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Complexity in Financial Markets: Modeling Psychological Behavior in Agent-Based Models and Order Book Models: Springer Theses

Autor Matthieu Cristelli
en Limba Engleză Hardback – 11 sep 2013
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.
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Specificații

ISBN-13: 9783319007229
ISBN-10: 331900722X
Pagini: 212
Ilustrații: XIX, 216 p.
Dimensiuni: 155 x 235 x 20 mm
Greutate: 0.45 kg
Ediția:2014
Editura: Springer International Publishing
Colecția Springer
Seria Springer Theses

Locul publicării:Cham, Switzerland

Public țintă

Research

Cuprins

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.

Textul de pe ultima copertă

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.

Caracteristici

Nominated as an outstanding PhD thesis by the University of Rome La Sapienza Explains the self-organization of financial markets Provides new metrics for economic complexity: measuring countries' competitiveness and product complexity Applies big data and new generation tools for forecasting economic growth Includes supplementary material: sn.pub/extras