Simon Cramer, Torsten Trimborn
arXiv 2 Dec 2019 · Finance — General
arXiv:1912.02684 · PDF · DOI · OpenAlex · Extracted main text
The existence of stylized facts in financial data has been documented in many studies. In the past decade the modeling of financial markets by agent-based computational economic market models has become a frequently used modeling approach. The main purpose of these models is to replicate stylized facts and to identify sufficient conditions for their creations. In this paper we introduce the most prominent examples of stylized facts and especially present stylized facts of financial data. Furthermore, we given an introduction to agent-based modeling. Here, we not only provide an overview of this topic but introduce the idea of universal building blocks for agent-based economic market models.
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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 | Shu-Heng Chen, Chia-Ling Chang, and Ye-Rong Du (2012) Agent-based economic models and econometrics | 0.874 | 5 | 2 | 100% |
| 2 | Norman Ehrentreich (2007) Agent-based modeling: The Santa Fe Institute artificial stock market model revisited, volume 602 | 0.811 | 4 | 2 | 100% |
| 3 | J Doyne Farmer and Duncan Foley (2009) The economy needs agent-based modelling | 0.737 | 3 | 2 | 100% |
| 4 | Blake LeBaron (2006) Agent-based financial markets: Matching stylized facts with style | 0.737 | 3 | 2 | 100% |
| 5 | Thomas Lux (2008) Stochastic behavioral asset pricing models and the stylized facts | 0.737 | 3 | 2 | 100% |
| 6 | Rod Cross, Michael Grinfeld, Harbir Lamba, and Tim Seaman (2005) A threshold model of investor psychology | 0.693 | 6 | 1 | 100% |
| 7 | Cars H Hommes (2006) Heterogeneous agent models in economics and finance | 0.693 | 6 | 1 | 100% |
| 8 | Torsten Trimborn, Philipp Otte, Simon Cramer, Max Beikirch, Emma Pab… (2019) Sabcemm-a simulator for agent-based computational economic market models self | 0.644 | 4 | 1 | 100% |
| 9 | Avraham Beja and M Barry Goldman (1980) On the dynamic behavior of prices in disequilibrium | 0.585 | 3 | 1 | 100% |
| 10 | Carl Chiarella, Roberto Dieci, and Laura Gardini (2006) Asset price and wealth dynamics in a financial market with heterogeneous agents | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 78 scored citations.