Download or read book Behavioural Biases and Evolutionary Dynamics in an Agent based Financial Market written by Tongya Wang and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Financial Markets Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Download or read book Agent Based Modeling written by Norman Ehrentreich and published by Springer Science & Business Media. This book was released on 2007-10-30 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reconciles the existence of technical trading with the Efficient Market Hypothesis. By analyzing a well-known agent-based model, the Santa Fe Institute Artificial Stock Market (SFI-ASM), it finds that when selective forces are weak, financial evolution cannot guarantee that only the fittest trading rules will survive. Its main contribution lies in the application of standard results from population genetics which have widely been neglected in the agent-based community.
Download or read book The Oxford Handbook of Computational Economics and Finance written by Shu-Heng Chen and published by Oxford University Press. This book was released on 2018-01-12 with total page 785 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.
Download or read book Evolutionary Dynamics in Financial Markets with Many Trader Types written by William A. Brock and published by . This book was released on 2001 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Network Theory and Agent Based Modeling in Economics and Finance written by Anindya S. Chakrabarti and published by Springer Nature. This book was released on 2019-10-23 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the latest findings on network theory and agent-based modeling of economic and financial phenomena. In this context, the economy is depicted as a complex system consisting of heterogeneous agents that interact through evolving networks; the aggregate behavior of the economy arises out of billions of small-scale interactions that take place via countless economic agents. The book focuses on analytical modeling, and on the econometric and statistical analysis of the properties emerging from microscopic interactions. In particular, it highlights the latest empirical and theoretical advances, helping readers understand economic and financial networks, as well as new work on modeling behavior using rich, agent-based frameworks. Innovatively, the book combines observational and theoretical insights in the form of networks and agent-based models, both of which have proved to be extremely valuable in understanding non-linear and evolving complex systems. Given its scope, the book will capture the interest of graduate students and researchers from various disciplines (e.g. economics, computer science, physics, and applied mathematics) whose work involves the domain of complexity theory.
Download or read book Behavioral Finance and Agent Based Artificial Markets written by Milan Lovric and published by . This book was released on 2011 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Handbook of Post Crisis Financial Modelling written by Emmanuel Haven and published by Palgrave Macmillan. This book was released on 2015-11-25 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2008 financial crisis was a watershed moment which clearly influenced the public's perception of the role of 'finance' in society. Since 2008, a plethora of books and newspaper articles have been produced accusing the academic community of being unable to produce valid models which can accommodate those extreme events. This unique Handbook brings together leading practitioners and academics in the areas of banking, mathematics, and law to present original research on the key issues affecting financial modelling since the 2008 financial crisis. As well as exploring themes of distributional assumptions and efficiency the Handbook also explores how financial modelling can possibly be re-interpreted in light of the 2008 crisis.
Download or read book Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets written by Igor V. Evstigneev and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Evolutionary Computation in Economics and Finance written by Shu-Heng Chen and published by Springer Science & Business Media. This book was released on 2002-05-27 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: After a decade's development, evolutionary computation (EC) proves to be a powerful tool kit for economic analysis. While the demand for this equipment is increasing, there is no volume exclusively written for economists. This volume for the first time helps economists to get a quick grasp on how EC may support their research. A comprehensive coverage of the subject is given, that includes the following three areas: game theory, agent-based economic modelling and financial engineering. Twenty leading scholars from each of these areas contribute a chapter to the volume. The reader will find himself treading the path of the history of this research area, from the fledgling stage to the burgeoning era. The results on games, labour markets, pollution control, institution and productivity, financial markets, trading systems design and derivative pricing, are new and interesting for different target groups. The book also includes informations on web sites, conferences, and computer software.
Download or read book Essentials of Econophysics Modelling written by Frantisek Slanina and published by Oxford University Press, USA. This book was released on 2014 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a course in methods and models rooted in physics and used in modelling economic and social phenomena. It covers the discipline of econophysics, which creates an interface between physics and economics. Besides the main theme, it touches on the theory of complex networks and simulations of social phenomena in general. After a brief historical introduction, the book starts with a list of basic empirical data and proceeds to thorough investigation of mathematical and computer models. Many of the models are based on hypotheses of the behaviour of simplified agents. These comprise strategic thinking, imitation, herding, and the gem of econophysics, the so-called minority game. At the same time, many other models view the economic processes as interactions of inanimate particles. Here, the methods of physics are especially useful. Examples of systems modelled in such a way include books of stock-market orders, and redistribution of wealth among individuals. Network effects are investigated in the interaction of economic agents. The book also describes how to model phenomena like cooperation and emergence of consensus. The book will be of benefit to graduate students and researchers in both Physics and Economics.
