E-Book, Englisch, Band 602, 232 Seiten
Ehrentreich Agent-Based Modeling
2008
ISBN: 978-3-540-73879-4
Verlag: Springer Berlin Heidelberg
Format: PDF
Kopierschutz: 1 - PDF Watermark
The Santa Fe Institute Artificial Stock Market Model Revisited
E-Book, Englisch, Band 602, 232 Seiten
Reihe: Lecture Notes in Economics and Mathematical Systems
ISBN: 978-3-540-73879-4
Verlag: Springer Berlin Heidelberg
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Autoren/Hrsg.
Weitere Infos & Material
1;Foreword;6
2;Preface;9
3;Contents;11
4;Part I Agent-Based Modeling in Economics;15
4.1;1 Introduction;16
4.2;2 The Rationale for Agent-Based Modeling;18
4.3;3 The Concept of Minimal Rationality;32
4.4;4 Learning in Economics;42
4.5;5 Replicating the Stylized Facts of Financial Markets;63
5;Part II The Santa Fe Institute Artificial Stock Market Model Revisited;101
5.1;6 The Original Santa Fe Institute Artificial Stock Market;102
5.2;7 A Suggested Modification to the SFI-ASM;124
5.3;8 An Analysis of Wealth Levels;137
5.4;9 Selection, Genetic Drift, and Technical Tradi;157
5.5;10 Summary and Future Research;190
6;Appendix;195
7;References;202
8;Index;233
