New approaches in agent-based modeling ofcomplex financial systems  

作　　者：Ting-Ting Chen Bo Zheng Yan Li Xiong-Fei Jiang 

机构地区：[1]Department of Physics, Zhejiang University, Hangzhou 310027, China [2]Collaborative Innovation Center of Advanced Microstructures, Nanjing 210093, China

出　　处：《Frontiers of physics》2017年第6期115-126,共12页物理学前沿（英文版）

基　　金：This work was supported in part by the National Natural Science Foundation of China under Grant Nos. 11375149 and 11505099

摘　　要：Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of agent-based models from empirical data instead of setting them artificially was sug- gested. We first review several agent-based models and the new approaches to determine the key model parameters from historical market data. Based on tile agents＇ behaviors with heterogeneous personal preferences and interactions, these models are successful in explaining the microscopic origi- nation of the temporal and spatial correlations of financial markets. We then present a novel paradigm combining big-data analysis with agent-based modeling. Specifically, from internet query and stock market data, we extract the information driving forces and develop an agent-based model to simulate the dynamic behaviors of complex financial systems.Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of agent-based models from empirical data instead of setting them artificially was sug- gested. We first review several agent-based models and the new approaches to determine the key model parameters from historical market data. Based on tile agents＇ behaviors with heterogeneous personal preferences and interactions, these models are successful in explaining the microscopic origi- nation of the temporal and spatial correlations of financial markets. We then present a novel paradigm combining big-data analysis with agent-based modeling. Specifically, from internet query and stock market data, we extract the information driving forces and develop an agent-based model to simulate the dynamic behaviors of complex financial systems.

关 键 词：ECONOPHYSICS complex systems 

分 类 号：O4[理学—物理]