An introduction to econophysics: correlations and complexity in finance
An introduction to econophysics: correlations and complexity in finance
Robust Evolutionary Algorithm Design for Socio-economic Simulation
Computational Economics
Can Irrational Investors Survive? A Social-Computing Perspective
IEEE Intelligent Systems
Asymmetric pricing: an agent based model
MS '07 The 18th IASTED International Conference on Modelling and Simulation
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In financial modeling, the return from dividends over the long term has been a significant contributor to the total returns produced by equity securities [1][2][3]. There is an abundance of empirical evidence which suggests that portfolios consisting of higher dividend yielding securities produce returns that are attractive with respect to lower yielding portfolios and to overall stock market returns over long measurement periods. Nevertheless, the dynamic of returns for equity securities with low (or no) dividend, over the medium period, shows some intriguing features. Which conditions lead to high returns? Which agent-based micro model can be used to explain the macro dynamic of returns? We study the value of Alitalia's stocks, in the period from October the 22-nd 2002 to October the 22-nd 2007. We use an agent-based model, based on chartist and fundamentalists behavior. We could sketch the results into two categories. 1. For low profitability firms (low or no dividends) we found distinctive variations in autocorrelations functions of returns just before growth of returns. 2. We use a novel qualification for returns, the return's closeness, to explain these variations on the whole the performance of returns.