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CQF Institute - Agent-Based Models in Finance: Foundations, Explanatory Power and Applications

Descripción del evento

​TALK OVERVIEW

The talk will provide an introduction to the rich literature on agent-based modelling (ABM) in finance.

ABM uses stochastic simulation models of the interaction of a diverse ensemble of heterogeneous investors to mimic real-world patterns of financial trading within an artificial market. The main goal of the early literature was the explanation of the salient stylized facts. There has emerged a literature that provided a generic explanation of these features via the market process, in which a ‘news arrival process’ for fundamental factors is transformed into a more volatile and fat tailed distribution of market returns by the interactions of the agents. 

This talk will illustrate various approaches and demonstrate how the empirical validation of agent-based models can also be used to extract information on ‘hidden’ variables such as sentiment which constitutes a salient building block of such models. 


Speaker Overview 

Thomas Lux is Professor of Monetary Economics and International Finance at the University of Kiel. His research interests cover various theoretical and empirical aspects of financial and monetary economics that mostly require intense use of computational methods. 

Alongside others, he has been working on agent-based models of financial markets, multi-scale stochastic volatility models, and network models for the interbank market. 

From 2011 - 2016, Thomas was appointed as the Bank of Spain Chair in Computational Economics at the University of Jaume I, Castellon, Spain

Tipo de evento

Sociedad; Featured

Area de formación

 

Start Time

2/3/2021 6:00 PM

Hora de comienzo

2/3/2021 6:00 PM

End Time

2/3/2021 7:00 PM

Hora de término

2/3/2021 7:00 PM

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Ubicación Región

EMEA

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All Day Event

 

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CPD Credits

2

SER Credit

0

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Event Short Info

CQF Institute - Agent-Based Models in Finance: Foundations, Explanatory Power and Applications:
The talk will provide an introduction to the rich literature on agent-based modelling (ABM) in finance.

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Content Type: MyCFA Calendar
Created at 1/13/2021 7:47 AM by andrea.wolfes@cfaspain.org[CASMSTS:username]
Last modified at 1/13/2021 7:49 AM by andrea.wolfes@cfaspain.org[CASMSTS:username]