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An Agent Based Simulation Of Double Auction Markets Microform
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Book Synopsis An Agent-based Simulation of Double-auction Markets [microform] by : Ted Xiao Guo
Download or read book An Agent-based Simulation of Double-auction Markets [microform] written by Ted Xiao Guo and published by Library and Archives Canada = Bibliothèque et Archives Canada. This book was released on 2005 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: Agent-based simulation has emerged as a promising research alternative to the traditional analytical approach in studying financial markets. The idea behind agent-based simulation is to constructively model a market in a bottom-up fashion using artificial agents. This thesis aims to accomplish four objectives. The first objective is to present a high-quality software platform that is capable of carrying out agent-based financial market simulations. The second objective is to simulate a double-auction market with this software platform, using homogeneous zero-intelligence agents. The simulation is based on the artificial market model proposed by Smith; Farmer, Gillermot and Krishnamurthy (2003). The third objective is to study the microstructure properties of the simulated double-auction market. In particular, we investigate certain statistical properties for the mid-price, bid-ask spread and limit order book. The fourth and the last objective is to explore and evaluate trading strategies associated with the time-constrained asset liquidation problem through computational agents.
Book Synopsis Bidding Strategies in Agent-Based Continuous Double Auctions by : Huiye Ma
Download or read book Bidding Strategies in Agent-Based Continuous Double Auctions written by Huiye Ma and published by Springer Science & Business Media. This book was released on 2008-09-15 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a new bidding strategy for agents to adopt in continuous double auctions (CDAs) and proposes some generally used tools to enhance the performance of existing bidding strategies in CDAs. It is the first book to focus on CDAs where a limited amount of seller agents and buyer agents trade what they want. The superior performance of the new bidding strategy and the tools proposed by this book are illustrated through extensive experiments.
Book Synopsis The Double Auction Market by : Daniel Friedman
Download or read book The Double Auction Market written by Daniel Friedman and published by Routledge. This book was released on 2018-05-04 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on markets organized as double auctions in which both buyers and sellers can submit bids and asks for standardized units of well-defined commodities and securities. It examines evidence from the laboratory and computer simulations.
Book Synopsis Nasdaq Market Simulation, A: Insights On A Major Market From The Science Of Complex Adaptive Systems by : Vincent Darley
Download or read book Nasdaq Market Simulation, A: Insights On A Major Market From The Science Of Complex Adaptive Systems written by Vincent Darley and published by World Scientific. This book was released on 2007-03-21 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: This pioneering book describes the applications of agent-based modeling to financial markets. It presents a new paradigm for finance, where markets are treated as complex systems whose behavior emerges as a result of interactions of market participants, market institutions, and market rules. This includes both a presentation of the conceptual model and its software implementation. It also summarises the result of the profound research on the successful practical application of this new approach to answer questions regarding the NASDAQ Stock Market's decimalization that was implemented in 2001.The book presents conceptual foundations for modeling markets as complex systems. It describes the agent-based model of the NASDAQ stock market, including strategies used by market-makers and investors, market participants interactions, and impacts of rules and regulations. It includes analyses of simulation behavior, comparison with the behaviors observed in the real-world markets (existence of fat tails, spread clustering, etc.), and predictions about possible outcomes of decimalization. A framework for calibrating the market behavior and individual market-makers strategies to historical data is also presented.
Book Synopsis The Alternating Double Auction Market by : Abdolkarim Sadrieh
Download or read book The Alternating Double Auction Market written by Abdolkarim Sadrieh and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: The alternating double auction market institution is presented as a discrete time version of the open outcry market. The game in extensive form is analyzed in an almost perfect information setting, using the concept of subgame perfectness. By applying two new equilibrium selection criteria, a general existence result is obtained for "impatience equilibria" of the game. All such equilibria are shown to have unique properties concerning the traded quantities and prices. The most important results are that the equilibrium prices are independent of the number of traders and are always very close to - if not inside - the range of competitive prices. The latter can be evaluated as game theoretic support for the convergence of prices to the competitive price. The process of price formation is traced by applying the learning direction theory and introducing the "anchor price hypothesis".
