Complexity in financial markets modeling psychological behavior in agent-based models and order book models Matthieu Cristelli

Format:

Book

Thesis/Dissertation

Author/Creator:

Cristelli, Matthieu, author.

Series:

Springer theses 2190-5053

Language:

English

Subjects (All):

Commerce--Mathematical models.

Commerce.

System theory.

Systems Theory.

Medical Subjects:

Systems Theory.

Genre:

dissertations

Academic theses

Physical Description:

1 online resource

Place of Publication:

Cham Springer [2013?]

Summary:

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 understanding of their dynamics. In fact, using an agent-based approach, it is argued that financial markets' stylized facts appear only in the self-organized state. Secondly, the thesis points out the potential of so-called big data science for financial market modeling, investigating how web-driven data can yield a picture of market activities: it has been found that web query volumes anticipate trade volumes. As a third achievement, the metrics developed here for country competitiveness and product complexity is groundbreaking in comparison to mainstream theories of economic growth and technological development. A key element in assessing the intangible variables determining the success of countries in the present globalized economy is represented by the diversification of the productive basket of countries. The comparison between the level of complexity of a country's productive system and economic indicators such as the GDP per capita discloses its hidden growth potential

Contents:

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

Notes:

Ph. D. Sapienza University of Rome (2013?)

Includes bibliographical references

Online resource; title from PDF title page (SpringerLink, viewed September 3, 2013)

Other Format:

Printed edition:

ISBN:

9783319007236

3319007238

331900722X

9783319007229

OCLC:

857819468

Access Restriction:

Restricted for use by site license