Complex systems modeling and simulation in economics and finance. (2018)

• Record Type: Book
• Further Information: Note: Shu-Heng Chen, Ying-Fang Kao, Ragupathy Venkatachalam, Ye-Rong Du, editors.
• Editors: Chen, Shu-Heng; Kao, Ying-Fang; Venkatachalam, Ragupathy; Du, Ye-Rong
• Contents: 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 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 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 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
• Publisher Details: Cham : Springer
• Publication Date: 2018
• Extent: 1 online resource
• Subjects: 003/.3; Simulation methods; Economics -- Computer simulation; Finance -- Computer simulation; SCIENCE / System Theory; TECHNOLOGY & ENGINEERING / Operations Research; Economic Theory/Quantitative Economics/Mathematical Methods; Data-driven Science, Modeling and Theory Building; Complex Systems; Artificial Intelligence; Economics -- Computer simulation; Simulation methods; Electronic books
• Languages: English
• ISBNs: 9783319996240
• Related ISBNs: 331999624X; 9783319996226; 3319996223
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (EBSCO, viewed November 27, 2018)
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.