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Agent-Based Modelling for Financial Markets

  • Iori, G.
  • Porter, J.

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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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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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  1. Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Post-Print hal-00727590, HAL.
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  3. Brenner, Thomas, 2006. "Agent Learning Representation: Advice on Modelling Economic Learning," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 18, pages 895-947 Elsevier.
  4. 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.
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  6. 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.
  7. 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.
  8. Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2004. "Minority Games: Interacting agents in financial markets," OUP Catalogue, Oxford University Press, number 9780198566403, July.
  9. Carl Chiarella & Giulia Iori, 2002. "A simulation analysis of the microstructure of double auction markets," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 346-353.
  10. 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 (IfW).
  11. Szabolcs Mike & J. Doyne Farmer, 2007. "An empirical behavioral model of liquidity and volatility," Papers 0709.0159, arXiv.org.
  12. 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.
  13. Alfarano, Simone & Milaković, Mishael, 2008. "Should Network Structure Matter in Agent-Based Finance?," Economics Working Papers 2008,04, Christian-Albrechts-University of Kiel, Department of Economics.
  14. Abhijit V. Banerjee, 1992. "A Simple Model of Herd Behavior," The Quarterly Journal of Economics, Oxford University Press, vol. 107(3), pages 797-817.
  15. Arthur, W Brian, 1994. "Inductive Reasoning and Bounded Rationality," American Economic Review, American Economic Association, vol. 84(2), pages 406-11, May.
  16. 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.
  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. 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.
  19. Marco Licalzi & Paolo Pellizzari, 2003. "Fundamentalists clashing over the book: a study of order-driven stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 470-480.
  20. Iori, G. & Tedeschi, G., 2010. "Herding effects in order driven markets: The rise and fall of gurus," Working Papers 10/05, Department of Economics, City University London.
  21. 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.
  22. 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.
  23. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  24. Mark Tuil & Louis Visscher, 2010. "Introduction," Chapters, in: New Trends in Financing Civil Litigation in Europe, chapter 1 Edward Elgar.
  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. 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.
  27. 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.
  28. M. Cristelli & L. Pietronero & A. Zaccaria, 2011. "Critical Overview of Agent-Based Models for Economics," Papers 1101.1847, arXiv.org.
  29. 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.
  30. Matteo Richiardi, 2007. "Should (and Could) We Ban Prescriptions?," LABORatorio R. Revelli Working Papers Series 70, LABORatorio R. Revelli, Centre for Employment Studies.
  31. 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).
  32. 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.
  33. Kartik Anand & Alan Kirman & Matteo Marsili, 2010. "Epidemics of rules, information aggregation failure and market crashes," Working Papers halshs-00545144, HAL.
  34. 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.
  35. N. Lesca, 2010. "Introduction," Post-Print halshs-00640602, HAL.
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