Norman Ehrentreich
Agent-Based Modeling
The Santa Fe Institute Artificial Stock Market Model Revisited
Paperback Engels 2007 2008e druk 9783540738787Levertijd ongeveer 9 werkdagen
Gratis verzonden
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
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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.
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