Quotation Loistl, Otto, Hütl, Michael, Kopp, Emanuel Albin. 2007. Modelling Individual Actions and Interactions on the Microstructure Level.




Models of interacting agents are able to descibe the so-called stylized facts about financial markets simultanously (LeBaron (2001), Hommes (2006)). Agent-based financial market modeling basically constitutes a problem of organized complexity. Individual behavior is determined by both deterministic and stochastic factors that influence the decision process and, therefore, the choice or action of the decisionmaker. In this paper, we propose a Discrete Choice model that is able to handle the complexity of individual decision-making at capital markets. The model integrates different classes of agents (i.e. segmentation), and explicitely models the role of market participants’ perception and attitudes. The market is driven by interactions between market participants. In order to model individual behavior realistically, we combine choice and expectations data, as stressed by Manski (2004).


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title Modelling Individual Actions and Interactions on the Microstructure Level
Year 2007


Loistl, Otto (Details)
Hütl, Michael (Former researcher)
Kopp, Emanuel Albin (Former researcher)
Institute for Investmentbanking and Catallactics IN (Former organization)
Finance, Accounting and Statistics DP (Details)
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