EconPapers    
Economics at your fingertips  
 

New approaches in agent-based modeling of complex financial systems

T. T. Chen, B. Zheng, Y. Li and X. F. Jiang

Papers from arXiv.org

Abstract: Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from empirical data instead of setting them artificially was suggested. We first review several agent-based models and the new approaches to determine the key model parameters from historical market data. Based on the agents' behaviors with heterogenous personal preferences and interactions, these models are successful to explain the microscopic origination of the temporal and spatial correlations of the financial markets. We then present a novel paradigm combining the big-data analysis with the agent-based modeling. Specifically, from internet query and stock market data, we extract the information driving forces, and develop an agent-based model to simulate the dynamic behaviors of the complex financial systems.

New Economics Papers: this item is included in nep-cmp and nep-hme
Date: 2017-03
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Published in Front. Phys. 12(3), 128905 (2017)

Downloads: (external link)
http://arxiv.org/pdf/1703.06840 Latest version (application/pdf)

Related works:
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:arx:papers:1703.06840

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2018-07-07
Handle: RePEc:arx:papers:1703.06840