0522039 20240103223721.920200211235959.9 000527281300003 85079838299 10.1016/j.jedc.2020.103855 23 s. P cav_un_epca*02511950165-1889113Elsevier complex systems financial agent-based models time series analysis multifractal analysis detrended fluctuation analysis cav_un_auth*0293468 Kukačka Jiří UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0256902 Krištoufek Ladislav UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. https://www.sciencedirect.com/science/article/pii/S0165188920300257 http://library.utia.cas.cz/separaty/2020/E/kukacka-0522039.pdf cav_un_auth*0351447 GJ17-12386Y GA ČR CZ Agent-based models are usually claimed to generate complex dynamics, however, the link to such complexity has not been subject to rigorous examination. This paper studies this link between the complexity of financial time series - measured by their multifractal properties - and the design of various small-scale agent-based frameworks used to model the heterogeneity of financial markets. Nine popular models are analyzed, and while some of the models do not generate interesting multifractal patterns, we observe the strongest tendency towards multifractal behavior for the Bornholdt Ising model, the discrete choice-based models by Gaunersdorfer & Hommes and Schmitt & Westerhoff, and the transition probabilities-based framework by Franke & Westerhoff. Complexity is thus not an automatic feature of the time series generated by any agent-based model but generated only by models with specific properties. In addition, because multifractality is considered a financial stylized fact, its presence can be used as a new means to validate such models. 2021 AH WOS 50000 50200 50206 2 RVO:67985556 http://hdl.handle.net/11104/0306972 1 S 103855 1* Article Economics C ECONOMICS 2.160 0.367 11.5 0.00689 1.062 6328 106 1.181 46.51 1.5 657 Q1 1.423 120 Q3 58.231 39 Q2 Q1 0.66 Q2 38.963 2020 85079838299 SCOPUS PUBMED 000527281300003 WOS cav_un_epca*0251195 Journal of Economic Dynamics & Control 0165-1889 1879-1743 Roč. 113 č. 1 2020 Elsevier