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.

R is ideal for processing the output of such a model.

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
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>
>
>
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