Book Synopsis Agent-Based Modeling by : Norman Ehrentreich
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.
Download or read book The P-strategy written by Sunju Park and published by . This book was released on 1999 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Double Auction Market by : Daniel Friedman
Download or read book The Double Auction Market written by Daniel Friedman and published by Westview Press. This book was released on 1993-03-21 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of papers focuses on markets organized as double auctions (DA). In a double auction, both buyers and sellers can actively present bids (offers to buy) and asks (offers to sell) for standardized units of well-defined commodities and securities. A classic example of a DA market (known by practitioners as an open outcry market) is the commodity trading pit at the Chicago Board of Trade. A related process is a call market, which is used to determine opening prices on the New York Stock Exchange. Already the predominant trading institution for financial and commodities markets, the double auction has many variants and is evolving rapidly in the present era of advancing computer technology and regulatory reform. DA markets are of theoretical as well as practical interest in view of the central role these institutions play in allocating resources. Although the DA has been studied intensively in the laboratory, and practitioners have considerable experience in the field, only recently have tools started to become available to provide the underpinning of a behavioral theory of DA markets.
Book Synopsis Bidding Strategies in Agent-Based Continuous Double Auctions by : Ma Huiye
Download or read book Bidding Strategies in Agent-Based Continuous Double Auctions written by Ma Huiye and published by Birkhäuser. This book was released on 2009-08-29 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a new bidding strategy for agents to adopt in continuous double auctions (CDAs) and proposes some generally used tools to enhance the performance of existing bidding strategies in CDAs. It is the first book to focus on CDAs where a limited amount of seller agents and buyer agents trade what they want. The superior performance of the new bidding strategy and the tools proposed by this book are illustrated through extensive experiments.
Book Synopsis Econophysics of Order-driven Markets by : Frédéric Abergel
Download or read book Econophysics of Order-driven Markets written by Frédéric Abergel and published by Springer Science & Business Media. This book was released on 2011-04-06 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.
Book Synopsis Simulating Interacting Agents and Social Phenomena by : Keiki Takadama
Download or read book Simulating Interacting Agents and Social Phenomena written by Keiki Takadama and published by Springer Science & Business Media. This book was released on 2010-09-02 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: Agent-based modeling and social simulation have emerged as an interdisciplinary area of social science that includes computational economics, organizational science, social dynamics, and complex systems. This area contributes to enriching our understanding of the fundamental processes of social phenomena caused by complex interactions among agents. Bringing together diverse approaches to social simulation and research agendas, this book presents a unique collection of contributions from the Second World Congress on Social Simulation, held in 2008 at George Mason University in Washington DC, USA. This book in particular includes articles on norms, diffusion, social networks, economy, markets and organizations, computational modeling, and programming environments, providing new hypotheses and theories, new simulation experiments compared with various data sets, and new methods for model design and development. These works emerged from a global and interdisciplinary scientific community of the three regional scientific associations for social simulation: the North American Association for Computational Social and Organizational Science (NAACSOS; now the Computational Social Science Society, CSSS), the European Social Simulation Association (ESSA), and the Pacific Asian Association for Agent-bBased Approach in Social Systems Sciences (PAAA).
Book Synopsis Evolutionary Algorithms in Management Applications by : Jörg Biethahn
Download or read book Evolutionary Algorithms in Management Applications written by Jörg Biethahn and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evolutionary Algorithms (EA) are powerful search and optimisation techniques inspired by the mechanisms of natural evolution. They imitate, on an abstract level, biological principles such as a population based approach, the inheritance of information, the variation of information via crossover/mutation, and the selection of individuals based on fitness. The most well-known class of EA are Genetic Algorithms (GA), which have received much attention not only in the scientific community lately. Other variants of EA, in particular Genetic Programming, Evolution Strategies, and Evolutionary Programming are less popular, though very powerful too. Traditionally, most practical applications of EA have appeared in the technical sector. Management problems, for a long time, have been a rather neglected field of EA-research. This is surprising, since the great potential of evolutionary approaches for the business and economics domain was recognised in pioneering publications quite a while ago. John Holland, for instance, in his seminal book Adaptation in Natural and Artificial Systems (The University of Michigan Press, 1975) identified economics as one of the prime targets for a theory of adaptation, as formalised in his reproductive plans (later called Genetic Algorithms).
