Stylized Facts and Agent-Based Modeling

• Tác giả: Simon Cramer, Torsten Trimborn
• Ngôn ngữ: eng
• Ký hiệu phân loại: 001.43 Historical, descriptive, experimental methods
• Thông tin xuất bản: 2019
• Bộ sưu tập: Metadata
• ID: 163687

Tóm tắt

Comment: arXiv admin note: text overlap with arXiv:1812.02726The existence of stylized facts in financial data has been documented in many studies. In the past decade the modeling of financial markets by agent-based computational economic market models has become a frequently used modeling approach. The main purpose of these models is to replicate stylized facts and to identify sufficient conditions for their creations. In this paper we introduce the most prominent examples of stylized facts and especially present stylized facts of financial data. Furthermore, we given an introduction to agent-based modeling. Here, we not only provide an overview of this topic but introduce the idea of universal building blocks for agent-based economic market models.