Essays On Artificial Stock Market Methods

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Essays on Artificial Stock Market Methods

Author : Yiping Xu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (759 download)

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Book Synopsis Essays on Artificial Stock Market Methods by : Yiping Xu

Download or read book Essays on Artificial Stock Market Methods written by Yiping Xu and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation proposes a two-risky-asset Artificial Stock Market Model and investigates its applications in financial markets. In the first essay, this model is applied to the stock market. Simulation results show that within some range of the parameters, the model can replicate many stylized facts of real financial data and some financial anomalies. This essay also finds that the dynamics of the model and the simulated results can be explained well by two approximation equations: the bubble pricing equation and the mean difference equation of the market share. The second essay applies the noise trader version of this model to the foreign exchange market and aims at solving the equilibria selection dilemma in the context of Kareken and Wallace (1981). The simulation results show that if agents have full memory, the average portfolio fraction will converge and the initial equilibrium that it converges to is history dependent. However under the lasting evolutionary pressure brought by the noise trader, the asymptotical outcome will be history independent. The model will converge to the neighborhood of an equilibrium with agents equally putting their savings into two currencies. If the agents do not have full memory, the foreign exchange market will show periodic crises. Before and after a market crisis, the exchange rate will converge to different stationary equilibria. A mean difference equation of the average portfolio fraction is also given to describe the dynamics of the model. The third essay aims at revealing the role played by the self-referential process inside the artificial stock models, and studying how it is related to the model performance. Three potential dangers that can make a GA learning model degenerate to a pure numerical optimization process are identified. It is also found that although the strength of the self-referential process may not change the convergence property of a GA model, it may lead to substantial differences in the model dynamics before the convergence is achieved.

Essays on Financial Applications of Nonlinear Models

Author : Wanbin Wang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (144 download)

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Book Synopsis Essays on Financial Applications of Nonlinear Models by : Wanbin Wang

Download or read book Essays on Financial Applications of Nonlinear Models written by Wanbin Wang and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we examine the relationship between news and the stock market. Further, we explore methods and build new nonlinear models for forecasting stock price movement and portfolio optimization based on past stock prices and on one type of big data, news items, which are obtained through the RavenPack News Analytics Global Equities editions. The thesis consists of three essays. In Essay 1, we investigate the relationship between news items and stock prices using the artificial neural network (ANN) model. First, we use Granger causality to ascertain how news items affect stock prices. The results show that news volume is not the Granger cause of stock price change; rather, news sentiment is. Second, we test the semi-strong form efficient market hypothesis, whereas most existing research testing efficient market hypothesis focuses on the weak-form version. Our ANN strategies consistently outperform the passive buy-and-hold strategy and this finding is apparently at odds with the notion of the efficient market hypothesis. Finally, using news sentiment analytics from RavenPack Dow Jones News Analytics, we show positive profitability with out-of-sample prediction using the proposed ANN strategies for Google Inc. (NASDAQ: GOOG). In Essay 2, we expand the utility of the information from news volume and news sentiments to encompass portfolio diversification. For the Dow Jones Industrial Average (DJIA) components, we assign different weights to build portfolios according to their weekly news volumes or news sentiments. Our results show that news volume contributes to portfolio variance both in-sample and out-of-sample: positive news sentiment contributes to the portfolio return in-sample, while negative contributes to the portfolio return out-of-sample, which is a consequence of investors overreacting to the news sentiment. Further, we propose a novel approach to portfolio diversification using the k-Nearest Neighbors (kNN) algorithm based on the idea that news sentiment correlates with stock returns. Out-of-sample results indicate that such strategy dominates the benchmark DJIA index portfolio. In Essay 3, we propose a new model called the Combined Markov and Hidden Markov Model (CMHMM), in which observation is affected by a Markov model and an HMM (Hidden Markov Model) model. The three fundamental questions of the CMHMM are discussed. Further, the application of the CMHMM, in which the news sentiment is one observation and the stock return is the other, is discussed. The empirical results of the trading strategy based on the CMHMM show the potential applications of the proposed model in finance. This thesis contributes to the literature in a number of ways. First, it extends the literature on financial applications of nonlinear models. We explore the applications of the ANNs and kNN in the financial market. Besides, the proposed new CMHMM model adheres to the nature of the stock market and has better potential prediction ability. Second, the empirical results from this dissertation contribute to the understanding of the relationship between news and the stock market. For instance, our research found that news volume contributes to the portfolio return and that investors overreact to news sentiment--a phenomenon that has been discussed by other scholars from different angles.

