About: Integrating Agent-Based Modelling with Copula Theory: Preliminary Insights and Open Problems

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An Entity of Type : schema:ScholarlyArticle, within Data Space : covidontheweb.inria.fr associated with source document(s)

Attributes	Values
type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
has title	Integrating Agent-Based Modelling with Copula Theory: Preliminary Insights and Open Problems
Creator	Fratrič, Peter Klous, Sander Sileno, Giovanni Van Engers, Tom
Source	PMC
abstract	The paper sketches and elaborates on a framework integrating agent-based modelling with advanced quantitative probabilistic methods based on copula theory. 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). In doing that, the paper highlights the theoretical challenges and extensions that would complete and improve the proposal as a tool for risk analysis.
has issue date	2020-05-22(xsd:dateTime)
bibo:doi	10.1007/978-3-030-50420-5_16
has license	no-cc
sha1sum (hex)	44baba7d8930077cac10e61346f325f7033b4e99
schema:url	https://doi.org/10.1007/978-3-030-50420-5_16
resource representing a document's title	Integrating Agent-Based Modelling with Copula Theory: Preliminary Insights and Open Problems
has PubMed Central identifier	PMC7304032
schema:publication	Computational Science - ICCS 2020
resource representing a document's body	covid:44baba7d8930077cac10e61346f325f7033b4e99#body_text
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