Complexity and model comparison in agent based modeling of financial markets

Alexandru Mandes () and Peter Winker
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Alexandru Mandes: University of Giessen

Journal of Economic Interaction and Coordination, 2017, vol. 12, issue 3, No 2, 469-506

Abstract: 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; Complexity; Model selection (search for similar items in EconPapers)
JEL-codes: C18 C58 C63 G17 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (17)

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Working Paper: Complexity and Model Comparison in Agent Based Modeling of Financial Markets (2015)
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DOI: 10.1007/s11403-016-0173-0

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