Agent-based computational finance: Suggested readings and early research

Some of the early research in this area of computational models for financial markets with many interacting agents is surveyed with emphasis on the many unsolved problems that researchers will need to confront.

Abstract

The use of computer simulated markets with individual adaptive agents in finance is a new, but growing field. This paper explores some of the early works in the area concentrating on a set of some of the earliest papers. Six papers are summarized in detail, along with references to many other pieces of this wide ranging research area. It also covers many of the questions that new researchers will face when getting into the field, and hopefully can serve as a kind of minitutorial for those interested in getting started.