Financial Market Microstructure ABM Model
How do heterogeneous trading strategies, leverage constraints, and order-book mechanics generate the statistical regularities of financial markets -- volatility clustering, fat-tailed returns, flash crashes, and liquidity spirals -- from the bottom up?
Agent-based models · Sources
Financial Market Microstructure ABM sources, papers, and evidence trail
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References
Reference sources
Reference material used for orientation; read primary and academic sources first when claims conflict.
[S1] Reference
Brock & Hommes (1998) -- heterogeneous agent model with adaptive belief switching between fundamentalist and chartist strategies
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[S2] Reference
Lux & Marchesi (1999) -- scaling and criticality in financial ABM producing power-law tails and volatility clustering
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[S3] Reference
LeBaron (2006) -- comprehensive survey of agent-based computational finance with 100+ implementations reviewed
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[S4] Reference
Farmer & Foley (2009) -- Nature perspective arguing ABMs should be standard tools for financial regulation
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[S5] Reference
Thurner, Farmer & Geanakoplos (2012) -- leverage causes fat tails through fire-sale spirals and margin-call cascades
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[S6] Reference
Paddrik et al. (2012) -- CFTC flash crash ABM used to evaluate circuit-breaker designs
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