Journal article

Complexity and model comparison in agent based modeling of financial markets


Authors listMandes, A; Winker, P

Publication year2017

Pages469-506

JournalJournal of Economic Interaction and Coordination

Volume number12

Issue number3

ISSN1860-711X

eISSN1860-7128

DOI Linkhttps://doi.org/10.1007/s11403-016-0173-0

PublisherSpringer


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.



Authors/Editors




Citation Styles

Harvard Citation styleMandes, 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 styleMandes, 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


ComplexityModel Selection

Last updated on 2025-16-06 at 11:12