Agent-based models in financial market studies

L Wang, Kwangwon Ahn, C Kim, C Ha

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

In this manuscript, we summarize prior research on the agent-based modeling of financial markets. While extensive research related to agent-based modeling has been done in various economic disciplines, we focus mainly on the evolution of the models and their applications to financial markets. A large number of studies have adopted agent-based modeling methodologies to explain various empirical findings in financial markets. Our summary shows the benefits of using such modeling to account for various financial market phenomena. We confirm that small changes in initial parameter values can lead to relatively large fluctuations through the financial markets that can be viewed as complex or chaotic systems. This also means that financial markets become volatile due to small unexpected changes in the parameters of the models that describe the market.
Original languageEnglish
JournalJournal of Physics: Conference Series
Volume1039
Issue number1
Publication statusPublished - 2018

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complex systems
economics
methodology

Cite this

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title = "Agent-based models in financial market studies",
abstract = "In this manuscript, we summarize prior research on the agent-based modeling of financial markets. While extensive research related to agent-based modeling has been done in various economic disciplines, we focus mainly on the evolution of the models and their applications to financial markets. A large number of studies have adopted agent-based modeling methodologies to explain various empirical findings in financial markets. Our summary shows the benefits of using such modeling to account for various financial market phenomena. We confirm that small changes in initial parameter values can lead to relatively large fluctuations through the financial markets that can be viewed as complex or chaotic systems. This also means that financial markets become volatile due to small unexpected changes in the parameters of the models that describe the market.",
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Agent-based models in financial market studies. / Wang, L; Ahn, Kwangwon; Kim, C; Ha, C.

In: Journal of Physics: Conference Series, Vol. 1039, No. 1, 2018.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Agent-based models in financial market studies

AU - Wang, L

AU - Ahn, Kwangwon

AU - Kim, C

AU - Ha, C

PY - 2018

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N2 - In this manuscript, we summarize prior research on the agent-based modeling of financial markets. While extensive research related to agent-based modeling has been done in various economic disciplines, we focus mainly on the evolution of the models and their applications to financial markets. A large number of studies have adopted agent-based modeling methodologies to explain various empirical findings in financial markets. Our summary shows the benefits of using such modeling to account for various financial market phenomena. We confirm that small changes in initial parameter values can lead to relatively large fluctuations through the financial markets that can be viewed as complex or chaotic systems. This also means that financial markets become volatile due to small unexpected changes in the parameters of the models that describe the market.

AB - In this manuscript, we summarize prior research on the agent-based modeling of financial markets. While extensive research related to agent-based modeling has been done in various economic disciplines, we focus mainly on the evolution of the models and their applications to financial markets. A large number of studies have adopted agent-based modeling methodologies to explain various empirical findings in financial markets. Our summary shows the benefits of using such modeling to account for various financial market phenomena. We confirm that small changes in initial parameter values can lead to relatively large fluctuations through the financial markets that can be viewed as complex or chaotic systems. This also means that financial markets become volatile due to small unexpected changes in the parameters of the models that describe the market.

M3 - Article

VL - 1039

JO - Journal of Physics: Conference Series

JF - Journal of Physics: Conference Series

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ER -