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Calibration of Multi-Agent Simulators
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Classroom Contents
On Modeling Investors in Simulated Markets
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- 1 Outline
- 2 Why market simulation?
- 3 Market replay vs. multi-agent simulation
- 4 Example: Market Impact of Algorithmic Execution
- 5 ABIDES* - Agent Based Interactive Discrete Event Simulation
- 6 Applications to trading
- 7 Market Mechanism Design
- 8 How to design trading agents?
- 9 ABIDES Rule-Based Agents
- 10 Market Impact of Algorithmic Execution Explained
- 11 Agents learnt from historical data
- 12 Calibration of Multi-Agent Simulators
- 13 RL to Learn Trading Agents
- 14 Modeling Human Traders
