Can agent-based models probe market microstructure?
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DOI: 10.1016/j.physa.2018.08.055
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- Carro, Adrian & Hinterschweiger, Marc & Uluc, Arzu & Farmer, J. Doyne, 2022. "Heterogeneous effects and spillovers of macroprudential policy in an agent-based model of the UK housing market," Bank of England working papers 976, Bank of England.
- Farmer, J. Doyne & Carro, Adrian & Hinterschweiger, Marc & Uluc, Arzu, 2022. "Heterogeneous Effects and Spillovers of Macroprudential Policy in an Agent-Based Model of the UK Housing Market," INET Oxford Working Papers 2022-06, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Adrián Carro & Marc Hinterschweiger & Arzu Uluc & J. Doyne Farmer, 2022. "Heterogeneous effects and spillovers of macroprudential policy in an agent-based model of the UK housing market," Working Papers 2217, Banco de España.
- Ivan Jericevich & Patrick Chang & Tim Gebbie, 2021. "Simulation and estimation of an agent-based market-model with a matching engine," Papers 2108.07806, arXiv.org, revised Aug 2021.
- Ivan Jericevich & Murray McKechnie & Tim Gebbie, 2021. "Calibrating an adaptive Farmer-Joshi agent-based model for financial markets," Papers 2104.09863, arXiv.org.
- Platt, Donovan, 2020. "A comparison of economic agent-based model calibration methods," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
- Luis Goncalves de Faria, 2022. "An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation," Papers 2206.09772, arXiv.org.
- Carro, Adrian, 2023. "Taming the housing roller coaster: The impact of macroprudential policy on the house price cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
- Donovan Platt, 2022. "Bayesian Estimation of Economic Simulation Models Using Neural Networks," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 599-650, February.
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- Ivan Jericevich & Dharmesh Sing & Tim Gebbie, 2021. "CoinTossX: An open-source low-latency high-throughput matching engine," Papers 2102.10925, arXiv.org.
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Keywords
Agent-based modeling; Calibration; Complexity; Market microstructure;All these keywords.
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