3 papers
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…
econ.GN2018
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…
math.NA2018
A Structured Approach to the Construction of Stable Linear Lattice-Boltzmann Collision Operators
Philipp Otte, Martin Frank
We introduce a structured approach to the construction of linear BGK-type collision operators ensuring that the resulting Lattice-Boltzmann methods are stable with respect to a wei…