On Microscopic Simulation Models Of Financial Markets
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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.
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
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.
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.
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
Mathematics Of Financial Markets
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Author : Robert J Elliott
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-10-04
Mathematics Of Financial Markets written by Robert J Elliott 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 2005-10-04 with Mathematics categories.
This work is aimed at an audience with a sound mathematical background wishing to learn about the rapidly expanding ?eld of mathematical ?nance. Its content is suitable particularly for graduate students in mathematics who have a background in measure theory and probability. The emphasis throughout is on developing the mathematical concepts required for the theory within the context of their application. No attempt is made to cover the bewildering variety of novel (or ‘exotic’) ?nancial - struments that now appear on the derivatives markets; the focus throu- out remains on a rigorous development of the more basic options that lie at the heart of the remarkable range of current applications of martingale theory to ?nancial markets. The ?rst ?ve chapters present the theory in a discrete-time framework. Stochastic calculus is not required, and this material should be accessible to anyone familiar with elementary probability theory and linear algebra. The basic idea of pricing by arbitrage (or, rather, by non-arbitrage) is presented in Chapter 1. The unique price for a European option in a single-period binomial model is given and then extended to multi-period binomial models. Chapter 2 introduces the idea of a martingale measure for price processes. Following a discussion of the use of self-?nancing tr- ing strategies to hedge against trading risk, it is shown how options can be priced using an equivalent measure for which the discounted price p- cess is a martingale.
Practical Fruits Of Econophysics
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Author : Hideki Takayasu
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-01-05
Practical Fruits Of Econophysics written by Hideki Takayasu 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 2006-01-05 with Business & Economics categories.
The proceedings of the Third Nikkei Econophysics Symposium, "Business Models in the 21st Century - Risk Management and Expectations for Econophysics," held in Tokyo in November 2004, are gathered herein. Cutting-edge research on the practical application of econophysics is included, covering such topics as the predictability of markets, the analysis of rare events, the mechanism of crashes and bubbles, markets’ correlation and risk management, investment strategy, stochastic market simulations, agent-based market simulations, wealth distribution, and network structures in economics, most of which are beyond the scope of standard financial technology. New market models and financial-data analysis methods are introduced, and dynamic aspects of markets and economy are highlighted. Professionals, researchers, and students will find an invaluable resource in this first book of its kind to summarize the latest work in the field of econophysics.
Interacting Multiagent Systems
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Author : Lorenzo Pareschi
language : en
Publisher: Oxford University Press, USA
Release Date : 2014
Interacting Multiagent Systems written by Lorenzo Pareschi and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Business & Economics categories.
Mathematical modelling of systems constituted by many agents using kinetic theory is a new tool that has proved effective in predicting the emergence of collective behaviours and self-organization. This idea has been applied by the authors to various problems which range from sociology to economics and life sciences.
Simulating Social Complexity
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Author : Bruce Edmonds
language : en
Publisher: Springer
Release Date : 2017-11-24
Simulating Social Complexity written by Bruce Edmonds and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-24 with Computers categories.
This volume examines all aspects of using agent or individual-based simulation. This approach represents systems as individual elements having their own set of differing states and internal processes. The interactions between elements in the simulation represent interactions in the target systems. What makes this "social" is that it can represent an observed society. Social systems include all those systems where the components have individual agency but also interact with each other. This includes human societies and groups, but also increasingly socio-technical systems where the internet-based devices form the substrate for interaction. These systems are central to our lives, but are among the most complex known. This poses particular problems for those who wish to understand them. The complexity often makes analytic approaches infeasible but, on the other hand, natural language approaches are also inadequate for relating intricate cause and effect. This is why individual and agent-based computational approaches hold out the possibility of new and deeper understanding of such systems. This handbook marks the maturation of this new field. It brings together summaries of the best thinking and practices in this area from leading researchers in the field and constitutes a reference point for standards against which future methodological advances can be judged. This second edition adds new chapters on different modelling purposes and applying software engineering methods to simulation development. Revised existing content will keep the book up-to-date with recent developments. This volume will help those new to the field avoid "reinventing the wheel" each time, and give them a solid and wide grounding in the essential issues. It will also help those already in the field by providing accessible overviews of current thought. The material is divided into four sections: Introduction, Methodology, Mechanisms, and Applications. Each chapter starts with a very brief section called ‘Why read this chapter?’ followed by an abstract, which summarizes the content of the chapter. Each chapter also ends with a section on ‘Further Reading’. Whilst sometimes covering technical aspects, this second edition of Simulating Social Complexity is designed to be accessible to a wide range of researchers, including both those from the social sciences as well as those with a more formal background. It will be of use as a standard reference text in the field and also be suitable for graduate level courses.