Agent-based financial markets: A review of the methodology and domain

Andrew Todd, Peter Beling, William Scherer, Steve Y. Yang

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

An agent-based model is a computer simulation driven by the individual decisions of programmed agents. Such models provide a promising alternative to traditional economic modeling in that they can fully capture the diversity of agents and the institutional detail of the underlying an economic system. In this paper, we provide a brief methodological review of the agent-based approach to modeling financial markets. We review the research strategy, which is organized into a discussion of formulation, implementation, verification and validation. We conclude the paper with a review of the domain focusing on modeling market participants and market institutions.

Original languageEnglish
Title of host publication2016 IEEE Symposium Series on Computational Intelligence, SSCI 2016
PublisherInstitute of Electrical and Electronics Engineers Inc.
ISBN (Electronic)9781509042401
DOIs
StatePublished - Feb 9 2017
Event2016 IEEE Symposium Series on Computational Intelligence, SSCI 2016 - Athens, Greece
Duration: Dec 6 2016Dec 9 2016

Publication series

Name2016 IEEE Symposium Series on Computational Intelligence, SSCI 2016

Conference

Conference2016 IEEE Symposium Series on Computational Intelligence, SSCI 2016
Country/TerritoryGreece
CityAthens
Period12/6/1612/9/16

ASJC Scopus subject areas

  • Computer Networks and Communications
  • Information Systems and Management
  • Control and Optimization
  • Artificial Intelligence

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