Can agent-based models probe market microstructure?

摘要: Abstract We provide evidence that the use of realistic order matching procedures in agent-based models attempt to represent continuous double auction markets at an intraday time scale introduces nuanced difficulties for model calibration, even when calibration techniques employed perform well on simpler, closed-form models. find method simulated moments, though able determine a number parameters rooted market microstructure with relative confidence and recover important features real financial such as flow correlation, is only ambiguous link between data related agent behavioral rules population dynamics. argue this may either result from limitations employed, suggesting more sophisticated approaches would need be considered, or alternatively point possibility structure niches agents exploit determinants measurable dynamics than behaviors they engage those niches.