Journal article
Authors list: Mandes, A; Winker, P
Publication year: 2017
Pages: 469-506
Journal: Journal of Economic Interaction and Coordination
Volume number: 12
Issue number: 3
ISSN: 1860-711X
eISSN: 1860-7128
DOI Link: https://doi.org/10.1007/s11403-016-0173-0
Publisher: Springer
Abstract:
Agent based models of financial markets follow different approaches and might be categorized according to major building blocks used. Such building blocks include agent design, agent evolution and the price finding mechanism. The performance of agent based models in matching key features of real market processes depends on how these building blocks are selected and combined. For model comparison, both measures of model fit and model complexity are required. Some suggestions are made on how to measure complexity of agent based models. An application for the foreign exchange market illustrates the potential of this approach.
Citation Styles
Harvard Citation style: Mandes, A. and Winker, P. (2017) Complexity and model comparison in agent based modeling of financial markets, Journal of Economic Interaction and Coordination, 12(3), pp. 469-506. https://doi.org/10.1007/s11403-016-0173-0
APA Citation style: Mandes, A., & Winker, P. (2017). Complexity and model comparison in agent based modeling of financial markets. Journal of Economic Interaction and Coordination. 12(3), 469-506. https://doi.org/10.1007/s11403-016-0173-0
Keywords
Complexity; Model Selection