Book Synopsis E-Commerce and Intelligent Methods by : Javier Segovia
Download or read book E-Commerce and Intelligent Methods written by Javier Segovia and published by Physica. This book was released on 2013-06-05 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers significant recent developments in the field of Intelligent Meth ods applied to eCommerce. The Intelligent Methods considered are mainly Soft Computing Methods that include fuzzy sets, rough sets, neural networks, evolutionary computations, probabilistic and evidential reasoning, multivalued logic, and related fields. There is not doubt about the relevance of eCommerce in our daily environ ments and in the work carried out at many research centers throughout the world. The application of AI to Commerce is growing as fast as the computers and net works are being integrated in all business and commerce aspects. We felt that it was time to sit down and see how was the impact into that field of low-level AI, i.e. softcomputing. We found many scattered contributions disseminated in con ferences, workshops, journal, books or even technical reports, but nothing like a common framework that could serve as a basis for further research, comparison or even prototyping for a direct transfer to the industry. We felt then the need to set up a reference point, a book like this. We planned this book as a recompilation of the newest developments of re searchers who already made some contribution into the field. The authors were se lected based on the originality and quality of their work and its relevance to the field. Authors came from prestigious universities and research centers with differ ent backgrounds.
Book Synopsis Triumph at the falls by : Leland R. Johnson
Download or read book Triumph at the falls written by Leland R. Johnson and published by . This book was released on 2007 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Electronic Commerce and Web Technologies by : Kurt Bauknecht
Download or read book Electronic Commerce and Web Technologies written by Kurt Bauknecht and published by Springer. This book was released on 2003-06-30 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: We welcome you to the Second International Conference on E commerce and Web Technology (ECWEB 2001) held in conjunction with DEXA 2001 in Munich, Germany. This conference, now in its second year, is a forum to bring together researchers from academia and commercial developers from industry to discuss the state of the art in E commerce and web technology and explore new ideas. We thank you all for coming to Munich to participate and debate the new emerging advances in this area. The research presentation and discussion during the conference will help to exchange new ideas among the researchers, developers, and practitioners. The conference program consists of an invited talk by Hannes Werthner, University of Trento, Italy, as well as the technical sessions. The regular sessions cover topics from XML Transformations and Web Development to User Behavior and Case Studies. The workshop has attracted more than 80 papers and each paper has been reviewed by at least 3 program committee members for its merit. The program committee have selected 31 papers for presentation. We would like to express our thanks to the people who helped put together the technical program: the program committee members and external reviewers for their timely and rigorous reviews of the papers, the DEXA organizing committee for their help in administrative work and support, and special thanks to Gabriela Wagner for always responding promptly.
Book Synopsis Electronic Commerce by : Makoto Yokoo
Download or read book Electronic Commerce written by Makoto Yokoo and published by Springer. This book was released on 2008-05-28 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers recent advances in electronic commerce research activities. It aims to encourage activities in this field, and to serve researchers with an interest in electronic commerce. This book is edited from some aspects of e-commerce researches including theoretical mechanism design of trading based on auctions, allocation mechanism based on negotiation among multi-agent, case-study and analysis of e-trading, data engineering issues in e-commerce, and so on.
Book Synopsis Tools and Techniques for Social Science Simulation by : Ramzi Suleiman
Download or read book Tools and Techniques for Social Science Simulation written by Ramzi Suleiman and published by Physica. This book was released on 2000-02-11 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of soical science simulation as a tool for modelling and theory building. It is shown how simulation may be applied to the analysis of social and economic problems using techniques such as multi-agent simulation, cellular automata and multi-level modelling. Particular attention is paid to the sensitivity analysis of model parameters. The book also describes the architecture and user interfaces of several simulation tools. The book is based on an international conference that brought together social scientists and computer scientists engaged in a wide range of simulation approaches. It represents a report on the state of the art in social science simulation.
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