Agent based models of financial markets follow different approaches and
might be categorized according to major building blocks used. Such building blocks
include agent design, agent evolution and the price finding mechanism. The performance
of agent based models in matching key features of real market processes
depends on how these building blocks are selected and combined. For model comparison,
both measures of model fit and model complexity are required. Some suggestions
are made on how to measure complexity of agent based models. An application for
the foreign exchange market illustrates the potential of this approach.

• Complexity and model comparison in agent based modeling of financial markets