
  29. Gilli, M. & Winker, P., 2003. "A global optimization heuristic for estimating agent based models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 299-312, March.
  30. Marc Potters & Jean-Philippe Bouchaud, 2002. "More statistical properties of order books and price impact," Science & Finance (CFM) working paper archive 0210710, Science & Finance, Capital Fund Management.
  31. Arthur, W Brian, 1994. "Inductive Reasoning and Bounded Rationality," American Economic Review, American Economic Association, vol. 84(2), pages 406-11, May.
  32. Kirman, Alan, 1993. "Ants, Rationality, and Recruitment," The Quarterly Journal of Economics, MIT Press, vol. 108(1), pages 137-56, February.
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