Reference no: EM133697009

Assignment

You are supposed to write a short paper on a computational experiment. Our suggestion is starting from one of the codes we employ during the course and then modify it according to the proposed topic you want to investigate. Anyway, the choice of the most appropriate code is up to you, and it should be done to have the best match between the model and the topic to be analysed. Alternatively, you can also confine yourself to the mathematical modeling of an agent-based model. In this case, instead of presenting simulated results, you need to describe the dynamics you want to reproduce through mathematical proofs.

The short paper should be organised as follows:

1. Introduction (with a brief literature review on a few scientific articles that can theoretically/empirically support your analysis)

2. The model (description of the agent-based model, with a focus on the implemented changes)

3. Simulation results (or mathematical results)

4. Concluding remarks

1) Consider a financial time series of dailyprices and check the stylized facts.

2) Consider the model of chartists-fundamentalistsand replicate the figure in the slide with several changes of the fundamental value.

Compare a comment on the simulated results with the figure of the paper of Shiller.