Download or read book A Bottom up Approach to the Financial Markets written by Babak Mahdavi-Damghani and published by . This book was released on 2019 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we propose a new approach to studying the financial markets. Instead of the traditional top- down approach where a Brownian Motion is assumed as the main driving force behind the market movement (and where dynamic strategies are built as a result), we rather take the opposite point of view (the bottom-up approach) by assuming that it is the interaction of systematic strategies that induces the dynamics of the market. We achieve this shift in perspective, by re-introducing the High Frequency Trading Ecosystem (HFTE) model. More specifically we specify an approach in which agents interact through a Neural Network structure designed to address the complexity demands of most common financial strategies but designed randomly at inception. This strategy ecosystem is then studied through a simplified genetic algorithm. Taking an approach in which simulation and hypothesis interact in order to improve the theory, we explore areas that are usually associated to fields orthogonal to Quantitative Finance such as Evolutionary Dynamics & predator-prey models. We introduce in that context concepts such as the Path of Interaction in order to study our Ecosystem of strategies through time. Finally a Particle Filter methodology is then proposed to track the market ecosystem through time.
Download or read book Temporary Equilibrium written by Jean-Michel Grandmont and published by . This book was released on 1988 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collection of journal articles reproduced in this volume provides a synthesis of the progress made in the last 15 years in the theory of temporary equilibrium. Key Features * Decision making * Competitive assets markets * Models of money * Deterministic dynamics * Stochastic processes * Quantity rationing
Download or read book Innovative Approaches in Agent Based Modelling and Business Intelligence written by Setsuya Kurahashi and published by Springer. This book was released on 2018-12-08 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book thoroughly prepares intermediate-level readers for research in social science, organization studies, economics, finance, marketing science, and business science as complex adaptive systems. It presents the advantages of social simulation studies and business intelligence to those who are not familiar with the computational research approach, and offers experienced modelers various instructive examples of using agent-based modeling and business intelligence approaches to inspire their own work. In addition, the book discusses cutting-edge techniques for complex adaptive systems using their applications. To date, business science studies have focused only on data science and analyses of business problems. However, using these studies to enhance the capabilities of conventional techniques in the fields has not been investigated adequately. This book addresses managing the issues of societies, firms, and organizations to profit from interaction with agent-based modeling, human- and computer- mixed systems, and business intelligence approaches, an area that is fundamental for complex but bounded rational business environments. With detailed research by leading authors in the field, Innovative Approaches in Agent-Based Modelling and Business Intelligence inspires readers to join with other disciplines and extend the scope of the book with their own unique contributions. It also includes the common challenges encountered in computational social science and business science to enable researchers, students, and professionals to resolve their own problems.
Download or read book Growing Artificial Societies written by Joshua M. Epstein and published by Brookings Institution Press. This book was released on 1996-10-11 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: ""Growing Artificial Societies" is a milestone in social science research. It vividly demonstrates the potential of agent-based computer simulation to break disciplinary boundaries. It does this by analyzing in a unified framework the dynamic interactions of such diverse activities as trade, combat, mating, culture, and disease. It is an impressive achievement." -- Robert Axelrod, University of Michigan How do social structures and group behaviors arise from the interaction of individuals? "Growing Artificial Societies" approaches this question with cutting-edge computer simulation techniques. Fundamental collective behaviors such as group formation, cultural transmission, combat, and trade are seen to "emerge" from the interaction of individual agents following a few simple rules. In their program, named Sugarscape, Epstein and Axtell begin the development of a "bottom up" social science that is capturing the attention of researchers and commentators alike. The study is part of the 2050 Project, a joint venture of the Santa Fe Institute, the World Resources Institute, and the Brookings Institution. The project is an international effort to identify conditions for a sustainable global system in the next century and to design policies to help achieve such a system. "Growing Artificial Societies" is also available on CD-ROM, which includes about 50 animations that develop the scenarios described in the text. "Copublished with the Brookings Institution"
Download or read book Simulation of Financial Markets with Agent Based Model written by Hajime Kita and published by Springer. This book was released on 2015-12-25 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book takes up unique agent-based approaches to solving problems related to stock and their derivative markets. Toward this end, the authors have worked for more than 15 years on the development of an artificial market simulator called U-Mart for use as a research and educational tool. A noteworthy feature of the U-Mart simulator compared to other artificial market simulators is that U-Mart is an ultra-realistic artificial stock and their derivative market simulator. For example, it can simulate “arrowhead,” a next-generation trading system used in the Tokyo Stock Exchange and other major markets, as it takes into consideration the institutional design of the entire market. Another interesting feature of the U-Mart simulator is that it permits both human and computer programs to participate simultaneously as traders in the artificial market. In this book, first the details of U-Mart are explained, enabling readers to install and run the simulator on their computers for research and educational purposes. The simulator thus can be used for gaming simulation of the artificial market and even for users as agents to implement their own trading strategies for agent-based simulation (ABS).The book also presents selected research cases using the U-Mart simulator. Here, topics include automated acquisition of trading strategy using artificial intelligence techniques, evaluation of a market maker system to treat thin markets such as those for small and regional businesses, systemic risk analysis of the financial market considering institutional design of the market, and analysis of how humans behave and learn in gaming simulation. New perspectives on artificial market research are provided, and the power, potential, and challenge of ABS are discussed. As explained in this important work, ABS is considered to be an effective tool as the third approach of social science, an alternative to traditional literary and mathematical approaches.
Download or read book Long Memory in Economics written by Gilles Teyssière and published by Springer Science & Business Media. This book was released on 2006-09-22 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.
