>From R/Finance 2010 (and 2011), Michael North gave a few talks.

what he uses and has connectors to/from R.

I have no personal experience with this package though.

> hi: marcos lopzx deprado has a book "advances in HF strategies".

> In the first chapter, he gives a reasonably straightforward example of

> an agent based model. He doesn't show the code and I doubt he used R but

> it seems like R coujld be definitely used to recreate what he did there. I

> don't know of R packages that do it ( there are

> too many variations that are not generalizable but who knows.

> maybe there is one ) but R can be used to program his agent based approach.

> I assume by agent based, you are referring to a market microstructure type

> model where you have buyers and sellers entering the book at different

> rates etc.

>

> I'm not recommending marcos's book only because I haven't gone through it

> completely but I did read the first chapter and thought his example was

> interesting. It's a re-illustration of a model developed by ohara and

> easley, I think. you can email marcos also. He's

> a very knowledgable, generous and helpful person. if you need his email

> addresss, ask me offline and I'll send it to you.

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> On Thu, Oct 4, 2012 at 12:23 PM, Simone Gogna <

[hidden email]>wrote:

>

>> Hi all,

>> is there anyone able to give me some indications about R and agent-based

>> modeling?

>> I am looking forward to build an agent-based model of a simple stock

>> market for my master thesis to evaluate the effect of high-frequency

>> trading activity.

>>

>> In very general terms it may go as follows:

>>

>> 1) create two different kind of agent, i.e. high-frequency traders and

>> value-investors, each one with its own trading strategy

>>

>> 2) the two category of agents interact and this provoke stock price

>> fluctuations

>>

>> Since I took a course on R and I am quite familiar with it (at least to

>> make time series analysis), I was wondering whether it could be possible to

>> use R to this purpose.

>> If, to your knowledge, there exist some specific book or some already

>> existing model that use R to create agent-based model of financial markets,

>> I will be very willing to take a look at them.

>>

>> I am really sorry if this is not the right place to ask for this kind of

>> question.

>> I am not able at this very moment of my work to give you any reproducible

>> code for example since I don’t even know if it is possible to use R for

>> this kind of work.

>>

>> thanks and best regards,

>> Simone Gogna

>> [[alternative HTML version deleted]]

>>

>>

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