[R-SIG-Finance] agent-based model

geoff at wrightville.org geoff at wrightville.org
Thu Oct 4 19:48:05 CEST 2012


Interesting topic for a master's thesis. There is a lot of information out
there but for a simple introduction and an example that you can get
working in a couple of hours, try reading the article:

R as a Simulation Platform in Ecological Modelling


It is not a financial market but it will give you the necessary tools to
build one. I personally found this article to be one of the more intuitive
explanations out there.


 > 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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