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Simulation of Stylized Facts in Agent-Based Computational Economic Market Models

Maximilian Beikirch, Simon Cramer, Martin Frank, Philipp Otte, Emma Pabich and Torsten Trimborn

Papers from arXiv.org

Abstract: We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for Agent-Based Computational Economic Market Models) tool recently introduced by the authors (Trimborn et al. 2018a). The SABCEMM simulator is implemented in C++ and is well suited for large scale computations. Thanks to its object-oriented software design, the SABCEMM tool enables the creation of new models by plugging together novel and existing agent and market designs as easily as plugging together pieces of a puzzle. We present new ABCEM models created by recombining existing models and study them with respect to stylized facts as well. The code is available on GitHub (Trimborn et al. 2018b), such that all results can be reproduced by the reader.

New Economics Papers: this item is included in nep-cmp and nep-hme
Date: 2018-11
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