Heterogeneus Interacting Agents In Financial Markets
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Heterogeneous Interacting Agents In Financial Markets
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Author : Thomas Lux
language : en
Publisher:
Release Date : 2002
Heterogeneous Interacting Agents In Financial Markets written by Thomas Lux and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Finance categories.
Special Issue Heterogeneous Interacting Agents In Financial Markets
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Author :
language : en
Publisher:
Release Date : 2002
Special Issue Heterogeneous Interacting Agents In Financial Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Modeling Financial Markets With Heterogeneous Interacting Agents
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Author :
language : en
Publisher:
Release Date : 2007
Modeling Financial Markets With Heterogeneous Interacting Agents written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Economics categories.
Financial market has been extensively recognized as a complex system, where large number of heterogeneous agents contribute to price formation of asset. Interactions and adaptations of these agents form the core foundation of market operations and its resultant characteristic properties. These market agents are highly diverse in their perception of the world around them and in the way they respond to it. Various studies of statistical properties of financial markets and price fluctuations have revealed a rich set of typical characteristics knows as stylized facts. Agent-based models that can reproduce these stylized facts and explain the roots of complex dynamics of financial market have been subject of intense research in recent time. The Minority Game Model proposed by Challet and Zhang is one such model that presents a simplified paradigm of financial market. Another model proposed by Lux and Marchesi offers a different perspective to agent-based modeling, where parallels are drawn between the physical system with a large number of interacting units and financial markets. The Minority Game model succeeds to a certain extent in reproducing stylized facts and explaining behavioral foundation of it. However, in attempt to present a simplified picture of market scenario both these models make certain assumptions that dilute the heterogeneity aspect of the real market. In real world markets, agents are truly diverse in their thinking, strategy, action and analyzing ability. Due to these unrealistic assumptions, the model can be validated only with a very limited spectrum of parameters. Also, it's difficult to point out precisely which aspects of the game contribute to some of the stylized facts producible with the model. To improve on these issues, we have developed a model and a simulator based on modified minority game, which we are referring to as "adapted minority game." The main focus of our research is on improving the heterogeneity aspect of agents, their interactions, and bringing fundamental value of asset into the Minority Game model. Our model introduces fundamentalist agents into the minority game model and also allows agents to have different historical memory and time horizons. Furthermore, agents are free to switch from one trading strategy group to another to improve their chances of performing better. Reproducing the stylized facts still remains the benchmark for validating our model. Our adapted minority game succeeds to an extent in expanding the spectrum of parameters that can be used for modeling the market. Agents' interactions and adaptations have been tracked down to the basis of stylized facts. An interesting property of periodic volatility is successfully demonstrated with our model.
Economics With Heterogeneous Interacting Agents
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Author : Alessandro Caiani
language : en
Publisher: Springer
Release Date : 2016-09-21
Economics With Heterogeneous Interacting Agents written by Alessandro Caiani and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-21 with Business & Economics categories.
This book offers a practical guide to Agent Based economic modeling, adopting a “learning by doing” approach to help the reader master the fundamental tools needed to create and analyze Agent Based models. After providing them with a basic “toolkit” for Agent Based modeling, it present and discusses didactic models of real financial and economic systems in detail. While stressing the main features and advantages of the bottom-up perspective inherent to this approach, the book also highlights the logic and practical steps that characterize the model building procedure. A detailed description of the underlying codes, developed using R and C, is also provided. In addition, each didactic model is accompanied by exercises and applications designed to promote active learning on the part of the reader. Following the same approach, the book also presents several complementary tools required for the analysis and validation of the models, such as sensitivity experiments, calibration exercises, economic network and statistical distributions analysis. By the end of the book, the reader will have gained a deeper understanding of the Agent Based methodology and be prepared to use the fundamental techniques required to start developing their own economic models. Accordingly, “Economics with Heterogeneous Interacting Agents” will be of particular interest to graduate and postgraduate students, as well as to academic institutions and lecturers interested in including an overview of the AB approach to economic modeling in their courses.
Heterogeneous Agent Models In Financial Markets
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Author : Xuezhong He
language : en
Publisher:
Release Date : 2018
Heterogeneous Agent Models In Financial Markets written by Xuezhong He and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Studies on financial markets have accumulated consistent evidences of stylized facts and anomalies, which can be characterized by stochastic switching among different co-existing market states but yet difficult to reconcile with traditionally rational expectation theory. When agents are heterogeneous and boundedly rational, recent developments on the role of the adaptive behavior of interacting heterogeneous agents in financial markets have provided a nonlinear dynamics channel to such co-existence of different market states, shedding light into these stylized facts and anomalies. This survey focuses on the nonlinear dynamics approach to model the feedback of evolutionary dynamics of heterogeneous agents and to characterize the underlying mechanisms of the stylized facts and anomalies in financial markets, of which the authors and several coauthors have contributed in several papers.
Nonlinear Dynamics And Heterogeneous Interacting Agents
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Author : Thomas Lux
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-06-06
Nonlinear Dynamics And Heterogeneous Interacting Agents written by Thomas Lux and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-06-06 with Business & Economics categories.
Economic application of nonlinear dynamics, microscopic agent-based modelling, and the use of artificial intelligence techniques as learning devices of boundedly rational actors are among the most exciting interdisciplinary ventures of economic theory over the past decade. This volume provides us with a most fascinating series of examples on "complexity in action" exemplifying the scope and explanatory power of these innovative approaches.
Long Memory In Financial Markets
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Author : Min Zheng
language : en
Publisher:
Release Date : 2018
Long Memory In Financial Markets written by Min Zheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model the financial market as an interaction of two types of boundedly rational investors -fundamentalists and chartists. We examine the dynamics of the market price and market behavior, which depend on investors' behavior and the interaction of the two types of investors. Numerical simulations of the corresponding stochastic model demonstrate that the model is able to replicate the stylized facts of financial time series, in particular the long-term dependence (long memory) of asset return volatilities. We further investigate the source of the long memory according to asset pricing mechanism of our model, and provide evidences of long memory by applying the modified R/S analysis. Our results demonstrate that the key parameter that has impact on the long memory is the speed of the price adjustment of the market maker at the equilibrium of demand and supply.
Interacting Agents In Finance
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Author : Carsien Harm Hommes
language : en
Publisher:
Release Date : 2006
Interacting Agents In Finance written by Carsien Harm Hommes and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Leverage And Evolving Heterogeneous Beliefs In A Simple Agent Based Financial Market
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Author : Edoardo Gaffeo
language : en
Publisher:
Release Date : 2018
Leverage And Evolving Heterogeneous Beliefs In A Simple Agent Based Financial Market written by Edoardo Gaffeo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Recent research has acknowledged the crucial role of financial intermediaries' balance sheet variables - namely, wealth and leverage - in the dynamics of asset prices. In this paper we use a prototypical “small-type” artificial financial market model with heterogeneous interacting traders to pin down how asset prices are affected by the complex interaction between balance sheet constraints and the endogenous evolution of trading rules.
Heterogeneous Agents In Financial Markets
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Author : Remco C.J. Zwinkels
language : en
Publisher:
Release Date : 2009
Heterogeneous Agents In Financial Markets written by Remco C.J. Zwinkels and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.