Agent-Based Computational Finance

In cooperation with Blake LeBaron and the Institute for New Economic Thinking, Patrick Herb and Axel Szmulewiez are in the process of developing a suite of agent-based software to assist in both teaching and research efforts. We are considering some of the classic agent-based finance papers and writing computer programs that replicate either some or all of their key results. Most programs will be written in Matlab or NetLogo, but some may be composed in Python. Interested entities may download these programs free of charge.

Coming Soon: Agent-Based Programs in Progress

Gaunersdorfer, A., & Hommes, C. (2007). A nonlinear structural model for volatility clustering (pp. 265-288). Springer Berlin Heidelberg. Chicago

GH_Model

Franke, R., & Westerhoff, F. (2012). Structural stochastic volatility in asset pricing dynamics: Estimation and model contest. Journal of Economic Dynamics and Control, 36(8), 1193-1211.

Discrete Choice Approach: Wealth

Discrete Choice Approach: Wealth & Predisposition

Discrete Choice Approach: Wealth, Herding & Predisposition

Discrete Choice Approach: Herding, Predisposition & Misalignment

Transition Probability Approach: Wealth

Transition Probability Approach: Herding & Predisposition

Transition Probability Approach: Herding, Predisposition & Misalignment

Farmer, J. D., & Joshi, S. (2002). The price dynamics of common trading strategies. Journal of Economic Behavior & Organization, 49(2), 149-171.

Homogeneous Trend Followers

Heterogeneous Value Investors

Order Based Value Investors

Position Based Value Investors

State-Dependent Threshold Value Strategies

Value Investors and Trend Followers

Dividend Data

Chiarella, C., Iori, G., & Perello’, J. (2009). The impact of heterogeneous trading rules on the limit order book and order flows. Journal of Economic Dynamics and Control, 33(3), 525-537.

Limit Order Book

Gai, P., & S. Kapadia. (2010). Contagion in Financial Networks (pp. 2401-423) Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 466.2120

One Contagion Round, Equal Size Banks

One Contagion Round, Different Size Banks

Many Contagion Rounds, Equal Size Banks, Default Extension Histogram

Many Contagion Rounds, Descriptive Statistics, Frequency and Extent of Contagion Plots

Many Contagion Rounds, average and top 20% average contagion plots

Many Contagion Rounds, Different Size Banks, Default Extension Histogram and Descriptive Statistics

Duffy, J., & Utku Unver, M. (2006). Asset Price Bubbles and Crashes with Near-Zero-Intelligence Traders. Economics Theory, 27(3), 537-563.

Asset Price Bubble Model with Optional Dividends, Constant or Decreasing Fundamental Price