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.
On Thu, Oct 4, 2012 at 12:23 PM, 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.
>
> 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
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>
>
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