英文标题：
《Can Agent-Based Models Probe Market Microstructure?》
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作者：
Donovan Platt, Tim Gebbie
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最新提交年份：
2017
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英文摘要：
  We extend prior evidence that naively using intraday agent-based models that involve realistic order-matching processes for modeling continuous-time double auction markets seems to fail to be able to provide a robust link between data and many model parameters, even when these models are able to reproduce a number of well-known stylized facts of return time series. We demonstrate that while the parameters of intraday agent-based models rooted in market microstructure can be meaningfully calibrated, those exclusively related to agent behaviors and incentives remain problematic. This could simply be a failure of the calibration techniques used but we argue that the observed parameter degeneracies are most likely a consequence of the realistic matching processes employed in these models. This suggests that alternative approaches to linking data, phenomenology and market structure may be necessary and that it is conceivable that one could construct a useful model that does not directly depend on the nuances of agent behaviors, even when it is known that the real agents engage in complex behaviors.
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中文摘要：
我们扩展了先前的证据，即天真地使用包含真实订单匹配过程的日内基于代理的模型来建模连续时间双重拍卖市场，似乎无法在数据和许多模型参数之间提供可靠的联系，即使这些模型能够再现返回时间序列的一些众所周知的程式化事实。我们证明，虽然植根于市场微观结构的基于代理的日内模型的参数可以进行有意义的校准，但那些仅与代理行为和激励相关的参数仍然存在问题。这可能只是所用校准技术的失败，但我们认为，观测到的参数退化很可能是这些模型中采用的实际匹配过程的结果。这表明，连接数据、现象学和市场结构的替代方法可能是必要的，并且可以想象，可以构建一个有用的模型，该模型不直接依赖于代理行为的细微差别，即使已知真实代理参与复杂行为。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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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
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