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Author : Leanne J. Ussher
Publisher :
ISBN 13 :
Total Pages : 446 pages
Book Rating : 4.:/5 (843 download)
Download or read book An Agent-based Model of a Speculative Futures Market written by Leanne J. Ussher and published by . This book was released on 2004 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Norman Ehrentreich
Publisher : Springer Science & Business Media
ISBN 13 : 3540738797
Total Pages : 238 pages
Book Rating : 4.5/5 (47 download)
Download or read book Agent-Based Modeling written by Norman Ehrentreich and published by Springer Science & Business Media. This book was released on 2007-10-25 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.
Author : Shu-Heng Chen
Publisher : Oxford University Press
ISBN 13 : 0190877502
Total Pages : 785 pages
Book Rating : 4.1/5 (98 download)
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.
Author : Norman Ehrentreich
Publisher : Springer Science & Business Media
ISBN 13 : 3540738789
Total Pages : 238 pages
Book Rating : 4.5/5 (47 download)
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.
Author : Yoshinori Shiozawa
Publisher : Springer Science & Business Media
ISBN 13 : 4431768238
Total Pages : 173 pages
Book Rating : 4.4/5 (317 download)
Download or read book Artificial Market Experiments with the U-Mart System written by Yoshinori Shiozawa and published by Springer Science & Business Media. This book was released on 2008-04-09 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economics went through great development in the 20th century. This development, which was based mainly on mathematical methods, is not an appropriate method of analyzing markets that change every hour and every day. In a stock market, prices constantly change depending on speculation. U-Mart, a manmade market, has been proposed in order to study such instantly moving markets. Although the U-Mart system is internationally acclaimed for being at the forefront of market research, its use is by no means limited to a small number of researchers on the fringe. The whole system, including its source code, is open and is distributed without charge, testifying to a philosophy of creating and providing a common test bed for research into financial markets.
Author : Mark Steven Rzepczynski
Publisher :
ISBN 13 :
Total Pages : 254 pages
Book Rating : 4.:/5 (153 download)
Download or read book A Study of Speculative Behavior for Primary Government Securities Dealers Through a Market Based Model of Financial Futures Trading written by Mark Steven Rzepczynski and published by . This book was released on 1986 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Damien Challet
Publisher : OUP Oxford
ISBN 13 : 0191546526
Total Pages : 364 pages
Book Rating : 4.1/5 (915 download)
Download or read book Minority Games written by Damien Challet and published by OUP Oxford. This book was released on 2004-11-04 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Minority Game is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders. Its emphasis is on speculative trading and information flow. The book first describes the philosophy lying behind the conception of the Minority Game in 1997, and includes in particular a discussion about the El Farol bar problem. It then reviews the main steps in later developments, including both the theory and its applications to market phenomena. 'Minority Games' gives a colourful and stylized, but also realistic picture of how financial markets operate.
Author : Koen H. van Dam
Publisher : Springer Science & Business Media
ISBN 13 : 9400749333
Total Pages : 285 pages
Book Rating : 4.4/5 (7 download)
Download or read book Agent-Based Modelling of Socio-Technical Systems written by Koen H. van Dam and published by Springer Science & Business Media. This book was released on 2012-10-08 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: Decision makers in large scale interconnected network systems require simulation models for decision support. The behaviour of these systems is determined by many actors, situated in a dynamic, multi-actor, multi-objective and multi-level environment. How can such systems be modelled and how can the socio-technical complexity be captured? Agent-based modelling is a proven approach to handle this challenge. This book provides a practical introduction to agent-based modelling of socio-technical systems, based on a methodology that has been developed at TU Delft and which has been deployed in a large number of case studies. The book consists of two parts: the first presents the background, theory and methodology as well as practical guidelines and procedures for building models. In the second part this theory is applied to a number of case studies, where for each model the development steps are presented extensively, preparing the reader for creating own models.
Author : Barry Goss
Publisher : Routledge
ISBN 13 : 1135639434
Total Pages : 190 pages
Book Rating : 4.1/5 (356 download)
Download or read book Models of Futures Markets written by Barry Goss and published by Routledge. This book was released on 2013-05-13 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents an entirely new analysis of the economics of futures markets, that will be of interest to both specialists in the area and the generalist economist seeking a new perspective. Through a combination of theoretical investigation and empirical application, three important themes are explored: the gains from futures trading and the efforts of emerging markets to reap these benefits; rationality and rival hypotheses of trader behaviour, such as noise trading; and the effect of regulatory tools on price formation.
