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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.

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