Interacting Agents In Finance

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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.

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.

Minority Games

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Author : Damien Challet
language : en
Publisher: OUP Oxford
Release Date : 2004-11-04

Minority Games written by Damien Challet and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-11-04 with Science categories.

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.

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.

Heterogeneus Interacting Agents In Financial Markets

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Author : Thomas Lux
language : en
Publisher:
Release Date : 2002

Heterogeneus 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 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.

Minority Games

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Author : Damien Challet
language : en
Publisher: Oxford University Press on Demand
Release Date : 2005-01-01

Minority Games written by Damien Challet and has been published by Oxford University Press on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-01-01 with Business & Economics categories.

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.

Volatility Clustering In Financial Markets

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Author : Thomas Lux
language : en
Publisher:
Release Date : 1998

Volatility Clustering 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 1998 with categories.

Network Theory And Agent Based Modeling In Economics And Finance

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Author : Anindya S. Chakrabarti
language : en
Publisher: Springer Nature
Release Date : 2019-10-23

Network Theory And Agent Based Modeling In Economics And Finance written by Anindya S. Chakrabarti and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-23 with Business & Economics categories.

This book presents the latest findings on network theory and agent-based modeling of economic and financial phenomena. In this context, the economy is depicted as a complex system consisting of heterogeneous agents that interact through evolving networks; the aggregate behavior of the economy arises out of billions of small-scale interactions that take place via countless economic agents. The book focuses on analytical modeling, and on the econometric and statistical analysis of the properties emerging from microscopic interactions. In particular, it highlights the latest empirical and theoretical advances, helping readers understand economic and financial networks, as well as new work on modeling behavior using rich, agent-based frameworks. Innovatively, the book combines observational and theoretical insights in the form of networks and agent-based models, both of which have proved to be extremely valuable in understanding non-linear and evolving complex systems. Given its scope, the book will capture the interest of graduate students and researchers from various disciplines (e.g. economics, computer science, physics, and applied mathematics) whose work involves the domain of complexity theory.

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.