Skip to main content
Fachgebiete
Automobil + Motoren Bauwesen + Immobilien Business IT + Informatik Elektrotechnik + Elektronik Energie + Nachhaltigkeit Finance + Banking Management + Führung Marketing + Vertrieb Maschinenbau + Werkstoffe Versicherung + Risiko
DE
EN
Bücher
Zeitschriften
Themenseiten
Organisationspsychologie Projektmanagement Marketing Smart Manufacturing
Weitere Formate
Podcasts Webinare Technik Webinare Wirtschaft Kongresse Veranstaltungskalender Awards
Jetzt Einzelzugang starten
Zugang für Unternehmen
Referenzkunden
SLX-Digitalkonferenz: Zukunftswerkstatt 2024

Mehr Umsatz mit Top-Kontakten

Am 7. Mai erfahren Sie, wie Vertriebsteams Leadgenerierung, Leadnurturing und Leadstrategien effizient steuern können.
Erweiterte Suche
Anmelden
nach oben
Erschienen in:
Buchtitelbild

2011 | OriginalPaper | Buchkapitel

Agent Based Computational Economics

verfasst von : Moshe Levy

Erschienen in: Complex Systems in Finance and Econometrics

Verlag: Springer New York

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Article Outline

Glossary
Definition of the Subject
Introduction
Some of the Pioneering Studies
Illustration with the LLS Model
Summary and Future Directions
Bibliography

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Jetzt informieren
Nächstes Kapitel Agent Based Modeling and Neoclassical Economics: A Critical Perspective*
Literatur
1.
Admati A, Pfleiderer P (1988) A theory of intraday patterns: Volume and price variability. Rev Financ Stud 1:3–40CrossRef
2.
Arthur WB (1994) Inductive reasoning and bounded rationality (The El Farol problem). Am Econ Rev 84:406–411
3.
Arthur WB, Holland JH, Lebaron B, Palmer RG, Tayler P (1997) Asset pricing under endogenous expectations in an artificial stock market. In: Arthur WB, Durlauf S, Lane D (eds) The economy as an evolving complex system II. Addison-Wesley, Redwood City
4.
Brock WA, Hommes CA (1998) Heterogeneous beliefs and routes to chaos in a simple asset pricing model. J Econ Dyn Control 22:1235–1274CrossRef
5.
Egenter E, Lux T, Stauffer D (1999) Finite size effects in Monte Carlo Simulations of two stock market models. Physica A 268:250–256CrossRef
6.
Epstein JM, Axtell RL (1996) Complex adaptive systems. In: Growing artificial societies: Social science from the bottom up. MIT Press, Washington DC
7.
Fama E, French K (1988) Permanent and temporary components of stock prices. J Political Econ 96:246–273CrossRef
8.
Friend I, Blume ME (1975) The demand for risky assets. Am Econ Rev 65:900–922
9.
Gordon J, Paradis GE, Rorke CH (1972) Experimental evidence on alternative portfolio decision rules. Am Econ Rev 62(1):107–118
10.
Grossman S, Stiglitz J (1980) On the impossibility of informationally efficient markets. Am Econ Rev 70:393–408
11.
Hellthaler T (1995) The influence of investor number on a microscopic market. Int J Mod Phys C 6:845–852CrossRef
12.
Hommes CH (2002) Modeling the stylized facts in finance through simple nonlinear adaptive systems. PNAS 99:7221–7228CrossRef
13.
Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J Finance 48:65–91CrossRef
14.
Karpoff J (1987) The relationship between price changes and trading volume: A survey. J Financ Quantitative Anal 22:109–126CrossRef
15.
Kim GW, Markowitz HM (1989) Investment rules, margin, and market volatility. J Portf Manag 16:45–52CrossRef
16.
Kirman AP (1992) Whom or what does the representative agent represent? J Econ Perspectiv 6:117–136
17.
Kohl R (1997) The influence of the number of different stocks on the Levy, Levy Solomon model. Int J Mod Phys C 8:1309–1316CrossRef
18.
Kroll Y, Levy H, Rapoport A (1988) Experimental tests of the separation theorem and the capital asset pricing model. Am Econ Rev 78:500–519
19.
LeBaron B (2000) Agent-based computational finance: Suggested readings and early research. J Econ Dyn Control 24:679–702CrossRef
20.
Levy H (1994) Absolute and relative risk aversion: An experimental study. J Risk Uncertain 8:289–307CrossRef
21.
Levy H, Lim KC (1998) The economic significance of the cross-sectional autoregressive model: Further analysis. Rev Quant Finance Acc 11:37–51CrossRef
22.
Levy M, Levy H (1996) The danger of assuming homogeneous expectations. Financ Analyst J 52:65–70CrossRef
23.
Levy M, Levy H, Solomon S (1994) A microscopic model of the stock market: Cycles, booms, and crashes. Econs Lett 45:103–111CrossRef
24.
Levy M, Levy H, Solomon S (2000) Microscopic simulation of financial markets. Academic Press, San Diego
25.
Levy M, Persky N, Solomon, S (1996) The complex dyn of a simple stock market model. Int J High Speed Comput 8:93–113CrossRef
26.
27.
Lux T (1998) The socio-economic dynamics of speculative bubbles: Interacting agents, chaos, and the fat tails of returns distributions. J Econ Behav Organ 33:143–165CrossRef
28.
Lux T, Marchesi M (1999) Volatility clustering in financial markets: A micro-simulation of interacting agents. Nature 397:498CrossRef
29.
Orcutt GH, Caldwell SB, Wertheimer R (1976) Policy exploration through microanalytic simulation. The Urban Institute, Washington DC
30.
Palmer RG, Arthur WB, Holland JH, LeBaron B, Tayler P (1994) Artificial economic life: A simple model of a stock market. Physica D 75:264–274CrossRef
31.
Poterba JM, Summers LH (1988) Mean reversion in stock returns: Evidence and implications. J Financial Econs 22:27–59CrossRef
32.
Samanidou E, Zschischang E, Stauffer D, Lux T (2007) Agent-based models of financial markets. Rep Prog Phys 70:409–450CrossRef
33.
Samuelson PA (1989) The judgement of economic science on rational portfolio management: Timing and long horizon effects. J Portfolio Manag 16:4–12CrossRef
34.
Samuelson PA (1994) The long term case for equities and how it can be oversold. J Portf Management 21:15–24CrossRef
35.
Sargent T (1993) Bounded rationality and macroeconomics. Oxford University Press, Oxford
36.
Schelling TC (1978) Micro motives and macro behavior. Norton & Company, New York
37.
Shiller RJ (1981) Do stock prices move too much to be justified by subsequent changes in dividends? Am Econ Rev 71:421–436
38.
Stauffer D, de Oliveira PMC, Bernardes AT (1999) Monte Carlo Simulation of volatility correlation in microscopic market model. Int J Theor Appl Finance 2:83–94CrossRef
39.
Tesfatsion L (2002) Agent-based computational economics: Growing economies from the bottom up. Artif Life 8:55–82CrossRef
40.
Tesfatsion L (2001) Special issue on agent-based computational economics. J Econ Dyn Control 25:281–293CrossRef
41.
Thaler R (ed) (1993) Advances in behavioral finance. Russel Sage Foundation, New York
42.
Thaler R (1994) Quasi rational economics. Russel Sage Foundation, New York
43.
Tversky A, