Complexity In Financial Markets

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Complexity in Financial Markets

Author : Matthieu Cristelli
Publisher : Springer Science & Business Media
ISBN 13 : 3319007238
Total Pages : 223 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Complexity in Financial Markets by : Matthieu Cristelli

Download or read book Complexity in Financial Markets written by Matthieu Cristelli and published by Springer Science & Business Media. This book was released on 2013-08-28 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tools and methods from complex systems science can have a considerable impact on the way in which the quantitative assessment of economic and financial issues is approached, as discussed in this thesis. First it is shown that the self-organization of financial markets is a crucial factor in the understanding of their dynamics. In fact, using an agent-based approach, it is argued that financial markets’ stylized facts appear only in the self-organized state. Secondly, the thesis points out the potential of so-called big data science for financial market modeling, investigating how web-driven data can yield a picture of market activities: it has been found that web query volumes anticipate trade volumes. As a third achievement, the metrics developed here for country competitiveness and product complexity is groundbreaking in comparison to mainstream theories of economic growth and technological development. A key element in assessing the intangible variables determining the success of countries in the present globalized economy is represented by the diversification of the productive basket of countries. The comparison between the level of complexity of a country's productive system and economic indicators such as the GDP per capita discloses its hidden growth potential.

Financial Market Complexity

Author :
Publisher :
ISBN 13 :
Total Pages : 254 pages
Book Rating : 4.:/5 (771 download)

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Book Synopsis Financial Market Complexity by :

Download or read book Financial Market Complexity written by and published by . This book was released on 2003 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Complexity and Crisis in the Financial System

Author : Matthew Hollow
Publisher : Edward Elgar Publishing
ISBN 13 : 1783471336
Total Pages : 360 pages
Book Rating : 4.7/5 (834 download)

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Book Synopsis Complexity and Crisis in the Financial System by : Matthew Hollow

Download or read book Complexity and Crisis in the Financial System written by Matthew Hollow and published by Edward Elgar Publishing. This book was released on 2016-01-29 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: What are the long-term causes and consequences of the global financial crisis of 2007–2008? This book offers a fresh perspective on these issues by bringing together a range of academics from law, history, economics and business to look in more depth at the changing relationships between crises and complexity in the US and UK financial markets. The contributors are motivated by three main questions: • Is the present financial system more complex than in the past and, if so, why? • To what extent, and in what ways, does the worldwide financial crisis of 2007–2008 differ from past financial crises? • How can governments, regulators and businesses better manage and deal with increased levels of complexity both in the present and in the future? Students and scholars of finance, economics, history, financial law, banking and international business will find this book to be of interest. It will also be of use to regulators and policymakers involved in the US and UK banking sectors.

Special Issue: New Facets of the Economic Complexity in Modern Financial Markets

Author : Catherine Kyrtsou
Publisher :
ISBN 13 :
Total Pages : 588 pages
Book Rating : 4.:/5 (878 download)

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Book Synopsis Special Issue: New Facets of the Economic Complexity in Modern Financial Markets by : Catherine Kyrtsou

Download or read book Special Issue: New Facets of the Economic Complexity in Modern Financial Markets written by Catherine Kyrtsou and published by . This book was released on 2013 with total page 588 pages. Available in PDF, EPUB and Kindle. Book excerpt:

New Facets of Economic Complexity in Modern Financial Markets

Author : Catherine Kyrtsou
Publisher : Routledge
ISBN 13 : 042958394X
Total Pages : 273 pages
Book Rating : 4.4/5 (295 download)

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Book Synopsis New Facets of Economic Complexity in Modern Financial Markets by : Catherine Kyrtsou

Download or read book New Facets of Economic Complexity in Modern Financial Markets written by Catherine Kyrtsou and published by Routledge. This book was released on 2020-06-04 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is motivated by the disruptions introduced by the financial crisis and the many attempts that have followed to propose new ideas and remedies. Assembling contributions by authors from a variety of backgrounds, this collection illustrates the potentials resulting from the marriage of financial economics, complexity theory and an out-of-equilibrium view of the economic world. Challenging the traditional hypotheses that lie behind financial market functioning, new evidence is provided about the hidden factors fuelling bubbles, the impact of agents’ heterogeneity, the importance of endogeneity in the information transmission mechanism, the dynamics of herding, the sources of volatility, the portfolio optimization techniques, the financial innovation and the trend identification in a nonlinear time-series framework. Presenting the advances made in financial market analysis, and putting emphasis on nonlinear dynamics, this book suggests interdisciplinary methodologies for the study of well-known stylised facts and financial abnormalities. This book was originally published as a special issue of The European Journal of Finance.

