Complex systems modeling and simulation in economics and finance /
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| Imprint: | Cham : Springer, 2018. |
|---|---|
| Description: | 1 online resource |
| Language: | English |
| Series: | Springer proceedigns in complexity Springer proceedigns in complexity. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/11737654 |
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| 245 | 0 | 0 | |a Complex systems modeling and simulation in economics and finance / |c Shu-Heng Chen, Ying-Fang Kao, Ragupathy Venkatachalam, Ye-Rong Du, editors. |
| 264 | 1 | |a Cham : |b Springer, |c 2018. | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file |b PDF |2 rda | ||
| 490 | 1 | |a Springer proceedigns in complexity | |
| 588 | 0 | |a Online resource; title from PDF title page (EBSCO, viewed November 27, 2018) | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Intro; Contents; About the Editors; On Complex Economic Dynamics: Agent-Based Computational Modeling and Beyond; 1 Agent-Based Computational Economics; 1.1 Financial Markets; 1.2 Market Processes; 1.3 Macroeconomy; 2 New Methodologies and Technologies for Complex Economic Dynamics; 3 Conclusion and Outlook; References; Part I Agent-Based Computational Economics; Dark Pool Usage and Equity Market Volatility; 1 Introduction; 2 Literature Review; 3 Model; 3.1 Trading Sessions and Traders; 3.2 Order Type, Order Size, and Order Urgency; 3.3 Order Submission and Cancelation | |
| 505 | 8 | |a 3.4 Order Submitted Price3.5 Order Execution in Exchange and Dark Pool; 3.6 Order Urgency Updated After Intraday Transaction; 4 Experiment; 5 Result; 6 Conclusion; References; Modelling Complex Financial Markets Using Real-Time Human-Agent Trading Experiments; 1 Introduction; 2 Motivation; 2.1 Complex Economic Systems; 2.2 Broken Markets: Flash Crashes and Subsecond Fractures; 3 Background; 3.1 The Continuous Double Auction; 3.2 Measuring Market Performance; 3.3 Human vs. Agent Experimental Economics; 4 Methodology; 5 Results; 5.1 Exploring the Robot Phase Transition: March 2012 | |
| 505 | 8 | |a 2.3 Trading Process3 Simulation Results; 4 Conclusion; References; Modelling Price Discovery in an Agent Based Model for Agriculture in Luxembourg; 1 Introduction; 2 Literature Survey; 3 Data and Model Structure; 3.1 Model Calibration; 3.2 Price Discovery in Rounds; 3.3 Scheduling; 4 Experiments and Results; 4.1 Modelling Behaviour; 4.2 Experiments; 4.3 Results; 4.3.1 Price Convergence; 5 Discussion; 6 Conclusions; References; Heterogeneity, Price Discovery and Inequality in an Agent-Based Scarf Economy; 1 Introduction; 2 The Scarf Economy and the Non-Tâtonnement Process | |
| 505 | 8 | |a 2.1 An Agent-Based Model of the Scarf Economy2.2 Trading Protocol; 3 Learning; 3.1 Individual Learning; 3.1.1 Protocol: Individual Learning; 3.2 Social Learning; 3.2.1 Protocol: Social Learning; 3.3 Meta Learning; 3.3.1 Two-Armed Bandit Problem; 3.3.2 Reinforcement Learning; 3.4 Reference Points; 4 Simulation Design; 4.1 A Summary of the Model; 4.1.1 Scale Parameters; 4.1.2 Behavioural Parameters; 4.2 Implementation; 5 Results; 5.1 Heterogeneity and Scaling Up; 5.2 Price Convergence; 5.3 Current and Accumulated Payoffs; 5.3.1 Accumulated Payoffs; 6 Discussion; 7 Conclusion; References | |
