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Simulation Of Financial Markets By Agent Based Mix Game Model
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Book Synopsis The Oxford Handbook of Computational Economics and Finance by : Shu-Heng Chen
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.
Book Synopsis Realistic Simulation of Financial Markets by : Hajime Kita
Download or read book Realistic Simulation of Financial Markets written by Hajime Kita and published by Springer. This book was released on 2016-07-06 with total page 205 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.
Book Synopsis Advances in Social Simulation by : Bogumił Kamiński
Download or read book Advances in Social Simulation written by Bogumił Kamiński and published by Springer Science & Business Media. This book was released on 2013-07-30 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the conference proceedings of ESSA 2013, the 9th Conference of the European Social Simulation Association. ESSA conferences constitute annual events, which serve as an international platform for the exchange of ideas and discussion of cutting-edge research in the field of social simulations, both from the theoretical as well as applied perspective. This book consists of 33 articles, which are divided into four themes: Methods for the development of simulation models, Applications of agent-based modeling, Adaptive behavior, social interactions and global environmental change and using qualitative data to inform behavioral rules. We are convinced that this book will serve interested readers as a useful compendium which presents in a nutshell the most recent advances at the frontiers of social simulation research.
Book Synopsis Econophysics of Stock and other Markets by : Arnab Chatterjee
Download or read book Econophysics of Stock and other Markets written by Arnab Chatterjee and published by Springer Science & Business Media. This book was released on 2007-12-31 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reviews the econophysics researches on the fluctuations in stock, forex and other markets. Including some historical perspectives as well as some comments and debates on issues in econophysics research, this book also discusses the statistical modeling of markets, using various agent-based game theoretical approaches, and their scaling analysis.
Book Synopsis An Introduction to Agent-Based Modeling by : Uri Wilensky
Download or read book An Introduction to Agent-Based Modeling written by Uri Wilensky and published by MIT Press. This book was released on 2015-04-03 with total page 505 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and hands-on introduction to the core concepts, methods, and applications of agent-based modeling, including detailed NetLogo examples. The advent of widespread fast computing has enabled us to work on more complex problems and to build and analyze more complex models. This book provides an introduction to one of the primary methodologies for research in this new field of knowledge. Agent-based modeling (ABM) offers a new way of doing science: by conducting computer-based experiments. ABM is applicable to complex systems embedded in natural, social, and engineered contexts, across domains that range from engineering to ecology. An Introduction to Agent-Based Modeling offers a comprehensive description of the core concepts, methods, and applications of ABM. Its hands-on approach—with hundreds of examples and exercises using NetLogo—enables readers to begin constructing models immediately, regardless of experience or discipline. The book first describes the nature and rationale of agent-based modeling, then presents the methodology for designing and building ABMs, and finally discusses how to utilize ABMs to answer complex questions. Features in each chapter include step-by-step guides to developing models in the main text; text boxes with additional information and concepts; end-of-chapter explorations; and references and lists of relevant reading. There is also an accompanying website with all the models and code.
Book Synopsis Multi-Agent-Based Simulation XIII by : Francesca Giardini
Download or read book Multi-Agent-Based Simulation XIII written by Francesca Giardini and published by Springer. This book was released on 2013-05-29 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the thoroughly refereed post-conference proceedings of the 13th International Workshop on Multi-Agent-Based Simulation, MABS 2012, held in Valencia, Spain, in June 2012. The 11 revised full papers presented were carefully selected from 35 submissions. The papers are organized in topical sections on modeling social interactions; cognition and agents behaviors; agents, games and finance; and methodologies and tools.