Complex Systems in Finance and Econometrics

Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Why Stock Markets Crash

Author : Didier Sornette
Publisher : Princeton University Press
ISBN 13 : 1400885094
Total Pages : 448 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Why Stock Markets Crash by : Didier Sornette

Download or read book Why Stock Markets Crash written by Didier Sornette and published by Princeton University Press. This book was released on 2017-03-21 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash. Most attempts to explain market failures seek to pinpoint triggering mechanisms that occur hours, days, or weeks before the collapse. Sornette proposes a radically different view: the underlying cause can be sought months and even years before the abrupt, catastrophic event in the build-up of cooperative speculation, which often translates into an accelerating rise of the market price, otherwise known as a "bubble." Anchoring his sophisticated, step-by-step analysis in leading-edge physical and statistical modeling techniques, he unearths remarkable insights and some predictions--among them, that the "end of the growth era" will occur around 2050. Sornette probes major historical precedents, from the decades-long "tulip mania" in the Netherlands that wilted suddenly in 1637 to the South Sea Bubble that ended with the first huge market crash in England in 1720, to the Great Crash of October 1929 and Black Monday in 1987, to cite just a few. He concludes that most explanations other than cooperative self-organization fail to account for the subtle bubbles by which the markets lay the groundwork for catastrophe. Any investor or investment professional who seeks a genuine understanding of looming financial disasters should read this book. Physicists, geologists, biologists, economists, and others will welcome Why Stock Markets Crash as a highly original "scientific tale," as Sornette aptly puts it, of the exciting and sometimes fearsome--but no longer quite so unfathomable--world of stock markets.

Simulation of Financial Markets with Agent-Based Model

Author : Hajime Kita
Publisher : Springer
ISBN 13 : 9784431550563
Total Pages : 0 pages
Book Rating : 4.5/5 (55 download)

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Book Synopsis Simulation of Financial Markets with Agent-Based Model by : Hajime Kita

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.

Financial Market Complexity: What Physics Can Tell Us about Market Behaviour

Author : Neil F Johnson
Publisher :
ISBN 13 : 9780191712104
Total Pages : 254 pages
Book Rating : 4.7/5 (121 download)

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Book Synopsis Financial Market Complexity: What Physics Can Tell Us about Market Behaviour by : Neil F Johnson

Download or read book Financial Market Complexity: What Physics Can Tell Us about Market Behaviour written by Neil F Johnson and published by . This book was released on 2003 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work draws on ideas from the science of complexity and complex systems, to address the following questions: how do financial markets behave? why is this? and what can we do to minimize risk, given this behaviour?

The Science of Financial Market Trading

Author : Don K Mak
Publisher : World Scientific
ISBN 13 : 9814486841
Total Pages : 260 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis The Science of Financial Market Trading by : Don K Mak

Download or read book The Science of Financial Market Trading written by Don K Mak and published by World Scientific. This book was released on 2003-03-19 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, Dr Mak views the financial market from a scientific perspective. The book attempts to provide a realistic description of what the market is, and how future research should be developed. The market is a complex phenomenon, and can be forecasted only with errors — if that particular market can be forecasted at all. The book reviews the scientific literatures on the financial market and describes mathematical procedures which demonstrate that some markets are non-random. How the markets are modeled — phenomenologically and from first principle — is explained. It discusses indicators, which are quite objective, rather than price patterns, which are rather subjective. Similarities between indicators in market trading and operators in mathematics are noted, and particularly, between oscillator indicators and derivatives in Calculus. It illustrates why some indicators, e.g., Stochastics, have limited usage. Several new indicators are designed and tested on theoretical waveforms to check their validity and applicability. The indicators have a minimal time lag, which is significant for trading purposes. Common market behaviors like divergences between price and momentum are explained. A skipped convolution technique is introduced to allow traders to pick up market movements at an earlier time. The market is treated as a nonlinear phenomenon. Forecasting of when the market is going to turn is emphasized. Contents:Is the Market Random?Models of the Financial MarketsSignals and IndicatorsTrending IndicatorsOscillator IndicatorsVertex IndicatorsVarious TimeframesWavelet AnalysisOther New TechniquesTrading SystemsFinancial Markets are Complex Readership: Investors, traders and undergraduate students of finance. Keywords:Trading;Complexity;Financial Market;Digital Signal ProcessingReviews:“… chapters of the book are devoted to signals and indicators that can model differences in successive price values, market tops and bottoms and other market's specific features. Several new indicators are designed. They are tested on theoretical wave forms before being applied on real market data. It is explained why certain market movements follow certain indicator response. Divergences between price and certain indicator responses are interpreted … Computer programs of the new indicators are included.”Zentralblatt MATH “The Science of Financial Market Trading by Don K Mak is an advanced level book that addresses several methodologies related to technical analysis in trading. The audience for the book may include (1) Institutional investment analysts with graduate level academic background, (2) Fund managers, who use many external sources for trading, (3) Graduate students in the field of finance and financial economics who want to find a career in financial market trading, and (4) PhD students who want to research in technical analysis … The book is written to draw audiences from both practitioners and academics and manages to keep the readers away from too much mathematical derivations. However, mathematical derivations are left in the Appendix for those who are interested in understanding the details … the book is well written from the beginning to the end, and chapters are well developed and well connected.”Journal of Risk and Insurance “The book draws heavily on mathematical modeling, digital information processing methods and mathematical tables to explain the movement of indicators under different conditions. The mathematical derivations and other mathematical techniques performed on these new indicators are useful for readers who want to acheive a deeper understanding of the financial market.”Translated from the Overseas Humanities Literature Wuhan University Newsletter

