[R-SIG-Finance] agent-based model

[Patrick Burns]

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.

Wholly agree.

Pat

>
> cheers
> Worik
>
>
>> 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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>
>
>
>
> _______________________________________________
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>

-- 
Patrick Burns
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