Agent-based models of financial markets (2007)
| Venue: | Reports on Progress in Physics 70 |
| Citations: | 4 - 0 self |
BibTeX
@INPROCEEDINGS{Samanidou07agent-basedmodels,
author = {E. Samanidou and E. Zschischang and D. Stauffer and T. Lux and Deutsche Bundesbank and Referent Bankgeschäftliche Prüfungen and Berliner Allee and D- Düsseldorf},
title = {Agent-based models of financial markets},
booktitle = {Reports on Progress in Physics 70},
year = {2007},
pages = {409--450}
}
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Abstract
This review deals with several microscopic (“agent-based”) models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors ’ interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical
