Financial Market Microstructure ABM Model

Reference sources

Reference material used for orientation; read primary and academic sources first when claims conflict.

1. [S1] Reference

   Brock & Hommes (1998) -- heterogeneous agent model with adaptive belief switching between fundamentalist and chartist strategies

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2. [S2] Reference

   Lux & Marchesi (1999) -- scaling and criticality in financial ABM producing power-law tails and volatility clustering

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3. [S3] Reference

   LeBaron (2006) -- comprehensive survey of agent-based computational finance with 100+ implementations reviewed

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4. [S4] Reference

   Farmer & Foley (2009) -- Nature perspective arguing ABMs should be standard tools for financial regulation

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5. [S5] Reference

   Thurner, Farmer & Geanakoplos (2012) -- leverage causes fat tails through fire-sale spirals and margin-call cascades

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6. [S6] Reference

   Paddrik et al. (2012) -- CFTC flash crash ABM used to evaluate circuit-breaker designs

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