Maximilian Beikirch, Simon Cramer, Martin Frank, Philipp Otte, Emma Pabich, Torsten Trimborn
arXiv 27 Nov 2018 · General Economics · 1 citations (OpenAlex)
arXiv:1812.02726 · PDF · DOI · OpenAlex · Extracted main text
We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for Agent-Based Computational Economic Market Models) tool recently introduced by the authors (Trimborn et al. 2019). Furthermore, we present novel ABCEM models created by recombining existing models and study them with respect to stylized facts as well. This can be efficiently performed by the SABCEMM tool thanks to its object-oriented software design. The code is available on GitHub (Trimborn et al. 2018), such that all results can be reproduced by the reader.
appendix boundary found by appendix_command · 62% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Torsten Trimborn, Philipp Otte, Simon Cramer, Maximilian Beikirch, E… (2019) SABCEMM: A simulator for agent-based computational economic market models self | 1.000 | 9 | 4 | 100% |
| 2 | Rod Cross, Michael Grinfeld, Harbir Lamba, and Tim Seaman (2005) A threshold model of investor psychology | 0.928 | 5 | 3 | 80% |
| 3 | Moshe Levy, Haim Levy, and Sorin Solomon (1994) A microscopic model of the stock market: cycles, booms, and crashes | 0.843 | 4 | 3 | 75% |
| 4 | T. Trimborn, P. Otte, S. Cramer, M. Beikirch, E. Pabich, and M. Frank (2018) Simulator for agent based computational economic market models (SABCEMM) | 0.843 | 3 | 3 | 100% |
| 5 | Elmar Zschischang and Thomas Lux (2001) Some new results on the levy, levy and solomon microscopic stock market model | 0.811 | 4 | 2 | 100% |
| 6 | Reiner Franke and Frank Westerhoff (2011) Estimation of a structural stochastic volatility model of asset pricing | 0.737 | 5 | 2 | 60% |
| 7 | Moshe Levy, Haim Levy, and Sorin Solomon (1995) Microscopic simulation of the stock market: the effect of microscopic diversity | 0.737 | 4 | 2 | 75% |
| 8 | William A Brock and Cars H Hommes (1997) A rational route to randomness | 0.737 | 3 | 3 | 67% |
| 9 | Reiner Franke and Frank Westerhoff (2012) Structural stochastic volatility in asset pricing dynamics: Estimation and model contest | 0.737 | 3 | 2 | 100% |
| 10 | Moshe Levy, Nathan Persky, and Sorin Solomon (1996) The complex dynamics of a simple stock market model | 0.644 | 4 | 1 | 100% |
Showing the top 10 of 45 scored citations.