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Found 3 papers, 2 papers with code
Simulation and estimation of an agent-based market-model with a matching engine
This is possible when agent-based model interactions occur asynchronously via order matching using a matching engine in event time to replace sequential calendar time market clearing.
Simulation and estimation of a point-process market-model with a matching engine
Here we consider a 10-variate Hawkes process with simple rules to simulate common order types which are submitted to a matching engine.
Calibrating an adaptive Farmer-Joshi agent-based model for financial markets
We replicate the contested calibration of the Farmer and Joshi agent based model of financial markets using a genetic algorithm and a Nelder-Mead with threshold accepting algorithm following Fabretti.
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