Microscopic Models of Financial Markets
E. Samanidou, E. Zschischang, D. Stauffer, T. Lux
TL;DR
This paper reviews microscopic models of financial markets, focusing on agent-based approaches and their ability to replicate market phenomena and dynamics.
Contribution
It provides a comprehensive overview of microscopic modeling techniques and their applications in understanding financial market behavior.
Findings
Agent-based models can reproduce stylized facts of financial markets
Microscopic models help in understanding market crashes and volatility
Simulation results align with empirical market data
Abstract
Submitted to F. Schweitzer (ed.), Microscopic Models for Economic Dynamics, Lecture notes in physics, Springer, Berlin-Heidelberg 2002.kiel.tex
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Stochastic processes and financial applications