Author : Mark Rzepczynski
Publisher :
ISBN 13 :
Total Pages : 508 pages
Book Rating : 4.:/5 (174 download)
Download or read book A Study of Speculative Behavior for Primary Government Securities Dealers Through a Market Based Model of Financial Futures Trading written by Mark Rzepczynski and published by . This book was released on 1986 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Petter L. Skantze
Publisher : Springer Science & Business Media
ISBN 13 : 146151701X
Total Pages : 220 pages
Book Rating : 4.4/5 (615 download)
Download or read book Valuation, Hedging and Speculation in Competitive Electricity Markets written by Petter L. Skantze and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: The challenges currently facing particIpants m competitive electricity markets are unique and staggering: unprecedented price volatility, a crippling lack of historical market data on which to test new modeling approaches, and a continuously changing regulatory structure. Meeting these challenges will require the knowledge and experience of both the engineering and finance communities. Yet the two communities continue to largely ignore each other. The finance community believes that engineering models are too detailed and complex to be practically applicable in the fast changing market environment. Engineers counter that the finance models are merely statistical regressions, lacking the necessary structure to capture the true dynamic properties of complex power systems. While both views have merit, neither group has by themselves been able to produce effective tools for meeting industry challenges. The goal of this book is to convey the fundamental differences between electricity and other traded commodities, and the impact these differences have on valuation, hedging and operational decisions made by market participants. The optimization problems associated with these decisions are formulated in the context of the market realities of today's power industry, including a lack of liquidity on forward and options markets, limited availability of historical data, and constantly changing regulatory structures.
Author : Leigh Tesfatsion
Publisher : Elsevier
ISBN 13 : 0080459870
Total Pages : 905 pages
Book Rating : 4.0/5 (84 download)
Download or read book Handbook of Computational Economics written by Leigh Tesfatsion and published by Elsevier. This book was released on 2006-05-15 with total page 905 pages. Available in PDF, EPUB and Kindle. Book excerpt: The explosive growth in computational power over the past several decades offers new tools and opportunities for economists. This handbook volume surveys recent research on Agent-based Computational Economics (ACE), the computational study of economic processes modeled as dynamic systems of interacting agents. Empirical referents for "agents" in ACE models can range from individuals or social groups with learning capabilities to physical world features with no cognitive function. Topics covered include: learning; empirical validation; network economics; social dynamics; financial markets; innovation and technological change; organizations; market design; automated markets and trading agents; political economy; social-ecological systems; computational laboratory development; and general methodological issues. *Every volume contains contributions from leading researchers *Each Handbook presents an accurate, self-contained survey of a particular topic *The series provides comprehensive and accessible surveys
Author : Mauro Gallegati
Publisher : Springer
ISBN 13 : 3319938584
Total Pages : 90 pages
Book Rating : 4.3/5 (199 download)
Download or read book Complex Agent-Based Models written by Mauro Gallegati and published by Springer. This book was released on 2018-09-19 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a thorough introduction to the highly promising complex agent-based approach to economics, in which agent-based models (ABMs) are used to represent economic systems as complex and evolving systems composed of heterogeneous agents of limited rationality who interact with each other, generating the system’s emergent properties in the process. This approach represents a response to the limitations of the dominant theory in economics, which does not consider the possibility of a major crisis, and to the inability of dynamic stochastic general equilibrium theory to generate empirically falsifiable propositions. In the new perspective, the focus is on identifying the elements of instability rather than the triggering event. As the theory of complexity demonstrates, the interactions of heterogeneous agents produce non-linearity: this puts an end to the age of certainties. With ABMs, the methodology is “from the bottom up”. The individual parameters and their distribution are estimated, and then evaluated to verify whether aggregate regularities emerge on the whole. In short, not only micro, but also meso and macro empirical validation are employed. Moreover, it shows that the mantra of growth should be supplanted by the concept of a growth. Given its depth of coverage, the book will enable students at the undergraduate and Master’s level to gain a firm grasp of this important emerging approach. “This book is flower blossomed by one of the two greatest Italian economists.” Bruce Greenwald, Columbia University “The author’s - the ABM prophet’s - thoughts on economics have been at the forefront of the world. Without a firm belief in and dedication to human society, it is impossible to write such a book. This is a work of high academic value, which can help readers quickly understand the history and current situation of complex economic theory. In particular, we can understand the basic viewpoints, academic status, advantages and shortcomings of various schools of economic theory.” Jie Wu, Guangzhou Milestone Software Co., China
Author : Tomaso Poggio
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (129 download)
Download or read book Agent-Based Models of Financial Markets written by Tomaso Poggio and published by . This book was released on 2001 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We construct a computer simulation of a repeated double-auction market, designed to match those in experimental-market settings with human subjects, to model complex interactions among artificially-intelligent traders endowed with varying degrees of learning capabilities. In the course of six different experimental designs, we investigate a number of features of our agent-based model: the price efficiency of the market, the speed at which prices converge to the rational expectations equilibrium price, the dynamics of the distribution of wealth among the different types of AI-agents, trading volume, bid/ask spreads, and other aspects of market dynamics. We are able to replicate several endings of human-based experimental markets, however, we also and intriguing differences between agent-based and human-based experiments.
