Experimental econophysics : properties and mechanisms of laboratory markets /

Experimental econophysics : properties and mechanisms of laboratory markets /

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Bibliographic Details
Author / Creator:Huang, Ji-Ping, author.
Imprint:Heidelberg : Springer Verlag, [2014]
©2015
Description:1 online resource (xv, 192 pages) : illustrations (some color).
Language:English
Series:New economic windows
New economic windows.
Subject:
Econophysics.
Econophysics.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11086958
Hidden Bibliographic Details
ISBN:9783662442340
3662442345
9783662442333
3662442337
Notes:Includes bibliographical references.
Print version record.
Summary:Experimental Econophysics describes the method of controlled human experiments, which is developed by physicists to study some problems in economics or finance, namely, stylized facts, fluctuation phenomena, herd behavior, contrarian behavior, hedge behavior, cooperation, business cycles, partial information, risk management, and stock prediction. Experimental econophysics together with empirical econophysics are two branches of the field of econophysics. The latter one has been extensively discussed in the existing books, while the former one has been seldom touched. In this book, the author will focus on the branch of experimental econophysics. Empirical econophysics is based on the analysis of data in real markets by using some statistical tools borrowed from traditional statistical physics. Differently, inspired by the role of controlled experiments and system modelling (for computer simulations and/or analytical theory) in developing modern physics, experimental econophysics specially relies on controlled human experiments in the laboratory (producing data for analysis) together with agent-based modelling (for computer simulations and/or analytical theory), with an aim at revealing the general cause-effect relationship between specific parameters and emergent properties of real economic/financial markets. This book covers the basic concepts, experimental methods, modelling approaches, and latest progress in the field of experimental econophysics.
Other form:Print version: Experimental Econophysics 9783662442333
Table of Contents:
  • Preface; Contents; Abstract; 1 Introduction; 1.1 Why Physics Needs Economics or Finance?; 1.1.1 What Are Physical Ideas?; 1.1.2 What Are Physical Methods?; 1.2 Why Economics or Finance Needs Physics?; 1.3 Physics + Economics or Finance to Econophysics; 1.4 Dividing Econophysics into Two Branches: Empirical Econophysics and Experimental Econophysics; 1.5 Methodology of Experimental Econophysics; 2 Fundamentals; 2.1 Hayek Hypothesis; 2.2 How to Design Computer-Aided Controlled Experiments; 2.3 El Farol Bar Problem and Minority Game; 2.3.1 El Farol Bar Problem; 2.3.2 Minority Game
  • 2.4 How to Design Agent-Based Models2.4.1 Modeling by Abstracting Real-World Systems; 2.4.2 Modeling Through Borrowing from Physical Models; 2.4.3 How to Test the Reliability of Agent-Based Models ; 2.5 Information Theory; 2.5.1 Initial Remarks; 2.5.2 Shannon Entropy: Historical Beginning and the Unit of Information; 2.5.3 When Information Meets Physics: The Principle of Maximum Entropy and the Fight with Maxwell''s Demon; 2.5.4 Discussion; 2.6 Nonparametric Regression Analysis: Hodrick-Prescott Filter; 3 Stylized Facts: Scaling Law and Clustering Behavior; 3.1 Opening Remarks
  • 3.2 Market Structure3.2.1 Basic Framework; 3.2.2 Double-Auction Order Book; 3.2.3 Exogenous Rewards; 3.3 Controlled Experiments; 3.3.1 Platform and Subjects; 3.3.2 Experimental Settings; 3.3.3 Payoffs; 3.4 Results and Discussion; 3.4.1 Price, Volume, and Return Series; 3.4.2 Human Behavior Dynamics; 3.5 Conclusions; 4 Fluctuation Phenomena: Leverage Could Be Positive and Negative; 4.1 Opening Remarks; 4.2 The Design of Controlled Experiments and Agent-Based Modeling; 4.2.1 Key Ideas of Leverage; 4.2.2 Mutual Structure for Experiments and Simulations; 4.2.3 Controlled Experiments
  • 4.2.4 Agent-Based Modeling4.3 Results: Experiments and Simulations; 4.3.1 Overall Fluctuations; 4.3.2 Fat Tails or Extremely Large Fluctuations; 4.3.3 Wealth Distribution; 4.4 Conclusions; 5 Herd Behavior: Beyond the Known Ruinous Role; 5.1 Opening Remarks; 5.2 Controlled Experiments; 5.3 Agent-Based Modeling; 5.4 Simulation Results; 5.5 Theoretical Analysis; 5.6 Discussion and Conclusions; 5.7 Supplementary Materials; 5.7.1 Part I: Leaflet to the Human Experiments; 5.7.2 Part II: About the Computer-Aided Human Experiment
  • 5.7.3 Part III: The CAS
  • Theoretical Analysis of the Agent-Based Modeling5.7.4 Part IV: A Closed CAS
  • Simulations Based on Agent-Based Modeling; 5.7.5 Part V: An Alternative Approach to Analyzing Preferences of Normal Agents and Imitating Agents in the Agent-Based Modeling: Analysis of the Shannon Information Entropy; 5.7.6 Part VI: A Different Agent-Based Modeling in Which Imitating Agents Follow the Majority, Rather than the Best Agent: An Open CAS Versus a Closed One; 6 Contrarian Behavior: Beyond the Known Helpful Role; 6.1 Opening Remarks; 6.2 Controlled Experiments

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