id	author	title	date	pages	extension	mime	words	sentences	flesch	summary	cache	txt
cord-027337-eorjnma3	Fratrič, Peter	Integrating Agent-Based Modelling with Copula Theory: Preliminary Insights and Open Problems	2020-05-22		.txt	text/plain	4860	253	50	The motivation for such a framework is illustrated on a artificial market functioning with canonical asset pricing models, showing that dependencies specified by copulas can enrich agent-based models to capture both micro-macro effects (e.g. herding behaviour) and macro-level dependencies (e.g. asset price dependencies). Section 2 provides some background: it elaborates on the combined need of agent-based modeling and of quantitative methods, illustrating the challenges on a running example based on canonical trader models for asset pricing, and gives a short presentation on copula theory. In other words, by this formula, it is possible to calculate the probability of rare events, and therefore estimate systematic risk, based on the dependencies of aggregation variables and on the knowledge of micro-behaviour specified by group density functions of the agent-based models.	./cache/cord-027337-eorjnma3.txt	./txt/cord-027337-eorjnma3.txt