Essays on Artificial Intelligence in Personalized Markets

Author : Imanol Arrieta-Ibarra
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)

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Book Synopsis Essays on Artificial Intelligence in Personalized Markets by : Imanol Arrieta-Ibarra

Download or read book Essays on Artificial Intelligence in Personalized Markets written by Imanol Arrieta-Ibarra and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Personalized markets have become ubiquitous in recent years. Matching platforms such as Uber or Airbnb, social networks like Facebook and Twitter, online marketplaces such as Amazon, all provide individualized experiences to different users based on their unique characteristics and preferences. Analyzing these markets in depth requires a multidisciplinary approach. In particular, it requires a closer relation between Economic Theory and Artificial Intelligence. In this work I'll present two examples that interlink both disciplines in order to analyze these markets. Chapter 1 presents a novel algorithm which we call PBDM that personalizes the BDM mechanism, introduced by Becker, DeGroot, and Marschack. The BDM mechanism has been recently used as a treatment assignment mechanism in order to estimate the treatment effects of policy interventions while simultaneously measuring the demand for the intervention. In this work, we develop a personalized extension of the classic BDM mechanism using modern machine learning algorithms to predict an individual's willingness to pay. This lowers the cost for experimenters, provides better balance over covariates that are correlated with both the outcome and willingness to pay, and eliminates biases induced by ad-hoc boundaries in the classic BDM algorithm. Chapter 2 covers an exercise to estimate the economic value of data in algorithms with an application to ride-sharing. We present a novel approach to estimating an upper bound for the economic value of data due to its role in algorithms. Our method does not assume that users have failed to internalize any costs in data production (such as privacy), and show that the price of data is in great part determined by the power dynamics present in markets. We apply our method to ride-sharing by simulating a market using data from a large ride-sharing platform (Uber). We estimate that in our scenario, with users having full market power, data would contribute up to 47% of Uber's revenue. This would translate to average payments to drivers of up to approximately $30 per day, solely as compensation for the value of the data they generate as drivers, which corresponds to 20 to 40 percent of a average driver's daily earnings. Most of the increase would be absorbed by Uber. However, depending on the conditions of the ride-sharing market, these payments could be passed on to riders through rate increases.

Essays on Algorithmic Trading

Author : Markus Gsell
Publisher : Columbia University Press
ISBN 13 : 3838201140
Total Pages : 228 pages
Book Rating : 4.8/5 (382 download)

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Book Synopsis Essays on Algorithmic Trading by : Markus Gsell

Download or read book Essays on Algorithmic Trading written by Markus Gsell and published by Columbia University Press. This book was released on 2010-07-09 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Technological innovations are altering the traditional value chain in securities trading. Hitherto the order handling, i.e. the appropriate implementation of a general trading decision into particular orders, has been a core competence of brokers. Labeled as Algorithmic Trading, the automation of this task recently found its way both into the brokers' portfolio of service offerings as well as to their customers' trading desks. The software performing the order handling thereby constantly monitors the market(s) in real-time and further evaluates historical data to dynamically determine appropriate points in time for trading. Within only a few years, this technology propagated itself among market participants along the entire value chain and has nowadays gained a significant market share on securities markets worldwide. Surprisingly, there has been only little research analyzing the impact of this special type of trading on markets. Markus Gsell's book aims at closing this gap by analyzing the drivers for adoption of this technology, the impact the application of this technology has on markets on a macro level, i.e. how the market outcome is affected, as well as on a micro level, i.e. how the exhibited trading behavior of these automated traders differs from normal traders' behavior.

Journal of Economic Literature

Author :
Publisher :
ISBN 13 :
Total Pages : 388 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Journal of Economic Literature by :

Download or read book Journal of Economic Literature written by and published by . This book was released on 2006-12 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays in Investments

Author : Luqi Xu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (128 download)

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Book Synopsis Three Essays in Investments by : Luqi Xu

