Advances in Agent-Based Computational Finance: Aseet Pricing Models from Heterogeneous and Interactive Perspective

This brief survey gives an introduction on agent-based computational finance (ABCF), focusing on features of heterogeneity and interaction among agents. In contrast to traditional deductive asset pricing theory with strictly defined representative investors, ABCF is characteristic of multi heterogeneous agents, making their own trading decisions in a virtual market respectively and interacting with each other evolutionally. Among a vast array of potential ABCF models, Santa Fe artificial stock model (SF-ASM) and heterogeneous agent model (HAM) are supposed to be the most prominent and prevalent. We give a simple conclusion and future directions for ABCF.

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