Agent-Based Modeling

Name: Agent-Based Modeling
Author: Norman Ehrentreich

The Santa Fe Institute Artificial Stock Market Model Revisited

Specificaties

Paperback, 232 blz. | Engels

Springer Berlin Heidelberg | 2008e druk, 2007

ISBN13: 9783540738787

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Springer Berlin Heidelberg 2008e druk, 2007 9783540738787

Onderdeel van serie Lecture Notes in Economics and Mathematical Systems

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Samenvatting

This book reconciles the existence of technical trading with the Efficient Market Hypothesis. By analyzing a well-known agent-based model, the Santa Fe Institute Artificial Stock Market (SFI-ASM), it finds that when selective forces are weak, financial evolution cannot guarantee that only the fittest trading rules will survive. Its main contribution lies in the application of standard results from population genetics which have widely been neglected in the agent-based community.

Specificaties

ISBN13:9783540738787

Taal:Engels

Bindwijze:paperback

Aantal pagina's:232

Uitgever:Springer Berlin Heidelberg

Druk:2008

Hoofdrubriek:Economie

Serie:Lecture Notes in Economics and Mathematical Systems

Inhoudsopgave

Agent-Based Modeling in Economics.- The Rationale for Agent-Based Modeling.- The Concept of Minimal Rationality.- Learning in Economics.- Replicating the Stylized Facts of Financial Markets.- The Santa Fe Institute Artificial Stock Market Model Revisited.- The Original Santa Fe Institute Artificial Stock Market.- A Suggested Modification to the SFI-ASM.- An Analysis of Wealth Levels.- Selection, Genetic Drift, and Technical Trading.- Summary and Future Research.