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sbenthall / SHARKFin

Simulating Heterogeneous Agents with Finance
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equilibrium expectations with an arbitrary market class? #51

Open sbenthall opened 2 years ago

sbenthall commented 2 years ago

SHARKFin has several implementations of a financial market, and may have more in the future.

While the macro-agents do not currently have rational expectations of the market, they could potentially be given a learning function that learns those expectations based on Monte Carlo simulation.

Currently, the expectations of the macro-agents are set by the FinancialModel class. The current implementation is the backwards-looking, statistical inference process designed by John.

An alternative FinancialModel implementation might load expectations data from an external file, which had the data for a model that was trained via convergent Monte Carlo.

sbenthall commented 2 years ago

Look into whether the HARK.Market class can be used for this.