Understanding agent-based models of financial markets : A bottom–up approach based on order parameters and phase diagrams

• Main Authors: Lye, Ribin, Tan, James Peng Lung, Cheong, Siew Ann
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2013
• Subjects: DRNTU::Science::Physics
• Online Access: https://hdl.handle.net/10356/105490; http://hdl.handle.net/10220/17937; http://dx.doi.org/10.1016/j.physa.2012.06.014
• Institution: Nanyang Technological University

We describe a bottom–up framework, based on the identification of appropriate order parameters and determination of phase diagrams, for understanding progressively refined agent-based models and simulations of financial markets. We illustrate this framework by starting with a deterministic toy model...