Can agent-based models probe market microstructure?
D Platt, T Gebbie - Physica A: Statistical Mechanics and its Applications, 2018 - Elsevier
We provide evidence that the use of realistic order matching procedures in agent-based
models that attempt to represent continuous double auction markets at an intraday time …
models that attempt to represent continuous double auction markets at an intraday time …
[PDF][PDF] The calibration of financial agent-based models
DF Platt - 2017 - wiredspace.wits.ac.za
Agent-based models, particularly those applied to financial markets, demonstrate the ability
to produce realistic, simulated system dynamics, comparable to those observed in empirical …
to produce realistic, simulated system dynamics, comparable to those observed in empirical …