Abstract
One of the essential features of the agent-based financial models is to show how price dynamics is affected by the evolving microstructure. Empirical work on this microstructure dynamics is, however, built upon highly simplified and unrealistic behavioral models of financial agents. Using genetic programming as a rule-inference engine and self-organizing maps as a clustering machine, we are able to reconstruct the possible underlying microstructure dynamics corresponding to the underlying asset. In light of the agent-based financial models, we further examine the microstructure both in terms of its short-term dynamics and long-term distribution. The time series of the TAIEX is employed as an illustration of the implementation of the idea.
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Chen, SH., Kampouridis, M., Tsang, E. (2011). Microstructure Dynamics and Agent-Based Financial Markets. In: Bosse, T., Geller, A., Jonker, C.M. (eds) Multi-Agent-Based Simulation XI. MABS 2010. Lecture Notes in Computer Science(), vol 6532. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-18345-4_9
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DOI: https://doi.org/10.1007/978-3-642-18345-4_9
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