Agent-based computational finance

The research topic, which has involved some researchers of the DOGE unit for more than twenty years, consists in the study of the statistical properties of financial time series and in the development of agent-based models aimed at understanding the link between aggregate statistics and the micro behavior of financial agents. To this purpose, it has been developed since the early 2000s the Genoa artificial stock market, one of the first agent-based simulators of a financial market. In the following years, the research activity has been focused on studying the relationship between financial markets, the credit market and the economic cycle with particular attention to financial and credit bubbles. In this context, it has been developed a large-scale macroeconomic agent-based called Eurace (www.eurace.org) which constitutes an international reference point. 

Researchers

  • Silvano Cincotti
  • Marco Raberto 

Laboratories 

  • Ingegneria gestionale 

Publications 

  • Mazzocchetti, A., Lauretta, E., Raberto, M., Teglio, A., Cincotti, S., Systemic financial risk indicators and securitised assets: an agent-based framework. Journal of Economic Interaction and Coordination, 2020, 15(1), pp. 9-47.
  • Ponta, L., Trinh, M., Raberto, M., Scalas, E., Cincotti, S., Modeling non-stationarities in high- frequency financial time series. Physica A: Statistical Mechanics and its Applications, 2019, 521, pp. 173-196.
  • Raberto, M., Ozel, B., Ponta, L., Teglio, A., Cincotti, S., From financial instability to green finance: the role of banking and credit market regulation in the Eurace model. Journal of Evolutionary Economics, 2019, 29(1), pp. 429-465
  • Ponta, L., Scalas, E., Raberto, M., Cincotti, S., Statistical analysis and agent-based microstructure modeling of high-frequency financial trading. IEEE Journal on Selected Topics in Signal Processing, 2012, 6(4), pp. 381-387, 6064868
  • Raberto, M., Cincotti, S., Focardi, S.M., Marchesi, M., Agent-based simulation of a financial market. Physica A: Statistical Mechanics and its Applications, 2001, 299(1-2), pp. 319-327 
Last update 19 January 2022