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ИД «Финансы и кредит»






Finance and Credit

A study into distinctions of the financial market behavior through agent-based model

Vol. 25, Iss. 8, AUGUST 2019

Received: 26 June 2019

Received in revised form: 15 July 2019

Accepted: 29 July 2019

Available online: 30 August 2019

Subject Heading: Securities market

JEL Classification: C58, E44, G10

Pages: 1869–1888


Ulyaev L.R. Lomonosov Moscow State University (MSU), Moscow, Russian Federation


Subject The article discusses agent-based modeling of the financial market behavior. I scrutinize whether discrete heterogeneous agent-based models can reproduce empirical qualities of real financial time series and their capabilities for explaining crisis phenomena.
Objectives The research reviews the development of agent-based models of financial markets, analyzes discrete heterogeneous agent-based models, compare them and identify challenging aspects arising from the construction of the models.
Methods The research overviews the existing literature on agent-based models of financial market, represents a comparative analysis and abstraction-logic method.
Results Agent-based models were conditionally classified into three types, i.e. artificial markets, computer simulation, heterogeneous agent-based models. The article focuses on issues arising from agent-based models, poses some questions and outlines the future of agent-based modeling of financial market.
Conclusions and Relevance The first two types of models attempt to give a full view of the financial market characteristics and mechanisms. This complicates the models and makes them less foreseeable. As part of the third model, some mechanisms of the financial market are studied through simple models, which help model different internal processes that take place in financial relationships.

Keywords: artificial financial market, computer simulation, heterogeneous agent-based model


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