NN-Based Multiagent Platform for Testing Investing Strategies
AIMSA '08 Proceedings of the 13th international conference on Artificial Intelligence: Methodology, Systems, and Applications
Multiagent-Based Portfolio Simulation Using Neural Networks
MICAI '08 Proceedings of the 7th Mexican International Conference on Artificial Intelligence: Advances in Artificial Intelligence
Virtual computational field-based multiagent systems: a conceptual view
ACMOS'09 Proceedings of the 11th WSEAS international conference on Automatic control, modelling and simulation
The global financial markets: an ultra-large-scale systems perspective
Proceedings of the 17th Monterey conference on Large-Scale Complex IT Systems: development, operation and management
Cloud engineering is Search Based Software Engineering too
Journal of Systems and Software
Hi-index | 0.01 |
This pioneering book describes the applications of agent-based modeling to financial markets. It presents a new paradigm for finance, where markets are treated as complex systems whose behavior emerges as a result of interactions of market participants, market institutions, and market rules. This includes both a presentation of the conceptual model and its software implementation. It also summarises the result of the profound research on the successful practical application of this new approach to answer questions regarding the Nasdaq Stock Market s decimalization that was implemented in 2001. The book presents conceptual foundations for modeling markets as complex systems. It describes the agent-based model of the Nasdaq stock market, including strategies used by market-makers and investors, market participants interactions, and impacts of rules and regulations. It includes analyses of simulation behavior, comparison with the behaviors observed in the real-world markets (existence of fat tails, spread clustering, etc.), and predictions about possible outcomes of decimalization. A framework for calibrating the market behavior and individual market-makers strategies to historical data is also presented.