[R-SIG-Finance] agent-based model

[Jeff Ryan]

>From R/Finance 2010 (and 2011), Michael North gave a few talks.

http://www.rinfinance.com/agenda/2010/MichaelNorth.pdf

Repast Simphony (he is the lead dev on the project from Argonne) is
what he uses and has connectors to/from R.

I have no personal experience with this package though.

Jeff

On Thu, Oct 4, 2012 at 11:45 AM, Mark Leeds <markleeds2 at gmail.com> wrote:
> hi: marcos lopzx deprado has a book "advances in HF strategies".
> In the first chapter, he gives a reasonably straightforward example of
> an agent based model. He doesn't show the code and I doubt he used  R but
> it seems like R coujld be definitely used to recreate what he did there. I
> don't know of R packages that do it ( there are
> too many variations that are not generalizable but who knows.
> maybe there is one ) but R can be used to program his agent based approach.
> I assume by agent based, you are referring to a market microstructure type
> model where  you have buyers and sellers entering the book at different
> rates etc.
>
> I'm not recommending marcos's  book only because I haven't gone through it
> completely but I did read the first chapter and thought his  example was
> interesting. It's a re-illustration of a model developed by ohara and
> easley, I think. you can email marcos also. He's
> a very knowledgable, generous and helpful person. if you need his email
> addresss, ask me offline and I'll send it to you.
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> On Thu, Oct 4, 2012 at 12:23 PM, Simone Gogna <singletonthebest at msn.com>wrote:
>
>> Hi all,
>> is there anyone able to give me some indications about R and agent-based
>> modeling?
>> I am looking forward to build an agent-based model of a simple stock
>> market for my master thesis to evaluate the effect of high-frequency
>> trading activity.
>>
>> In  very general terms  it may go as follows:
>>
>> 1) create two different kind of agent, i.e. high-frequency traders and
>> value-investors, each one with its own trading strategy
>>
>> 2) the two category of agents interact and this provoke stock price
>> fluctuations
>>
>> Since I took a course on R and I am quite familiar with it (at least to
>> make time series analysis), I was wondering whether it could be possible to
>> use R to this purpose.
>> If, to your knowledge, there exist some specific book or some already
>> existing model that use R to create agent-based model of financial markets,
>> I will be very willing to take a look at them.
>>
>> I am really sorry if this is not the right place to ask for this kind of
>> question.
>> I am not able at this very moment of my work to give you any reproducible
>> code for example since I don’t even know if it is possible to use R for
>> this kind of work.
>>
>> thanks and best regards,
>> Simone Gogna
>>         [[alternative HTML version deleted]]
>>
>>
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>>
>
>         [[alternative HTML version deleted]]
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> _______________________________________________
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-- 
Jeffrey Ryan
jeffrey.ryan at lemnica.com

www.lemnica.com