Artificial markets modeling : methods and applications by Andrea Consiglio

By Andrea Consiglio

This quantity good points contributions to agent-based computational modeling from the social sciences and machine sciences. It provides purposes of methodologies and instruments, targeting the makes use of, requisites, and constraints of agent-based versions utilized by social scientists. themes comprise agent-based macroeconomics, the emergence of norms and conventions, the dynamics of social and monetary networks, and behavioral versions in monetary markets.

Show description

Read or Download Artificial markets modeling : methods and applications PDF

Similar econometrics books

Econometric Theory and Methods

This article presents a unified therapy of contemporary econometric concept and sensible econometric equipment. The geometrical method of least squares is emphasised, as is the tactic of moments, that is used to encourage a large choice of estimators and exams. Simulation equipment, together with the bootstrap, are brought early and used greatly.

Essential Statistics, Regression, and Econometrics

Crucial records, Regression, and Econometrics offers scholars with a readable, deep knowing of the major statistical subject matters they should comprehend in an econometrics direction. it really is leading edge in its concentration, together with actual info, pitfalls in information research, and modeling matters (including useful types, causality, and instrumental variables).

Topics in Advanced Econometrics: Probability Foundations

For someday now, I felt that the evolution of the literature of econo­ metrics had mandated a better point of mathematical skillability. this can be really glaring past the extent of the final linear version (GLM) and the final linear structural econometric version (GLSEM). the issues one encounters in nonlinear econometrics usually are not simply amenable to therapy through the analytical tools one as a rule acquires, while one learns approximately likelihood and inference by using den­ sity capabilities.

Structural Macroeconometrics

Structural Macroeconometrics presents a radical evaluation and in-depth exploration of methodologies, types, and methods used to research forces shaping nationwide economies. during this completely revised moment version, David DeJong and Chetan Dave emphasize time sequence econometrics and unite theoretical and empirical study, whereas taking into consideration very important new advances within the box.

Additional resources for Artificial markets modeling : methods and applications

Example text

This order book requires agents desires to be expressed as a direction, a price and a quantity, which defines an order. These orders are all limit prices orders, which means that the price associated to the order is the maximum (respectively minimum) price the agent is willing to buy (sell) stocks. When an order is received by the market, it is stored in the order book according to price and time priorities if it has no counter part. When a counterpart is found, a transaction occurs immediately and the price of this transaction is published.

In asynchronous model, it is easy to deduce this information from the current order book state by summing quantities available in both sides of the order book. To be able to compose any market model with any agent model, we have to define a set of translators able to fill missing information from some market models if it is required by the agents. 1. Though we provide in our framework a full set of information translators which allow to translate any type of emitted information in any type of required information, the effect of these translators on experimental results still has to be investigated.

Once activated, the signal sends a recommendation to the trader expressed like: “according to my own logic”, “the market should increase” or “should decrease”. 2. A “strategy” is the way agents use these signals to build a trading behavior. 70 Olivier Brandouy and Philippe Mathieu a) Some agents will only observe one signal (some being endowed with multiple signals), and will follow it systematically (we call this behavior “Basic Strategy”). e. will follow an “Inverse Strategy”) c) Others will choose sometimes to follow the signals, sometimes to ignore them.

Download PDF sample

Rated 4.61 of 5 – based on 28 votes