Examples of well-established ABMs for economics/finance

Specific Domains Finance and Economics
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Hello there! I am currently developing a small project for a student doing an MSc in Mathematics & Finance. Project is akin to a Master Thesis but 3-months long only. The goal of the project is to engage the student into basic academic skills: finding and reading literature, analyzing data, doing simulations to pursue hypothesis… The project I am thinking is based on Agent Based Modelling for economics. Something like: first implement an existing ABM on a topic of economics or socio-economics. Run it and get what insight it offers. Then compare it with real data and improve it / adjust it so that it is more representative of reality. This project is to be done with Agents.jl.

I am searching for examples of well-established economics/finance agent based models the student can use as a starting point. If you know such models/papers, please share with me!

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I’m intrigued by the results in Economic forecasting with an agent-based model where the authors were able to match the performance of traditional approaches to macroeconomics predictions via ABMs. There is also the code on Zenodo: Supplementary material for the article "Economic forecasting with an agent-based model", it’s a lot of code though. It’s probably hard to replicate all results in Julia and Agents.jl but probably interesting for future research avenues.

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Modeling the Transition to a Low-carbon Energy System by Jinxi Yang:

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Econ grad student here. Honestly never been quite clear on the definition of ABM.

Search and Matching is one setting that might be considered ABM with economics?

There’s also stuff on mean-field games but I don’t know anything about it.
Mean Field Games in Macroeconomics

There is theoretical stuff on evolutionary game theory, but in applications, it seems the discipline tends to focus on equilibria themselves rather than how they are arrived at through a dynamic process.

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Zero Intelligence Trader (ZI Trader)[1] and its extension: Zero Intelligence Plus Trader (ZI+ Trader).

It’s a very simple model with dumb agents which shows an emergence of the two-sided market.

Also check this paper [2] which review the state of the art in this field.

  1. Zero-intelligence trader - Wikipedia

  2. Agent-Based Modeling in Economics and Finance: Past, Present, and Future, Robert L. Axtell and J. Doyne Farmer, 2022

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Incredible but true, there is already a Julia implementation of the paper I cited and it is from researchers of the national bank of my country apparently :exploding_head:

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Thanks a lot everyone for chiming in. This was really helpful for me! I’ve submitted the project proposal, let’s see how it goes!!!

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