Download or read book Three Essays in Investments written by Luqi Xu and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Sentiment is an important concept in economics and finance and has been the focus of many studies. Individual investors, professional investors, corporate managers, and households have sentiments on the economy and financial markets which affect their decisions, and hence economic activities and asset prices. Measuring sentiment and determining what factors affect it have significant importance in finance research. My dissertation studies this subject by introducing state-of-the-art methods from artificial intelligence to measure the sentiment in several sources of business text data, that is, public firms disclosures and mutual funds reports. I investigate the information content, determinants, and the effects of the sentiments on asset prices and investment decisions of investors. In chapter one, we use a novel text classification approach from deep learning to accurately measure sentiment in a large sample of 10-Ks. In contrast to prior literature, we find that both positive and negative sentiments predict abnormal returns and abnormal trading volume around the 10-K filing date and future firm fundamentals and policies. Our results suggest that the qualitative information contained in corporate annual reports is richer than previously found. In chapter two, I study the sentiment of mutual fund managers towards the stock market. Using a direct measure of managers market expectations extracted from mutual funds semi-annual reports, I find that fund managers extrapolate their funds past performance into their market outlook. Funds with managers who have higher market expectation take more risk by increasing their equity holdings and the beta of their equity portfolios, but underperform subsequently. In chapter three, we study the sentiment of mutual fund managers about specific stocks in their portfolios. We study some mutual funds practice of voluntarily disclosing investment ideas in their annual reports. The practice involves, at a minimum, expressing views on stocks which fund managers are optimistic about. We find that managers of larger and better performing funds discuss positions that have recently underperformed, those that make up larger portions of their portfolios, and those they have held for longer periods. Our findings suggest that managers disclose these recommendations to boost their own fund performance and to attract additional capital.

Artificial Intelligence in Asset Management

Author : Söhnke M. Bartram
Publisher : CFA Institute Research Foundation
ISBN 13 : 195292703X
Total Pages : 95 pages
Book Rating : 4.9/5 (529 download)

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Book Synopsis Artificial Intelligence in Asset Management by : Söhnke M. Bartram

Download or read book Artificial Intelligence in Asset Management written by Söhnke M. Bartram and published by CFA Institute Research Foundation. This book was released on 2020-08-28 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.

Dissertation Abstracts International

Author :
Publisher :
ISBN 13 :
Total Pages : 604 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Dissertation Abstracts International by :

Download or read book Dissertation Abstracts International written by and published by . This book was released on 2007 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Stock Market Dynamics

Author : Peng Chen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)

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Book Synopsis Three Essays on Stock Market Dynamics by : Peng Chen

Download or read book Three Essays on Stock Market Dynamics written by Peng Chen and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Stock Market Integration

Author : Yuna Liu
Publisher :
ISBN 13 : 9789176014592
Total Pages : pages
Book Rating : 4.0/5 (145 download)

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Book Synopsis Essays on Stock Market Integration by : Yuna Liu

Download or read book Essays on Stock Market Integration written by Yuna Liu and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Stock Market Microstructure

Author : Yue Jiang
Publisher :
ISBN 13 :
Total Pages : 110 pages
Book Rating : 4.:/5 (14 download)

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Book Synopsis Essays on Stock Market Microstructure by : Yue Jiang

Download or read book Essays on Stock Market Microstructure written by Yue Jiang and published by . This book was released on 2018 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance

Author : El Bachir Boukherouaa
Publisher : International Monetary Fund
ISBN 13 : 1589063953
Total Pages : 35 pages
Book Rating : 4.5/5 (89 download)

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Book Synopsis Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance by : El Bachir Boukherouaa

Download or read book Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance written by El Bachir Boukherouaa and published by International Monetary Fund. This book was released on 2021-10-22 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.

The Stock Market, Credit and Capital Formation

Author : Fritz Machlup
Publisher : Ludwig von Mises Institute
ISBN 13 : 1610163354
Total Pages : 432 pages
Book Rating : 4.6/5 (11 download)

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Book Synopsis The Stock Market, Credit and Capital Formation by : Fritz Machlup

Download or read book The Stock Market, Credit and Capital Formation written by Fritz Machlup and published by Ludwig von Mises Institute. This book was released on 1940 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Elgar Companion to Recent Economic Methodology

Author : J. B. Davis
Publisher : Edward Elgar Publishing
ISBN 13 : 085793807X
Total Pages : 553 pages
Book Rating : 4.8/5 (579 download)

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Book Synopsis The Elgar Companion to Recent Economic Methodology by : J. B. Davis

Download or read book The Elgar Companion to Recent Economic Methodology written by J. B. Davis and published by Edward Elgar Publishing. This book was released on 2011-01-01 with total page 553 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic methodology has traditionally been associated with logical positivism in the vein of Milton Friedman, Karl Popper, Imre Lakatos and Thomas Kuhn. However, the emergence and proliferation of new research programs in economics have stimulated many novel developments in economic methodology. This impressive Companion critically examines these advances in methodological thinking, particularly those that are associated with the new research programs which challenge standard economic methodology. Bringing together a collection of leading contributors to this new methodological thinking, the authors explain how it differs from the past and point towards further concerns and future issues. The recent research programs explored include behavioral and experimental economics, neuroeconomics, new welfare theory, happiness and subjective well-being research, geographical economics, complexity and computational economics, agent-based modeling, evolutionary thinking, macroeconomics and Keynesianism after the crisis, and new thinking about the status of the economics profession and the role of the media in economics. This important compendium will prove invaluable for researchers and postgraduate students of economic methodology and the philosophy of economics. Practitioners in the vanguard of new economic thinking will also find plenty of useful information in this path-breaking book.

