摘要翻译:
我们概述了经济学中一些有代表性的基于Agent的模型。我们讨论了为什么以及如何基于代理的模型代表了一个重要的步骤,以便解释金融市场的动力学和统计性质超越经典经济学理论。在本文的结论部分,我们讨论了一些尚未解决的问题和未来的展望,并强调了一些通常被忽视的主题的概念重要性,如金融市场的非平稳性和自组织。
---
英文标题:
《Critical Overview of Agent-Based Models for Economics》
---
作者:
M. Cristelli, L. Pietronero, A. Zaccaria
---
最新提交年份:
2011
---
分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Trading and Market Microstructure 交易与市场微观结构
分类描述:Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构,流动性,交易和拍卖设计,自动化交易,基于代理的建模和做市
--
一级分类:Physics 物理学
二级分类:Physics and Society 物理学与社会
分类描述:Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体(人类或其他)的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统(如能源网、运输网络)的物理和工程。
--
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
---
英文摘要:
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.
---
PDF链接:
https://arxiv.org/pdf/1101.1847