Simulation of Stylized Facts in Agent-Based Computational Economic Market Models

TL;DR

This paper investigates the emergence of stylized facts in agent-based economic market models using the SABCEMM simulation tool, introducing new models and emphasizing reproducibility through open-source code.

Contribution

The paper presents a systematic study of stylized facts in ABCEM models and introduces novel models created by recombining existing ones, facilitated by an object-oriented simulation tool.

Findings

Stylized facts can be reproduced in various ABCEM models.

Recombined models exhibit similar stylized facts as original models.

Open-source SABCEMM enables reproducible research.

Abstract

We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for Agent-Based Computational Economic Market Models) tool recently introduced by the authors (Trimborn et al. 2019). Furthermore, we present novel ABCEM models created by recombining existing models and study them with respect to stylized facts as well. This can be efficiently performed by the SABCEMM tool thanks to its object-oriented software design. The code is available on GitHub (Trimborn et al. 2018), such that all results can be reproduced by the reader.