Agent-based computational finance : Suggested readings and early research

By Blake LeBaron. 2000

584 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6c4dea6d6b77ab727f5c0b391996aa1d0c5b5d65

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Citations in the corpus

The price dynamics of common trading strategies (2000, background): “Some examples include Brock and LeBaron (1996), Levy et al. (1996), Takayasu et al. (1997), Art al.”
Agent-Based Modeling in Marketing: Guidelines for Rigor (2011, background): “Agent-based modeling (ABM) is a tool that can help researchers understand and analyze these complex patterns (Epstein & Axtell, 1996; Gilbert & Troitzsch, 2005; Holland, 1995; LeBaron, 2000; Miller & Page, 2007).”
A robust rational route to randomness in a simple asset pricing model (2005, unknown): “See e.g. LeBaron (2000) for a good recent survey of the literature.”
Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd, Elsevier, Amsterdam 2006, pp.1109-1186 (2005, unknown): “(1 + r)xt = μ0 + μ1xt−1 + μ2xt−2 + μ3xt−3 (120) +η(xt−1 −Rxt−2 + aσ(2)z)(σ(2) 0 + σ(2) 1xt−1xt−3 + σ(2) 2xt−2xt−4 + σ(2) 3xt−3xt−5), where η = β/(aσ(2)) as before.”
Agent-Based Computational Economics: Growing Economies From the Bottom Up (2002, unknown): “LeBaron [57] is similarly interested in obtaining a better model ﬁt to empirically observed regularities for ﬁnancial markets.”
Financial markets as nonlinear adaptive evolutionary systems (2001, background): “…(2000), Frankel and Froot (1988), Gaunersdorfer (2000), Gaunersdorfer and Hommes (2000), Kirman (1991), Kirman and Teyssière (2000), Kurz (1997), LeBaron (2000), LeBaron et al (1999), Lux (1995), Lux and Marchesi (1999a, b), Wang (1994) and Zeeman (1974), as well as many more references in…”
Heterogeneity, convergence, and autocorrelations (2008, background): “…et al. (1995), Day and Huang (1990), DeLong et al. (1990), Farmer and Joshi (2002), Frankel and Froot (1987), Gaunersdorfer (2000), Giardina and Bouchaud (2003), Hommes (2001, 2002), Iori (2002), LeBaron (2000, 2001, 2002), LeBaron et al. (1999), Lux (1995, 1997, 1998), and Lux and Marhesi (1999).”
Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS (2005, unknown): “In computational finance, artificial stock markets are used as a tool for simulating time series of aggregate variables, such as prices, volumes, etcetera (for an overview, see LeBaron, 2000).”
Evolutionary dynamics in markets with many trader types (2005, unknown): “( 1997 ) , LeBaron ( 2000 ) and Hommes ( 2001 ) for reviews ) .”
Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005, background): “While the performance of the model for domestic stock markets has been the focus of a previous contribution, in this paper we report results for selected exchange rates against the US dollar.”
EURACE: A massively parallel agent-based model of the European economy (2008, background): “Among others, they have been used to study (i) the emergence of trading behavior on goods-markets [1, 2], and on financial markets [3, 4], (ii) bidding behavior in auctions [5, 6], (iii) numerous issues concerning innovation and industry evolution [7], or (iv) the emergence of cooperative behavior i”
Power-law behaviour, heterogeneity, and trend chasing (2007, unknown): “…al. (1995), Lux (1995, 1997, 1998), Brock and LeBaron (1996), Arthu et al. (1997), Brock and Hommes (1997, 1998), Chen and Yeh (1997, 2002), Lux and Marchesi (1999), Bullard and Duffy (1999), LeBaronet al. (1999), LeBaron (2000, 2001, 2002), Iori (2002), Hommes (2002) and Farmer and Joshi (2002).”
Complex Evolutionary Systems in Behavioral Finance (2008, methodology): “The LTL theory discussed here as well as its extensions can be used to form a bridge between an analytical approach and the literature on evolutionary artificial market simulation models reviewed in LeBaron (2000,2006).”