Author : The Late Frederic S. Lee
Publisher : Edward Elgar Publishing
ISBN 13 : 1782548467
Total Pages : 629 pages
Book Rating : 4.7/5 (825 download)
Download or read book Handbook of Research Methods and Applications in Heterodox Economics written by The Late Frederic S. Lee and published by Edward Elgar Publishing. This book was released on 2016-04-29 with total page 629 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the important methodological critiques of the mainstream offered by heterodox economics, the dominant research method taught in heterodox programmes remains econometrics. This compelling Handbook provides a comprehensive introduction to a range of alternative research methods, invaluable for analysing the data prominent in heterodox studies. Providing a solid basis for a mixed methods approach to economic investigations, the expertly crafted contributions are split into three distinct sections: philosophical foundation and research strategy, research methods and data collection, and applications. Introductions to a host of invaluable methods such as survey, historical, ethnographic, experimental and mixed approaches, together with factor, cluster, complex and social network analytics, are complemented by descriptions of applications in practice. Practical and expansive, this Handbook is highly pertinent for students and scholars of economics, particularly those dedicated to heterodox approaches, as it provides a solid reference for mixed methods not available in mainstream economics research methods courses.
Author : Takao Terano
Publisher : Springer Science & Business Media
ISBN 13 : 4431269258
Total Pages : 259 pages
Book Rating : 4.4/5 (312 download)
Download or read book Agent-Based Simulation: From Modeling Methodologies to Real-World Applications written by Takao Terano and published by Springer Science & Business Media. This book was released on 2006-06-18 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Agent-based modeling/simulation is an emerging field that uses bottom-up and experimental analysis in the social sciences. Selected research from that presented at the Third International Workshop on Agent-Based Approaches in Economic and Social Complex Systems 2004, held in May 2004 in Kyoto, Japan, is included in this book. The aim of the workshop was to employ the bottom-up approach to social and economic problems by modeling, simulation, and analysis using a software agent. This research area is an emerging interdisciplinary field among the social sciences and computer science, attracting broad attention because it introduces a simulation-based experimental approach to problems that are becoming increasingly complex in an era of globalization and innovation in information technology. The state-of-the-art research and findings presented in this book will be indispensable tools for anyone involved in this rapidly growing discipline.
Author : Benjamin Weir
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Using an Agent Based Model and Deep Learning to Simulate and Infer Market Behavior on Networks written by Benjamin Weir and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The financial markets have been affected by the recent advancements in social media. Retail traders often use social media as a source of financial information. This thesis provides a mathematical proof of concept for how retail traders on social media can cause a large change in market price and that it is possible to identify the factors that drive the price change before it is seen in the market. An Agent Based Model is used to simulate a self-contained artificial market on a network. Traders gather pricing information from social media posts created by traders on the network and their own pricing techniques. Trader demographics and network structures are varied to study their results. A network with trader demographics of predominately momentum traders has a threshold corresponding to a large change in market price. The threshold, first discovered in this thesis, is denoted as the Herd Threshold. There is a negative relationship between network clustering and the magnitude of the price change. A convolutional neural network is used to predict trader demographics and network structure. The convolutional neural network has greater success when classifying trader demographics than network structure. This thesis is a foundation for multiple avenues of future work."--Abstract.