An Essay Upon Money and Coins. Part I. The Theories of Commerce, Money, and Exchanges. [-Part II. Wherein is Shewed, that the Established Standard of Money Should Not be Violated Or Altered, Under Any Pretence Whatsoever].

Download An Essay Upon Money and Coins. Part I. The Theories of Commerce, Money, and Exchanges. [-Part II. Wherein is Shewed, that the Established Standard of Money Should Not be Violated Or Altered, Under Any Pretence Whatsoever]. PDF Online Free

Author : Joseph Harris
Publisher :
ISBN 13 :
Total Pages : 296 pages
Book Rating : 4.:/5 (334 download)

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Book Synopsis An Essay Upon Money and Coins. Part I. The Theories of Commerce, Money, and Exchanges. [-Part II. Wherein is Shewed, that the Established Standard of Money Should Not be Violated Or Altered, Under Any Pretence Whatsoever]. by : Joseph Harris

Download or read book An Essay Upon Money and Coins. Part I. The Theories of Commerce, Money, and Exchanges. [-Part II. Wherein is Shewed, that the Established Standard of Money Should Not be Violated Or Altered, Under Any Pretence Whatsoever]. written by Joseph Harris and published by . This book was released on 1757 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Artificial Intelligence and Economic Theory: Skynet in the Market

Author : Tshilidzi Marwala
Publisher : Springer
ISBN 13 : 3319661043
Total Pages : 206 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Artificial Intelligence and Economic Theory: Skynet in the Market by : Tshilidzi Marwala

Download or read book Artificial Intelligence and Economic Theory: Skynet in the Market written by Tshilidzi Marwala and published by Springer. This book was released on 2017-09-18 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book theoretically and practically updates major economic ideas such as demand and supply, rational choice and expectations, bounded rationality, behavioral economics, information asymmetry, pricing, efficient market hypothesis, game theory, mechanism design, portfolio theory, causality and financial engineering in the age of significant advances in man-machine systems. The advent of artificial intelligence has changed many disciplines such as engineering, social science and economics. Artificial intelligence is a computational technique which is inspired by natural intelligence concepts such as the swarming of birds, the working of the brain and the pathfinding of the ants. Artificial Intelligence and Economic Theory: Skynet in the Market analyses the impact of artificial intelligence on economic theories, a subject that has not been studied. It also introduces new economic theories and these are rational counterfactuals and rational opportunity costs. These ideas are applied to diverse areas such as modelling of the stock market, credit scoring, HIV and interstate conflict. Artificial intelligence ideas used in this book include neural networks, particle swarm optimization, simulated annealing, fuzzy logic and genetic algorithms. It, furthermore, explores ideas in causality including Granger as well as the Pearl causality models.

Theory and Method of Evolutionary Political Economy

Author : Hardy Hanappi
Publisher : Taylor & Francis
ISBN 13 : 1315470209
Total Pages : 279 pages
Book Rating : 4.3/5 (154 download)

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Book Synopsis Theory and Method of Evolutionary Political Economy by : Hardy Hanappi

Download or read book Theory and Method of Evolutionary Political Economy written by Hardy Hanappi and published by Taylor & Francis. This book was released on 2017-01-12 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world is in turmoil, the dynamics of political economy seem to have entered a phase where a ‘return to normal’ cannot be expected. Since the financial crisis, conventional economic theory has proven itself to be rather helpless and political decision makers have become suspicious about this type of economic consultancy. This book offers a different approach. It promises to describe political and economic dynamics as interwoven as they are in real life and it adds to that an evolutionary perspective. The latter allows for a long-run view, which makes it possible to discuss the emergence and exit of social institutions. The essays in this volume explore the theoretical and methodological aspects of evolutionary political economy. In part one, the authors consider the foundational contributions of some of the great economists of the past, while the second part demonstrates the benefits of adopting the methods of computer simulation and agent-based modelling. Together, the contributions to this volume demonstrate the richness, diversity and great explanatory potential of evolutionary political economy. This volume is extremely useful for social scientists in the fields of economics, politics, and sociology who are interested to learn what evolutionary political economy is, how it proceeds and what it can provide.