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q-fin.TR2019
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…
q-fin.TR2017★ 3 cited
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…