3 citations · 4 across the 5 of their papers we have counts for
6 papers
Microscopic Derivation of Mean Field Game Models
Martin Frank, Michael Herty, Torsten Trimborn
Mean field game theory studies the behavior of a large number of interacting individuals in a game theoretic setting and has received a lot of attention in the past decade (Lasry a…
Robust Mathematical Formulation and Probabilistic Description of Agent-Based Computational Economic Market Models
Maximilian Beikirch, Simon Cramer, Martin Frank +3
In science and especially in economics, agent-based modeling has become a widely used modeling approach. These models are often formulated as a large system of difference equations…
Simulation of Stylized Facts in Agent-Based Computational Economic Market Models
Maximilian Beikirch, Simon Cramer, Martin Frank +3
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 SABC…
SABCEMM-A Simulator for Agent-Based Computational Economic Market Models
Torsten Trimborn, Philipp Otte, Simon Cramer +3
We introduce the simulation tool SABCEMM (Simulator for Agent-Based Computational Economic Market Models) for agent-based computational economic market (ABCEM) models. Our simulati…
Mean Field Limit of a Behavioral Financial Market Model
Torsten Trimborn, Martin Frank, Stephan Martin
In the past decade there has been a growing interest in agent-based econophysical financial market models. The goal of these models is to gain further insights into stylized facts…
Portfolio Optimization and Model Predictive Control: A Kinetic Approach
Torsten Trimborn, Lorenzo Pareschi, Martin Frank
In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a…