2011/01/10 by M. Cristelli, Matthieu Cristelli, L. Pietronero +5 · 6 citations
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Economic theories and models #Financial Risk and Volatility Modeling #physics.soc-ph #q-fin.ST #q-fin.TR
paper · pdf · doi:10.48550/arxiv.1101.1847
51 pages, 9 figures, Proceedings of the School of Physics "E. Fermi", course CLXXVI, 2010, Varenna
arxiv created 2011/01/10 · arxiv updated 2011/01/11
We present an overview of some representative Agent-Based Models in Economics. We discuss why and how agent-based models represent an important step in order to explain the dynamics and the statistical properties of financial markets beyond the Classical Theory of Economics. We perform a schematic analysis of several models with respect to some specific key categories such as agents' strategies, price evolution, number of agents, etc. In the conclusive part of this review we address some open questions and future perspectives and highlight the conceptual importance of some usually neglected topics, such as non-stationarity and the self-organization of financial markets.