| 520 | |a This title brings together frontier research on complex economic systems, heterogeneous interacting agents, bounded rationality, and nonlinear dynamics in economics. The book contains the proceedings of the CEF2015 (21st Computing in Economics in Finance), held 20-22 June 2015 in Taipei, Taiwan, and addresses some of the important driving forces for various emergent properties in economies, when viewed as complex systems. The breakthroughs reported in this book are a result of an interdisciplinary approach and simulation remains the unifying theme for these papers as they deal with a wide range of topics in economics. This text is a valuable addition to complex systems scholarship in view of economic science. The computational experiments reported in the book are both transparent and replicable. Complex System Modeling and Simulation in Economics and Finance is useful for graduate courses of complex systems, with particular focus on economics and finance. At the same time it serves as a good overview for researchers who are interested in the topic.-- |c Provided by publisher. | ||
| 650 | 0 | |a Simulation methods. |0 http://id.loc.gov/authorities/subjects/sh85122767 | |
| 650 | 0 | |a Economics |x Computer simulation. | |
| 650 | 0 | |a Finance |x Computer simulation. | |
| 650 | 7 | |a SCIENCE |x System Theory. |2 bisacsh | |
| 650 | 7 | |a TECHNOLOGY & ENGINEERING |x Operations Research. |2 bisacsh | |
| 650 | 1 | 4 | |a Economic Theory/Quantitative Economics/Mathematical Methods. |0 http://scigraph.springernature.com/things/product-market-codes/W29000 |
| 650 | 2 | 4 | |a Data-driven Science, Modeling and Theory Building. |0 http://scigraph.springernature.com/things/product-market-codes/P33030 |
| 650 | 2 | 4 | |a Complex Systems. |0 http://scigraph.springernature.com/things/product-market-codes/M13090 |
| 650 | 2 | 4 | |a Artificial Intelligence. |0 http://scigraph.springernature.com/things/product-market-codes/I21000 |
| 650 | 7 | |a Economics |x Computer simulation. |2 fast |0 (OCoLC)fst00902128 | |
| 650 | 7 | |a Simulation methods. |2 fast |0 (OCoLC)fst01119166 | |
| 650 | 7 | |a Social research & statistics. |2 bicssc | |
| 650 | 7 | |a Applied mathematics. |2 bicssc | |
| 650 | 7 | |a Artificial intelligence. |2 bicssc | |
| 650 | 7 | |a Economic theory & philosophy. |2 bicssc | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Chen, Shu-Heng, |e editor. | |
| 700 | 1 | |a Kao, Ying-Fang, |e editor. | |
| 700 | 1 | |a Venkatachalam, Ragupathy, |e editor. | |
| 700 | 1 | |a Du, Ye-Rong, |e editor. | |
| 776 | 0 | 8 | |i Print version: |t Complex systems modeling and simulation in economics and finance. |d Cham : Springer, 2018 |z 3319996223 |z 9783319996226 |w (OCoLC)1045469315 |
| 830 | 0 | |a Springer proceedigns in complexity. | |
| 880 | 8 | |6 505-00/(S |a 5.1.1 Market Data5.1.2 Smith's α; 5.1.3 Allocative Efficiency; 5.1.4 Delta Profit; 5.1.5 Profit Dispersion; 5.1.6 Execution Counterparties; 5.2 Effect of Agent Speed on Market Efficiency: April-June 2011; 5.2.1 Smith's α; 5.2.2 Allocative Efficiency and Delta Profit; 5.2.3 Profit Dispersion; 6 Discussion; 6.1 Evidence for the Robot Phase Transition (RPT); 6.2 Fast Agents and Market Efficiency; 6.3 Realism in Market Experiments: Artefacts or Evidence; 7 Conclusion; References; Does High-Frequency Trading Matter; 1 Introduction; 2 The Model; 2.1 The Market Model; 2.2 Expectations | |
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| 928 | |t Library of Congress classification |a T57.62 |l Online |c UC-FullText |u https://link.springer.com/10.1007/978-3-319-99624-0 |z Springer Nature |g ebooks |i 12558483 | ||