Heat baths and computational agent-based models
In this paper, we examine an agent-based model, and an equation-based model in the form of a mean field model. We show how the mean field model is a small, fast model that identifies the high level properties of a subject, in this case financial time series’ stylized facts. The agent based model generates the granularity needed to understand the conditions and factors that generate the stylized financial facts. We conclude with the recommendation that both models be used in sequence so a complete description of a process be established or approximated.
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Volume (Year): 391 (2012)
Issue (Month): 22 ()
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- Brock, William A. & Hommes, Cars H., 1998.
"Heterogeneous beliefs and routes to chaos in a simple asset pricing model,"
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- Xue-Zhong He & Carl Chiarella, 1999. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model," Computing in Economics and Finance 1999 223, Society for Computational Economics.
- Carl Chiarella & Xue-Zhong He, 1999. "Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model," Research Paper Series 18, Quantitative Finance Research Centre, University of Technology, Sydney.
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