Agent-based models in financial market studies

Title
Agent-based models in financial market studies
Authors
김찬수L. WangK. AhnC. Ha
Issue Date
2018-07
Publisher
Journal of Physics: Conference Series
Citation
VOL 1039-012034
Abstract
In this manuscript, we summarize prior research on the agent-based modeling of financial markets. While extensive research related to agent-based modeling has been done in various economic disciplines, we focus mainly on the evolution of the models and their applications to financial markets. A large number of studies have adopted agent-based modeling methodologies to explain various empirical findings in financial markets. Our summary shows the benefits of using such modeling to account for various financial market phenomena. We confirm that small changes in initial parameter values can lead to relatively large fluctuations through the financial markets that can be viewed as complex or chaotic systems. This also means that financial markets become volatile due to small unexpected changes in the parameters of the models that describe the market.
URI
http://pubs.kist.re.kr/handle/201004/67869
ISSN
1742-6596
Appears in Collections:
KIST Publication > Article
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