Managing Complexity

Author : G. Rzevski
Publisher : WIT Press
ISBN 13 : 1845649362
Total Pages : 217 pages
Book Rating : 4.8/5 (456 download)

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Book Synopsis Managing Complexity by : G. Rzevski

Download or read book Managing Complexity written by G. Rzevski and published by WIT Press. This book was released on 2014-03-25 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: Managing Complexity is the first book that clearly defines the concept of Complexity, explains how Complexity can be measured and tuned, and describes the seven key features of Complex Systems: ConnectivityAutonomyEmergencyNonequilibriumNon-linearitySelf-organisationCo-evolution The thesis of the book is that complexity of the environment in which we work and live offers new opportunities and that the best strategy for surviving and prospering under conditions of complexity is to develop adaptability to perpetually changing conditions. An effective method for designing adaptability into business processes using multi-agent technology is presented and illustrated by several extensive examples, including adaptive, real-time scheduling of taxis, see-going tankers, road transport, supply chains, railway trains, production processes and swarms of small space satellites. Additional case studies include adaptive servicing of the International Space Station; adaptive processing of design changes of large structures such as wings of the largest airliner in the world; dynamic data mining, knowledge discovery and distributed semantic processing. Finally, the book provides a foretaste of the next generation of complex issues, notably, The Internet of Things, Smart Cities, Digital Enterprises and Smart Logistics.

Complexity and the Economy

Author : W. Brian Arthur
Publisher : Oxford University Press, USA
ISBN 13 : 0199334293
Total Pages : 241 pages
Book Rating : 4.1/5 (993 download)

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Book Synopsis Complexity and the Economy by : W. Brian Arthur

Download or read book Complexity and the Economy written by W. Brian Arthur and published by Oxford University Press, USA. This book was released on 2015 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of previous published papers by the author on the subject of complexity economics, appearing from the 1980s to the present.

Introduction to Econophysics

Author : Rosario N. Mantegna
Publisher : Cambridge University Press
ISBN 13 : 1139431226
Total Pages : 164 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Introduction to Econophysics by : Rosario N. Mantegna

Download or read book Introduction to Econophysics written by Rosario N. Mantegna and published by Cambridge University Press. This book was released on 1999-11-13 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.

Coping with the Complexity of Financial Markets

Author : Daniel Fricke
Publisher :
ISBN 13 :
Total Pages : 223 pages
Book Rating : 4.:/5 (853 download)

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Book Synopsis Coping with the Complexity of Financial Markets by : Daniel Fricke

Download or read book Coping with the Complexity of Financial Markets written by Daniel Fricke and published by . This book was released on 2013 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Decoding Complexity

Author : james glattfelder
Publisher : Springer Science & Business Media
ISBN 13 : 3642334245
Total Pages : 235 pages
Book Rating : 4.6/5 (423 download)

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Book Synopsis Decoding Complexity by : james glattfelder

Download or read book Decoding Complexity written by james glattfelder and published by Springer Science & Business Media. This book was released on 2012-11-08 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: Today it appears that we understand more about the universe than about our interconnected socio-economic world. In order to uncover organizational structures and novel features in these systems, we present the first comprehensive complex systems analysis of real-world ownership networks. This effort lies at the interface between the realms of economics and the emerging field loosely referred to as complexity science. The structure of global economic power is reflected in the network of ownership ties of companies and the analysis of such ownership networks has possible implications for market competition and financial stability. Thus this work presents powerful new tools for the study of economic and corporate networks that are only just beginning to attract the attention of scholars.

Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems

Author : Cars Hommes
Publisher : Cambridge University Press
ISBN 13 : 110701929X
Total Pages : 273 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems by : Cars Hommes

Download or read book Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems written by Cars Hommes and published by Cambridge University Press. This book was released on 2013-01-24 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recognising that the economy is a complex system with boundedly rational interacting agents, applies complexity modelling to economics and finance.

Creating a Safer Financial System

Author : José Vinãls
Publisher : International Monetary Fund
ISBN 13 : 1484340949
Total Pages : 27 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Creating a Safer Financial System by : José Vinãls

Download or read book Creating a Safer Financial System written by José Vinãls and published by International Monetary Fund. This book was released on 2013-05-14 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S., the U.K., and more recently, the E.U., have proposed policy measures directly targeting complexity and business structures of banks. Unlike other, price-based reforms (e.g., Basel 3 and G-SIFI surcharges), these proposals have been developed unilaterally with material differences in scope, design and implementation schedules. This may exacerbate cross-border regulatory arbitrage and put a further burden on consolidated supervision and cross-border resolution. This paper provides an analysis of the potential implications of implementing different structural policy measures. It proposes a pragmatic and coordinated approach to development of these policies to reduce risk of regulatory arbitrage and minimize unintended consequences. In doing so, it also aims to identify a set of common policy measures that countries could adopt to re-scope bank business models and corporate structures.