On The Stochastic Behavior Of A Double Auction Market
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| Author | : Füllbrunn, Sascha |
| Publisher | : Edward Elgar Publishing |
| Total Pages | : 451 |
| Release | : 2022-10-13 |
| Genre | : Business & Economics |
| ISBN | : 1800372337 |
With an in-depth overview of the past, present and future of the field, The Handbook of Experimental Finance provides a comprehensive analysis of the current topics, methodologies, findings, and breakthroughs in research conducted with the help of experimental finance methodology. Leading experts suggest innovative ways of designing, implementing, analyzing, and interpreting finance experiments.
| Author | : Daniel Friedman |
| Publisher | : Routledge |
| Total Pages | : 456 |
| Release | : 2018-05-04 |
| Genre | : Social Science |
| ISBN | : 0429961081 |
This book focuses on markets organized as double auctions in which both buyers and sellers can submit bids and asks for standardized units of well-defined commodities and securities. It examines evidence from the laboratory and computer simulations.
| Author | : Vincent Darley |
| Publisher | : World Scientific |
| Total Pages | : 167 |
| Release | : 2007 |
| Genre | : Business & Economics |
| ISBN | : 9812700013 |
This pioneering book describes the applications of agent-based modeling to financial markets. It presents a new paradigm for finance, where markets are treated as complex systems whose behavior emerges as a result of interactions of market participants, market institutions, and market rules. This includes both a presentation of the conceptual model and its software implementation. It also summarises the result of the profound research on the successful practical application of this new approach to answer questions regarding the NASDAQ Stock Market's decimalization that was implemented in 2001.The book presents conceptual foundations for modeling markets as complex systems. It describes the agent-based model of the NASDAQ stock market, including strategies used by market-makers and investors, market participants interactions, and impacts of rules and regulations. It includes analyses of simulation behavior, comparison with the behaviors observed in the real-world markets (existence of fat tails, spread clustering, etc.), and predictions about possible outcomes of decimalization. A framework for calibrating the market behavior and individual market-makers strategies to historical data is also presented.
| Author | : Carl Gaston Plat |
| Publisher | : |
| Total Pages | : 388 |
| Release | : 1995 |
| Genre | : Rational expectations (Economic theory) |
| ISBN | : |
| Author | : Maria Fasli |
| Publisher | : Springer |
| Total Pages | : 256 |
| Release | : 2007-06-06 |
| Genre | : Computers |
| ISBN | : 3540725024 |
This book constitutes the thoroughly refereed post-proceedings of the joint International Workshops on Trading Agent Design and Analysis, TADA 2006, and on Agent Mediated Electronic Commerce, AMEC VIII 2006, held in Hakodate, Japan. The papers address a mix of both theoretical and practical issues in trading agent design and technologies, theoretical and empirical evaluation of strategies in complex trading scenarios as well as mechanism design.
| Author | : Paul Milgrom |
| Publisher | : Cambridge University Press |
| Total Pages | : 378 |
| Release | : 2004-01-12 |
| Genre | : Business & Economics |
| ISBN | : 1139449168 |
This book provides a comprehensive introduction to modern auction theory and its important new applications. It is written by a leading economic theorist whose suggestions guided the creation of the new spectrum auction designs. Aimed at graduate students and professionals in economics, the book gives the most up-to-date treatments of both traditional theories of 'optimal auctions' and newer theories of multi-unit auctions and package auctions, and shows by example how these theories are used. The analysis explores the limitations of prominent older designs, such as the Vickrey auction design, and evaluates the practical responses to those limitations. It explores the tension between the traditional theory of auctions with a fixed set of bidders, in which the seller seeks to squeeze as much revenue as possible from the fixed set, and the theory of auctions with endogenous entry, in which bidder profits must be respected to encourage participation.
| Author | : Frantisek Slanina |
| Publisher | : Oxford University Press, USA |
| Total Pages | : 427 |
| Release | : 2014 |
| Genre | : Business & Economics |
| ISBN | : 0199299684 |
This book is a course in methods and models rooted in physics and used in modelling economic and social phenomena. It covers the discipline of econophysics, which creates an interface between physics and economics. Besides the main theme, it touches on the theory of complex networks and simulations of social phenomena in general. After a brief historical introduction, the book starts with a list of basic empirical data and proceeds to thorough investigation of mathematical and computer models. Many of the models are based on hypotheses of the behaviour of simplified agents. These comprise strategic thinking, imitation, herding, and the gem of econophysics, the so-called minority game. At the same time, many other models view the economic processes as interactions of inanimate particles. Here, the methods of physics are especially useful. Examples of systems modelled in such a way include books of stock-market orders, and redistribution of wealth among individuals. Network effects are investigated in the interaction of economic agents. The book also describes how to model phenomena like cooperation and emergence of consensus. The book will be of benefit to graduate students and researchers in both Physics and Economics.
| Author | : Maureen O'Hara |
| Publisher | : John Wiley & Sons |
| Total Pages | : 310 |
| Release | : 1998-03-06 |
| Genre | : Business & Economics |
| ISBN | : 0631207619 |
Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
| Author | : Leigh Tesfatsion |
| Publisher | : Elsevier |
| Total Pages | : 905 |
| Release | : 2006-05-15 |
| Genre | : Business & Economics |
| ISBN | : 0080459870 |
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
| Author | : Jimingx Liu |
| Publisher | : Springer |
| Total Pages | : 383 |
| Release | : 2003-06-29 |
| Genre | : Computers |
| ISBN | : 3540453709 |
Among the many changes brought by the Internet is the emergence of electronic commerce over the Web. E-commerce activities, such as the online exchange of information, services, and products, are opening up completely new opportunities for business, at new levels of productivity and profitability. In parallel with the emergence of e-commerce, intelligent software agents as entities capable of independent action in open, unpredictable environments have matured into a promising new technology. Quite naturally, e-commerce agents hold great promise for exploiting the Internet's full potential as an electronic marketplace. The 20 coherently written chapters in this book by leading researchers and professionals present the state of the art in agent-mediated e-commerce. Researchers, professionals, and advanced students interested in e-commerce or agent technology will find this book an indispensable source of information and reference.
