Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/121316
Authors: 
Mandes, Alexandru
Winker, Peter
Year of Publication: 
2015
Series/Report no.: 
Joint Discussion Paper Series in Economics 28-2015
Abstract: 
Agent based models of financial markets follow different approaches and might be categorized according to major building blocks used. Such building blocks include agent design, agent evolution, and the price finding mechanism. The performance of agent based models in matching key features of real market processes depends on how these building blocks are selected and combined. For model comparison, both, measures of model fit and model complexity are required. Some suggestions are made on how to measure complexity of agent based models. An application for the foreign exchange market illustrates the potential of this approach.
Subjects: 
agent based modeling
model selection
complexity
JEL: 
C63
C18
C58
G17
Document Type: 
Working Paper

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