A Bright Future for Financial Agent-Based Models

7 Pages Posted: 2 Feb 2018

See all articles by Johann Lussange

Johann Lussange

École Normale Supérieure (ENS)

Alexis Belianin

National Research University Higher School of Economics

Sacha Bourgeois-Gironde

École Normale Supérieure (ENS); Université Paris II

Boris Gutkin

École Normale Supérieure (ENS)

Date Written: January 25, 2018

Abstract

The history of research in finance and economics has been widely impacted by the field of Agent- based Computational Economics (ACE). While at the same time being popular among natural science researchers for its proximity to the successful methods of physics and chemistry for example, the field of ACE has also received critics by a part of the social science community for its lack of empiricism. Yet recent trends have shifted the weights of these general arguments and potentially given ACE a whole new range of realism. At the base of these trends are found two present-day major scientific breakthroughs: the steady shift of psychology towards a hard science due to the advances of neuropsychology, and the progress of artificial intelligence and more specifically machine learning due to increasing computational power and big data. These two have also found common fields of study in the form of computational neuroscience, and human-computer interaction, among others. We outline here the main lines of a computational research study of collective economic behavior via Agent-Based Models (ABM) or Multi-Agent System (MAS), where each agent would be endowed with specific cognitive and behavioral biases known to the field of neuroeconomics, and at the same time autonomously implement rational quantitative financial strategies updated by machine learning. We postulate that such ABMs would offer a whole new range of realism.

Suggested Citation

Lussange, Johann and Belianin, Alexis and Bourgeois-Gironde, Sacha and Gutkin, Boris, A Bright Future for Financial Agent-Based Models (January 25, 2018). Available at SSRN: https://ssrn.com/abstract=3109904 or http://dx.doi.org/10.2139/ssrn.3109904

Johann Lussange

École Normale Supérieure (ENS) ( email )

45 rue d’Ulm
Paris Cedex 05, F-75230
France

Alexis Belianin

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Sacha Bourgeois-Gironde (Contact Author)

École Normale Supérieure (ENS) ( email )

45 rue d’Ulm
Paris Cedex 05, F-75230
France

Université Paris II ( email )

12 place du Pantheon
Paris cedex 06, 75231
France

Boris Gutkin

École Normale Supérieure (ENS) ( email )

45 rue d’Ulm
Paris Cedex 05, F-75230
France

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