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

✍ Scribed by Matthieu Cristelli (auth.)


Publisher
Springer International Publishing
Year
2014
Tongue
English
Leaves
222
Series
Springer Theses
Edition
1
Category
Library

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✦ Synopsis


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.

✦ Table of Contents


Front Matter....Pages i-xix
Introduction....Pages 1-17
Stylized Facts....Pages 19-25
Front Matter....Pages 27-27
Critical Review of Agent-Based Models....Pages 29-54
A Minimal Agent-Based Model and Self-Organization of Financial Markets....Pages 55-86
Front Matter....Pages 87-87
Order Book: Introduction and Main Statistical Evidences....Pages 89-97
Zero Intelligence Model for the Order Book Dynamics....Pages 99-111
Evidences of Strategic Placements of Orders....Pages 113-126
Quantitative Analysis of Technical Trading....Pages 127-139
Universal Relation Between Skewness and Kurtosis in Complex Dynamics....Pages 141-150
Web Queries Can Predict Stock Market Volumes....Pages 151-161
Front Matter....Pages 163-163
Theory of Economic Growth....Pages 165-170
Beyond Classical Theory of Economic Growth....Pages 171-188
A New Metric for the Competitiveness of Countries and the Quality of Products....Pages 189-203
Back Matter....Pages 205-216

✦ Subjects


Socio- and Econophysics, Population and Evolutionary Models;Economic Theory;Data Mining and Knowledge Discovery;Complex Systems;Game Theory, Economics, Social and Behav. Sciences


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