[R-SIG-Finance] agent-based model
patrick at burns-stat.com
Fri Oct 5 09:28:45 CEST 2012
On 05/10/2012 00:06, Worik Stanton wrote:
> On 05/10/12 05:23, Simone Gogna 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.
> FWIW I do not think R is well suited to this task
> I only have a little experience with agent based modelling, but IMO a
> language with better support for data structures would be more suited.
> I would lean to C++ (as I know it) but I am sure Java would be a fine
> language for your needs.
I both agree with this and disagree with it.
If you are in the just playing around stage
and don't know what you want to do, then R
is a very good place to do it. Once you do
know what you are doing, then another language
(such as C++) will be better. But I would
say the binding constraint would be speed
rather than data structures.
Of course if what Jeff pointed to fits the bill,
then even better.
> R is ideal for processing the output of such a model.
>> 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 donâEUR^(TM)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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> R-SIG-Finance at r-project.org mailing list
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> -- Also note that this is not the r-help list where general R questions should go.
patrick at burns-stat.com
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