The microscopic simulation of financial markets : from investor behavior to market phenomena /

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Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation betw...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Levy, Moshe
Other Authors: Levy, Haim, Solomon, Sorin
Format: Electronic eBook
Language:Inglés
Published: San Diego : Academic Press, �2000.
Subjects:
Investments > Mathematical models.
Investments > Computer simulation.
Capital market > Mathematical models.
Capital market > Computer simulation.
Investissements > Mod�eles math�ematiques.
Investissements > Simulation par ordinateur.
March�e financier > Mod�eles math�ematiques.
March�e financier > Simulation par ordinateur.
BUSINESS & ECONOMICS > Finance.
Capital market > Mathematical models
Investments > Computer simulation
Investments > Mathematical models
Financi�ele analyse.
Financiering.
Investeringen.
Simulatiemodellen.
Methodologie.
Mercado de capitais (modelos matem�aticos)
Mercado de capitais (simula�c�ao computacional)
Investimentos (modelos matem�aticos)
Investimentos (modelos matem�aticos;simula�c�ao computacional)
Online Access:Texto completo
Table of Contents:
  • Classic Models in Finance: Solved and Unsolved Issues.
  • Decision Weights, Change of Wealth, and Value Function: The Experimental Evidence.
  • Empirical and Experimental Evidence Regarding Preferences: Absolute and Relative Risk Aversion.
  • Inefficient Choices and Investors' Irrationality.
  • The Microscopic Simulation Method.
  • Microscopic Simulations in Various Fields.
  • The LLS Microscopic Simulation Model.
  • Various Financial Microscopic Simulations.
  • Prospect Theory, Asset Pricing, and Market Dynamics.
  • Applications of Microscopic Simulation to the CAPM: Heterogeneous Expectations and the Number of Assets in the Portfolio.
  • Application of Microscopic Simulation to Option Pricing: Uncertainty and Disagreement about the Volatility.
  • Bibliography.
  • Index.

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