Although agent-based models are not yet ready for practical investment application, they can yield powerful insights about market behavior, particularly in regard to the “second order” inefficiencies that create profit-making opportunities. When practical use of agent-based models becomes possible (perhaps within the next five years), their effectiveness will cause securities prices to change.


Farmer, J. D. 'Toward Agent-Based Models for Investment.' In Developments in Quantitative Investment Models, AIMR (2001).
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