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Agent-Based Modeling

The Santa Fe Institute Artificial Stock Market Model Revisited

Medium: Buch
ISBN: 978-3-540-73878-7
Verlag: Springer
Erscheinungstermin: 30.10.2007
Lieferfrist: bis zu 10 Tage

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.


Produkteigenschaften


  • Artikelnummer: 9783540738787
  • Medium: Buch
  • ISBN: 978-3-540-73878-7
  • Verlag: Springer
  • Erscheinungstermin: 30.10.2007
  • Sprache(n): Englisch
  • Auflage: 1. Auflage 2007
  • Serie: Lecture Notes in Economics and Mathematical Systems
  • Produktform: Kartoniert
  • Gewicht: 800 g
  • Seiten: 232
  • Format (B x H): 155 x 235 mm
  • Ausgabetyp: Kein, Unbekannt

Themen


Autoren/Hrsg.

Autoren

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.