This paper reviews the development of agent-based (computational) economics (ACE) from
an econometrics viewpoint. The review comprises three stages, characterizing the past, the …

We propose a continuous-time stochastic model for the dynamics of a limit order book. The
model strikes a balance between three desirable features: it can be estimated easily from …

We propose a machine learning framework to capture the dynamics of high-frequency limit
order books in financial equity markets and automate real-time prediction of metrics such as …

This book aims to answer two questions that are fundamental to the study of agent-based
economic models: what is agent-based computational economics and why do we need …

In the past decades, advanced probabilistic methods have had significant impact on the field
of finance, both in academia and in the financial industry. Conversely, financial questions …

Using particle system methodologies we study the propagation of financial distress in a
network of firms facing credit risk. We investigate the phenomenon of a credit crisis and …

Agent-based computational economics has considerable achievements. However, it has
gone too quickly into a direction similar to the one of models based on solely analytical—as …

Interaction of capital market participants is a complicated dynamic process. A stochastic
model is proposed to describe the dynamics to predict short‐term stock price behaviors …

In a recent paper, Alfonsi, Fruth and Schied (AFS) propose a simple order book based
model for the impact of large orders on stock prices. They use this model to derive optimal …

We study a two-species interacting particle model on a subset of $\Z $ with open
boundaries. The two species are injected with time dependent rate on the left, resp.~ right …