SABCEMM: A Simulator for Agent-Based Computational Economic Market Models

被引：5

作者：

Trimborn, Torsten ^{[1
]}

Otte, Philipp ^{[2
]}

Cramer, Simon ^{[3
]}

Beikirch, Max ^{[3
]}

Pabich, Emma ^{[3
]}

Frank, Martin ^{[4
]}

机构：

[1] Rhein Westfal TH Aachen, IGPM, Schinkelstr 2, D-52056 Aachen, Germany

[2] Rhein Westfal TH Aachen, MathCCES, D-52056 Aachen, Germany

[3] Rhein Westfal TH Aachen, D-52056 Aachen, Germany

[4] Karlsruhe Inst Technol, Steinbuch Ctr Comp, Lermann von Helmholtz Pl 1, D-76344 Eggenstein Leopoldshafen, Germany

来源：

COMPUTATIONAL ECONOMICS | 2020年 / 55卷 / 02期

关键词：

Agent-based models; Monte Carlo simulations; Economic market models; Stylized facts; Simulator; Finite size effects; Random number generator; STOCK-MARKET; ASSET PRICE; SPECULATIVE BEHAVIOR; BOUNDED RATIONALITY; FINANCIAL-MARKETS; ZERO-INTELLIGENCE; STYLIZED FACTS; HERD BEHAVIOR; ISING-MODEL; DYNAMICS;

D O I：

10.1007/s10614-019-09910-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We introduce the simulation tool SABCEMM (Simulator for Agent-Based Computational Economic Market Models) for agent-based computational economic market (ABCEM) models. Our simulation tool is implemented in C++ and we can easily run ABCEM models with several million agents. The object-oriented software design enables the isolated implementation of building blocks for ABCEM models, such as agent types and market mechanisms. The user can design and compare ABCEM models in a unified environment by recombining existing building blocks using the XML-based SABCEMM configuration file. We introduce an abstract ABCEM model class which our simulation tool is built upon. Furthermore, we present the software architecture as well as computational aspects of SABCEMM. Here, we focus on the efficiency of SABCEMM with respect to the run time of our simulations. We show the great impact of different random number generators on the run time of ABCEM models.

引用

页码：707 / 744

页数：38

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