El uso de modelos computacionales (ABM) en economía y sus implicaciones éticas: el caso del análisis de la dinámica de variación de precios en un ambiente de complejidad financiera
Keywords:
Agent, Complexity, Finance, Price, VolatilityAbstract
The aim of this paper is to provide the reader with a better insight into the pricing dynamics of financial markets by adopting assumptions from complexity theory. The motivation is to make a formal but accessible presentation of the application of the Agent Base Model (ABM) in financial markets. The importance of including a combination of complexity theory and ABMs for economics from an ethical perspective is to recognize that the adoption of assumptions that are better adapted to the reality of economic processes and the verification of results are indispensable to obtain conclusions appropriate to these economic processes. On the other hand, the analysis of price variation in financial markets under assumptions of complexity theory is of utmost importance to understand their dynamics. On the one hand, the number of participants has a depth effect on price variation, but on the other hand, asset returns have an intensity effect, which are caused by the iteration of participants' expectations. Finally, the contribution of this paper seeks to expose how the analysis of only two factors that are inherent to financial markets can create an environment of financial complexity.
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