Financial price dynamics and agent-based models as inspired by Benoit Mandelbrot

This short note draws some connections between Mandelbrot‗s empirical legacy, and the interdisciplinary work that followed in finance. Much of this work is now labeled econophysics, but some has always been more in the realm of economics than physics. In a few areas the overlap is even becoming quite complete as in market microstructure. I will also give some ideas about the various successes and failures in this area, and some directions for the future of agent- based modeling in particular.

 

LeBaron, B. Eur. Phys. J. Spec. Top. (2016) 225: 3243. doi:10.1140/epjst/e2016-60123-4

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