Abstract:

Agent based modeling is an important application of artificial intelligence in the financial sector and a key tool in financial regulatory technology. It is increasingly evolving into an advanced instrument for regulatory technological innovation and has garnered widespread attention from both academia and industry in recent years. As the agent based modeling research paradigm continues to mature， three major research directions have been formed： individual behavior modeling， market mechanism modeling， and model calibration. The research approach to individual behavior modeling has progressively evolved from simplicity to complexity （how to replicate more stylized facts） and then from complexity back to simplicity （whether complex models can explain more market dynamics）. Market mechanism modeling is relatively easier to understand， and the modeling process itself is highly important. Researchers continue to dedicate efforts to uncovering the interactive mechanisms between individual behavior and market structures in complex emergent market phenomena. Model calibration has gradually become a standard step in agent based modeling research， reflecting the increasing standardization and maturity of the research paradigm. The order book model， as the trading mechanism most closely aligned with real market operations， has become a focal point of research in agent-based modeling in recent years. Currently， the agent-based order book models are already capable of replicating some of the stylized facts observed in empirical studies， providing important credibility assurance for constructing order book mechanism models that are highly consistent with the A-share market.

Key words: agent based model, order book market, behavioral modeling, market mechanism design, model calibration