Complexity and Model Comparison in Agent Based Modeling of Financial Markets

Alexandru Mandes () and Peter Winker
Additional contact information
Alexandru Mandes: University of Giessen

MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

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.

Keywords: Agent based modeling; model selection; complexity (search for similar items in EconPapers)
JEL-codes: C18 C58 C63 G17 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2015
New Economics Papers: this item is included in nep-cmp and nep-hme
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Forthcoming in

Downloads: (external link)
http://www.uni-marburg.de/fb02/makro/forschung/mag ... 5/28-2015_mandes.pdf First 201528 (application/pdf)

Related works:
Journal Article: Complexity and model comparison in agent based modeling of financial markets (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201528

Access Statistics for this paper

More papers in MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) Contact information at EDIRC.
Bibliographic data for series maintained by Bernd Hayo ().