Agent Based Financial Modeling and Its Application Procedure

Abstract

Agent-based modeling (ABM) method has become increasingly complex and useful thanks to developing computer infrastructures. ABM is a method that attracts the attention of researchers due to the diversity of its uses and the effectiveness of models on complex systems. With ABM, researchers were able to improve their work by modeling in many areas from forest fires to virus spread even health sciences, from economies to artificial markets. In this study, Agent Based Financial Modelling and ABFM and the techniques used together are discussed. The early studies in this field, Genoa Artificial Stock Market (GASM - Genoa Artificial Stock Market) and the stock market model published by Santa Fe Institute (SFI-ASM - Santa Fe Institute Artificial Stock Market) are explained technically. Since these studies are among the best-known studies in the ABM literature, they are examined as an example of modeling in this study

Keywords

• Agent Based Financial Modelling
• Machine Learning
• Genetic Algorithm

Ajan Bazlı Finansal Modelleme ve Uygulama Prosedürü

Abstract

Ajan bazlı modelleme (ABM) yöntemi gelişen bilgisayar altyapıları sayesinde giderek daha kompleks ve kullanışlı hale gelmiştir. ABM, kullanım alanlarının çeşitliliği ve modellerin karmaşık sistemler üzerindeki etkinliği nedeniyle araştırmacıların ilgisini çeken bir yöntemdir. ABM ile araştırmacılar orman yangınlarından virüs yayılımlarına hatta sağlık bilimlerine, ekonomilerden yapay piyasalara kadar birçok alanda modelleme yaparak çalışmalarını geliştirebilmişlerdir. Bu çalışmada Ajan Bazlı Finansal Modelleme (ABFM) ve ABFM ile birlikte kullanılan teknikler ele alınmıştır. Bu alandaki erken dönem çalışmalardan olan Genoa Yapay Borsası (GASM - Genoa Artificial Stock Market) ve Santa Fe Enstitüsü tarafından yayımlanmış borsa modeli (SFI-ASM – Santa Fe Instıtute Artificial Stock Market) teknik açıdan anlatılmıştır. Söz konusu çalışmalar ABM literatürünün en bilinen çalışmaları arasında yer aldıklarından bu çalışmada modellemeye örnek olması açısından incelenmiştir

Keywords

• Ajan Bazlı Finansal Modelleme
• Makine Öğrenmesi
• Genetik Algoritma

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