Complexity in Financial Markets Modeling Psychological Behavior in Agent-Based Models and Order Book Models /

Tools and methods from complex systems science can have a considerable impact on the way in which the quantitative assessment of economic and financial issues is approached, as discussed in this thesis. First  it is shown that the self-organization of financial markets is a crucial factor in the und...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Cristelli, Matthieu (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2014.
Edición:1st ed. 2014.
Colección:Springer Theses, Recognizing Outstanding Ph.D. Research,
Temas:
System theory.
Econometrics.
Data mining.
Game theory.
Complex Systems.
Quantitative Economics.
Data Mining and Knowledge Discovery.
Game Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Introduction
  • Stylized Facts
  • Agent-Based Modeling
  • Critical Review of Agent-Based Models
  • A Minimal Agent-Based Model
  • Financial Market Dynamics: Order Book and Data Analysis
  • Order Book: Introduction and Main Statistical Evidences
  • Zero Intelligence Model for the Order Book Dynamics
  • Evidences of strategic placements of orders
  • Quantitative Analysis of Technical Trading
  • Universal Relation between Skewness and Kurtosis
  • Web Queries Can Predict Stock Market Volumes
  • A Metric for the Economic Complexity
  • Theory of Economic growth.

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