On Microscopic Simulation Models of Financial Markets
| Author | : Youwei Li |
| Publisher | : |
| Total Pages | : 154 |
| Release | : 2006 |
| Genre | : Finance |
| ISBN | : 9789056681722 |
On Microscopic Simulation Models Of Financial Markets
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Microscopic Simulation of Financial Markets
| Author | : Haim Levy |
| Publisher | : Elsevier |
| Total Pages | : 319 |
| Release | : 2000-08-02 |
| Genre | : Business & Economics |
| ISBN | : 0080511597 |
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
Market Risk and Financial Markets Modeling
| Author | : Didier Sornette |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 260 |
| Release | : 2012-02-03 |
| Genre | : Business & Economics |
| ISBN | : 3642279317 |
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.
Modeling Complexity in Economic and Social Systems
| Author | : Frank Schweitzer |
| Publisher | : World Scientific |
| Total Pages | : 408 |
| Release | : 2002 |
| Genre | : Business & Economics |
| ISBN | : 9789812380357 |
Economics and the social sciences are, in fact, the ?hard? sciences, as Herbert Simon argued, because the complexity of the problems dealt with cannot simply be reduced to analytically solvable models or decomposed into separate subprocesses. Nevertheless, in recent years, the emerging interdisciplinary ?sciences of complexity? have provided new methods and tools for tackling these problems, ranging from complex data analysis to sophisticated computer simulations. In particular, advanced methods developed in the natural sciences have recently also been applied to social and economic problems.The twenty-one chapters of this book reflect this modern development from various modeling perspectives (such as agent-based models, evolutionary game theory, reinforcement learning and neural network techniques, time series analysis, non-equilibrium macroscopic dynamics) and for a broad range of socio-economic applications (market dynamics, technological evolution, spatial dynamics and economic growth, decision processes, and agent societies). They jointly demonstrate a shift of perspective in economics and the social sciences that is allowing a new outlook in this field to emerge.
Handbook of Financial Markets: Dynamics and Evolution
| Author | : Thorsten Hens |
| Publisher | : Elsevier |
| Total Pages | : 607 |
| Release | : 2009-06-12 |
| Genre | : Business & Economics |
| ISBN | : 0080921434 |
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
Mathematical Modeling of Collective Behavior in Socio-Economic and Life Sciences
| Author | : Giovanni Naldi |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 437 |
| Release | : 2010-08-12 |
| Genre | : Mathematics |
| ISBN | : 0817649468 |
Using examples from finance and modern warfare to the flocking of birds and the swarming of bacteria, the collected research in this volume demonstrates the common methodological approaches and tools for modeling and simulating collective behavior. The topics presented point toward new and challenging frontiers of applied mathematics, making the volume a useful reference text for applied mathematicians, physicists, biologists, and economists involved in the modeling of socio-economic systems.
Econophysics of Stock and other Markets
| Author | : Arnab Chatterjee |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 261 |
| Release | : 2007-12-31 |
| Genre | : Science |
| ISBN | : 8847005027 |
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.
Realistic Simulation of Financial Markets
| Author | : Hajime Kita |
| Publisher | : Springer |
| Total Pages | : 205 |
| Release | : 2016-07-06 |
| Genre | : Business & Economics |
| ISBN | : 4431550577 |
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.
Practical Fruits of Econophysics
| Author | : Hideki Takayasu |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 401 |
| Release | : 2006-06-18 |
| Genre | : Business & Economics |
| ISBN | : 4431289151 |
Some economic phenomena are predictable and controllable, and some are impos sible to foresee. Existing economic theories do not provide satisfactory answers as to what degree economic phenomena can be predicted and controlled, and in what situations. Against this background, people working on the financial front lines in real life have to rely on empirical rules based on experiments that often lack a solid foundation. "Econophysics" is a new science that analyzes economic phenomena empirically from a physical point of view, and it is being studied mainly to offer scientific, objective and significant answers to such problems. This book is the proceedings of the third Nikkei symposium on ''Practical Fruits of Econophysics," held in Tokyo, November 9-11, 2004. In the first symposium held in 2000, empirical rules were established by analyzing high-frequency finan cial data, and various kinds of theoretical approaches were confimied. In the second symposium, in 2002, the predictability of imperfections and of economic fluctua tions was discussed in detail, and methods for applying such studies were reported. The third symposium gave an overview of practical developments that can immedi ately be applied to the financial sector, or at least provide hints as to how to use the methodology.
Why Stock Markets Crash
| Author | : Didier Sornette |
| Publisher | : Princeton University Press |
| Total Pages | : 448 |
| Release | : 2017-03-21 |
| Genre | : Business & Economics |
| ISBN | : 0691175950 |
The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash. Most attempts to explain market failures seek to pinpoint triggering mechanisms that occur hours, days, or weeks before the collapse. Sornette proposes a radically different view: the underlying cause can be sought months and even years before the abrupt, catastrophic event in the build-up of cooperative speculation, which often translates into an accelerating rise of the market price, otherwise known as a "bubble." Anchoring his sophisticated, step-by-step analysis in leading-edge physical and statistical modeling techniques, he unearths remarkable insights and some predictions--among them, that the "end of the growth era" will occur around 2050. Sornette probes major historical precedents, from the decades-long "tulip mania" in the Netherlands that wilted suddenly in 1637 to the South Sea Bubble that ended with the first huge market crash in England in 1720, to the Great Crash of October 1929 and Black Monday in 1987, to cite just a few. He concludes that most explanations other than cooperative self-organization fail to account for the subtle bubbles by which the markets lay the groundwork for catastrophe. Any investor or investment professional who seeks a genuine understanding of looming financial disasters should read this book. Physicists, geologists, biologists, economists, and others will welcome Why Stock Markets Crash as a highly original "scientific tale," as Sornette aptly puts it, of the exciting and sometimes fearsome--but no longer quite so unfathomable--world of stock markets.
