#1022 overall
Agent-Based Financial Markets (Blake LeBaron)
Brandeis University
1 recommender · 1 thread · recommended in 1 year, 2018 · score 0.7
A graduate-level course on building agent-based models of financial markets, with lecture notes and code written from scratch in Python. It covers modeling trading agents and the market dynamics that emerge from their interactions.
One commenter recommends it as a set of lectures and code for building finance agent-based models from scratch in Python.
Business, Finance & Economicsadvancedfreeself-paced text#agent-based modeling#financial markets#python#simulation#lebaron
Recommendations by year
20062026
There are more and more these days. If you want Java/scala-based, the two biggest ones are: - MASON: https://cs.gmu.edu/~eclab/projects/mason/ - Repast: https://repast.github.io/index.html
For Python, someone else has already mentioned Mesa: https://github.com/projectmesa/mesa/
You can find some more lists at https://www.comses.net/ -- sadly https://en.wikipedia.org/wiki/Comparison_of_agent-based_mode... looks fairly sparse / a little outdated (though I have only passing familiarity with most of those).
Finally, I think a great technical source of theory about these models comes from Cosma Shalizi's notebook on ABM: http://bactra.org/notebooks/agent-based-modeling.html He's one of the single best sources I've seen for describing systems for formally estimating ABMs.
Netlogo is great for fast prototyping, but at least as of ...well a number of years ago now, there was a noticeable lack of scientific computing libraries. For example numerical optimization routines were extremely basic. I had to use a user-contributed package to solve a root finding problem.
Honestly for this type of work I typically write my own from scratch in Python. Here's a great set of lectures and code from Blake LeBaron, "from sratch" in Python, for finance ABMs: http://people.brandeis.edu/~blebaron/classes/agentfin/ ...and here's a nice from scratch Schelling model in Python: https://lectures.quantecon.org/py/schelling.html