Book Synopsis Economics for a Fairer Society by : Tim Gooding
Download or read book Economics for a Fairer Society written by Tim Gooding and published by Springer. This book was released on 2019-04-23 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Palgrave Pivot presents experiments that reveal core dynamics of trade in a complex system. Monetary trade is stripped of all its complications and placed in agent-based models, a complexity research tool capable of reproducing emergent behaviour and evolution. Included are ground-breaking repeatable experiments exploring the impact of evolutionary prerequisites empirically present in markets. Isolating the core dynamics of trade results in very simple agent-based models. However, decades of complexity research demonstrate that even the simplest systems result in emergent behaviour that is extremely difficult to anticipate. Readers who are only familiar with the linear-system theories and models used to train almost all undergraduate economics students might be surprised to witness price detaching from supply and demand, and extreme poverty and wealth arising in trade systems populated by agents with equal ability and opportunity. Watch as empirical evolutionary prerequisites are introduced and price patterns characterising two different markets – asset markets and speculative markets – emerge irrespective of supply and demand. In addition to laying the groundwork of monetary trade in a complex system, more complicated models feature mortal reproductive agents. Including ‘living’ populations in economic models reveal how the complexity characteristics of our market economy are impacting impoverishment and starvation. This book invites anyone interested in economics to join the growing ranks of people who are fascinated by the insights offered by complexity research.
Book Synopsis New Perspectives and Challenges in Econophysics and Sociophysics by : Frédéric Abergel
Download or read book New Perspectives and Challenges in Econophysics and Sociophysics written by Frédéric Abergel and published by Springer. This book was released on 2019-04-02 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the latest perspectives and challenges within the interrelated fields of econophysics and sociophysics, which have emerged from the application of statistical physics to economics and sociology. Economic and financial markets appear to be in a permanent state of flux. Billions of agents interact with each other, giving rise to complex dynamics of economic quantities at the micro and macro levels. With the availability of huge data sets, researchers can address questions at a much more granular level than was previously possible. Fundamental questions regarding the aggregation of actions and information and the coordination, complexity, and evolution of economic and financial networks are currently receiving much attention in the econophysics research agenda. In parallel, the sociophysics literature has focused on large-scale social data and their interrelations. In this book, leading researchers from different communities – economists, sociologists, financial analysts, mathematicians, physicists, statisticians, and others – report on their recent work and their analyses of economic and social behavior.
Book Synopsis Handbook of Computational Economics by : Leigh Tesfatsion
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
Book Synopsis Simulation in Computational Finance and Economics: Tools and Emerging Applications by : Alexandrova-Kabadjova, Biliana
Download or read book Simulation in Computational Finance and Economics: Tools and Emerging Applications written by Alexandrova-Kabadjova, Biliana and published by IGI Global. This book was released on 2012-08-31 with total page 459 pages. Available in PDF, EPUB and Kindle. Book excerpt: Simulation has become a tool difficult to substitute in many scientific areas like manufacturing, medicine, telecommunications, games, etc. Finance is one of such areas where simulation is a commonly used tool; for example, we can find Monte Carlo simulation in many financial applications like market risk analysis, portfolio optimization, credit risk related applications, etc. Simulation in Computational Finance and Economics: Tools and Emerging Applications presents a thorough collection of works, covering several rich and highly productive areas of research including Risk Management, Agent-Based Simulation, and Payment Methods and Systems, topics that have found new motivations after the strong recession experienced in the last few years. Despite the fact that simulation is widely accepted as a prominent tool, dealing with a simulation-based project requires specific management abilities of the researchers. Economic researchers will find an excellent reference to introduce them to the computational simulation models. The works presented in this book can be used as an inspiration for economic researchers interested in creating their own computational models in their respective fields.
Book Synopsis A NASDAQ Market Simulation by : Vincent Darley
Download or read book A NASDAQ Market Simulation written by Vincent Darley and published by World Scientific. This book was released on 2007 with total page 167 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.
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.
Book Synopsis Computational Collective IntelligenceTechnologies and Applications by : Piotr Jedrzejowicz
Download or read book Computational Collective IntelligenceTechnologies and Applications written by Piotr Jedrzejowicz and published by Springer. This book was released on 2011-09-15 with total page 658 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two-volume set LNAI 6922 and LNAI 6923 constitutes the refereed proceedings of the Third International Conference on Computational Collective Intelligence, ICCCI 2011, held in Gdynia, Poland, in September 2011. The 112 papers in this two volume set presented together with 3 keynote speeches were carefully reviewed and selected from 300 submissions. The papers are organized in topical sections on knowledge management, machine learning and applications, autonomous and collective decision-making, collective computations and optimization, Web services and semantic Web, social networks and computational swarm intelligence and applications.
