Microscopic Simulation Of Financial Markets
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Microscopic Simulation Of Financial Markets
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Author : Haim Levy
language : en
Publisher: Elsevier
Release Date : 2000-08-02
Microscopic Simulation Of Financial Markets written by Haim Levy and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-08-02 with Business & Economics categories.
Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation between microscopic behavior and macroscopic phenomena in systems ranging from those of atomic particles, to cars, animals, and even humans. In finance, MS can help explain, among other things, the effects of various elements of investor behavior on market dynamics and asset pricing. It is these issues in particular, and the value of an MS approach to finance in general, that are the subjects of this book. The authors not only put their work in perspective by surveying traditional economic analyses of investor behavior, but they also briefly examine the use of MS in fields other than finance. Most models in economics and finance assume that investors are rational. However, experimental studies reveal systematic deviations from rational behavior. How can we determine the effect of investors' deviations from rational behavior on asset prices and market dynamics? By using Microscopic Simulation, a methodology originally developed by physicists for the investigation of complex systems, the authors are able to relax classical assumptions about investor behavior and to model it as empirically and experimentally observed. This rounded and judicious introduction to the application of MS in finance and economics reveals that many of the empirically-observed "puzzles" in finance can be explained by investors' quasi-rationality. Researchers use the book because it models heterogeneous investors, a group that has proven difficult to model. Being able to predict how people will invest and setting asset prices accordingly is inherently appealing, and the combination of computing power and statistical mechanics in this book makes such modeling possible. Because many finance researchers have backgrounds in physics, the material here is accessible. - Emphasizes investor behavior in determining asset prices and market dynamics - Introduces Microscopic Simulation within a simplified framework - Offers ways to model deviations from rational decision-making
Realistic Simulation Of Financial Markets
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Author : Hajime Kita
language : en
Publisher: Springer
Release Date : 2016-07-06
Realistic Simulation Of Financial Markets written by Hajime Kita and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-06 with Business & Economics categories.
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.
On Microscopic Simulation Models Of Financial Markets
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Author : Youwei Li
language : en
Publisher:
Release Date : 2006
On Microscopic Simulation Models Of Financial Markets written by Youwei Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Finance categories.
The Hidden Dynamics Of Financial Markets
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Author : Pasquale De Marco
language : en
Publisher: Pasquale De Marco
Release Date : 2025-04-11
The Hidden Dynamics Of Financial Markets written by Pasquale De Marco and has been published by Pasquale De Marco this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-04-11 with Business & Economics categories.
Microscopic simulation is a powerful tool for understanding the complex dynamics of financial markets. By modeling the behavior of individual agents, microscopic financial models can provide insights into how market prices are formed, how market crashes occur, and how bubbles and financial crises develop. In this book, we explore the foundations, applications, and challenges of microscopic financial modeling. We begin by introducing the basic concepts of microscopic financial modeling and discussing the different types of agent-based models that can be used to simulate financial markets. We then examine how microscopic models can be used to study a wide range of financial phenomena, including price formation, market microstructure, volatility, and market crashes. We also explore how microscopic models can be used to investigate asset pricing, risk management, and portfolio management. One of the key advantages of microscopic financial modeling is that it allows researchers to incorporate behavioral factors into their models. By modeling the bounded rationality, learning, and adaptive behavior of individual agents, microscopic models can provide a more realistic representation of financial markets than traditional economic models. This can lead to more accurate and insightful predictions of market behavior. However, microscopic financial modeling also faces a number of challenges. One challenge is that these models can be computationally expensive to run, especially for large and complex markets. Another challenge is that it can be difficult to calibrate and validate microscopic models, due to the lack of data on individual agent behavior. Despite these challenges, microscopic financial modeling is a rapidly growing field. As computers become more powerful and data becomes more available, microscopic models are becoming increasingly sophisticated and accurate. This is leading to new insights into the behavior of financial markets and is helping to improve the way that financial markets are regulated and managed. This book provides a comprehensive overview of the field of microscopic financial modeling. It covers the latest advances in microscopic modeling techniques and discusses the challenges and opportunities for future research. It also provides a number of case studies that illustrate how microscopic models can be used to solve real-world financial problems. This book is essential reading for anyone who wants to understand the latest developments in microscopic financial modeling and its applications to financial markets. It is also a valuable resource for researchers, practitioners, and policymakers who are interested in using microscopic financial models to address real-world financial problems. If you like this book, write a review on google books!
Market Risk And Financial Markets Modeling
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Author : Didier Sornette
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-02-03
Market Risk And Financial Markets Modeling written by Didier Sornette 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 2012-02-03 with Business & Economics categories.
The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and many more.
Handbook Of Financial Markets Dynamics And Evolution
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Author : Thorsten Hens
language : en
Publisher: Elsevier
Release Date : 2009-06-12
Handbook Of Financial Markets Dynamics And Evolution written by Thorsten Hens and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-12 with Business & Economics categories.
The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. - Explains the market dynamics of asset prices, offering insights about asset management approaches - Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Handbook Of Computational Economics
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Author : Leigh Tesfatsion
language : en
Publisher: Elsevier
Release Date : 2006-05-15
Handbook Of Computational Economics written by Leigh Tesfatsion and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-05-15 with Business & Economics categories.
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
Meeting The Challenge Of Social Problems Via Agent Based Simulation
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Author : T. Terano
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Meeting The Challenge Of Social Problems Via Agent Based Simulation written by T. Terano 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 2012-12-06 with Social Science categories.
The series of international workshops on Agent-Based Approaches in Economic and Social Complex Systems (AESCS) is part of the worldwide activities on computational social and organizational sciences. The second workshop, AESCS ’02, focusing on progress of agent-based simulation was held in Tokyo in August 2002. AESCS ’02 explored the frontiers of the field. The importance of cumulative progress was emphasized in discussions of common tasks, standard computational models, replication and validation issues, and evaluation and verification criteria. Promoting multidisciplinary work in computational economics, organizational science, social dynamics, and complex systems, AESCS ’02 brought together researchers from diverse fields. This book contains the invited papers by Robert Axtell, Shu-Heng Chen, and Takao Terano, along with selected papers collected in three major sections: Economic Systems, Marketing and Management, and Social Systems and Methodology.
Artificial Economics
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Author : Philippe Mathieu
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-12-17
Artificial Economics written by Philippe Mathieu 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 2005-12-17 with Business & Economics categories.
Agent-based Computational Economics (ACE) is a new discipline of economics, largely grounded on concepts like evolution, auto-organisation and emergence: it intensively uses computer simulations as well as artificial intelligence, mostly based on multi-agents systems. The purpose of this book is to give an up-to date view of the scientific production in the fields of Agent-based Computational Economics (mainly in Market Finance and Game Theory). Based on communications given at AE'2005 (Lille, USTL, France), this book offers a wide panorama of recent advances in ACE (both theoretical and methodological) that will interest academics as well as practitioners.
Econophysics Of Stock And Other Markets
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Author : Arnab Chatterjee
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-12-31
Econophysics Of Stock And Other Markets written by Arnab Chatterjee 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 2007-12-31 with Science categories.
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.