Questions tagged [multi-agent-simulations]

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2 votes
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Fatigue with Historic Backtesting - Alternatives?

It seems to me like historic backtesting is the best of bad options out there for me to test my systematic strategies - even ones that are more macro-level trend spotting. I can't test enough ...
keon6's user avatar
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Anyone got references where we can find examples of codes for agent-based simulations of financial markets?

I'm looking for references with codes for trying out simple agent-based simulations for modeling financial markets. I mostly worked with MATLAB and R, but I know a bit of python and I am learning C++ ...
Stéphane's user avatar
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1 vote
1 answer

How to simulate market data and test strategies?

I am trying to implement my own exchange with simulated data and test some strategies on such data. What would be the best way to go about modelling the data that supports live interaction ( limit/...
Paul's user avatar
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Good broad review of network modeling for quant finance?

Trying to find some good review of agent-based models for quantitative finance, covering opinion dynamics, correlated behavior, etc. Are there any articles or books that cover major advances in these ...
mt_christo's user avatar
7 votes
2 answers

Gain/loss-asymmetry in artificial financial markets?

The gain/loss asymmetry is a well known stylized fact: It basically states that real financial time series take longer for going up than going down. My question Are you aware of any artificial ...
vonjd's user avatar
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4 votes
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Long-term proportion of convex and concave strategies in artificial financial markets

In their classic paper "Dynamic Strategies for Asset Allocation" Perold and Sharpe state: "That convex and concave strategies are mirror images of one another tells us that the more demand there ...
vonjd's user avatar
  • 27.4k