Book Synopsis Agent-Based Computational Economics by : Shu-Heng Chen
Download or read book Agent-Based Computational Economics written by Shu-Heng Chen and published by Routledge. This book was released on 2017-09-19 with total page 543 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to answer two questions that are fundamental to the study of agent-based economic models: what is agent-based computational economics and why do we need agent-based economic modelling of economy? This book provides a review of the development of agent-based computational economics (ACE) from a perspective on how artificial economic agents are designed under the influences of complex sciences, experimental economics, artificial intelligence, evolutionary biology, psychology, anthropology and neuroscience. This book begins with a historical review of ACE by tracing its origins. From a modelling viewpoint, ACE brings truly decentralized procedures into market analysis, from a single market to the whole economy. This book also reviews how experimental economics and artificial intelligence have shaped the development of ACE. For the former, the book discusses how ACE models can be used to analyse the economic consequences of cognitive capacity, personality and cultural inheritance. For the latter, the book covers the various tools used to construct artificial adaptive agents, including reinforcement learning, fuzzy decision rules, neural networks, and evolutionary computation. This book will be of interest to graduate students researching computational economics, experimental economics, behavioural economics, and research methodology.
Book Synopsis Multi-Agent and Multi-Agent-Based Simulation by : Paul Davidsson
Download or read book Multi-Agent and Multi-Agent-Based Simulation written by Paul Davidsson and published by Springer. This book was released on 2005-02-22 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents revised and extended versions of selected papers presented at the Joint Workshop on Multi-Agent and Multi-Agent-Based Simulation, a workshop federated with the 3rd International Joint Conference on Autonomous Agents and Multiagent Systems (AAMAS 2004), which was held in New York City, USA, July 19–23, 2004. The workshop was in part a continuation of the International Workshop on Multi-Agent-Based Simulation (MABS) series. - vised versions of papers presented at the four previous MABS workshops have been published as volumes 1534, 1979, 2581, and 2927 in the Lecture Notes in Arti?cial Intelligence series. The aim of the workshop was to provide a forum for work in both appli- tions of multi-agent-based simulation and the technical challenges of simulating large multi-agent systems (MAS). There has been considerable recent progress in modelling and analyzing multi-agent systems, and in techniques that apply MAS models to complex real-world systems such as social systems and organi- tions. Simulation is an increasingly important strand that weaves together this work. In high-risk, high-cost situations, simulations provide critical cost/bene?t leverage, and make possible explorations that cannot be carried out in situ: – Multi-agentapproachestosimulatingcomplexsystemsarekeytoolsinint- disciplinary studies of social systems. Agent-based social simulation (ABSS) researchsimulatesandsynthesizessocialbehaviorinordertounderstandreal social systems with properties of self-organization, scalability, robustness, and openness. – IntheMAScommunity,simulationhasbeenappliedtoawiderangeofMAS research and design problems, from models of complex individual agents - ploying sophisticated internal mechanisms to models of large-scale societies of relatively simple agents which focus more on the interactions between agents.
Book Synopsis Agent-Based Models by : Nigel Gilbert
Download or read book Agent-Based Models written by Nigel Gilbert and published by SAGE. This book was released on 2008 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at readers with minimal experience in computer programming, this brief book provides a theoretical and methodological rationale for using ABM in the social sciences. It goes on to describe some carefully chosen examples from different disciplines, illustrating different approaches to ABM. It concludes with practical advice about how to design and create ABM, a discussion of validation procedures, and some guidelines about publishing articles based on ABM.
Book Synopsis Discrete Choice Methods with Simulation by : Kenneth Train
Download or read book Discrete Choice Methods with Simulation written by Kenneth Train and published by Cambridge University Press. This book was released on 2009-07-06 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.
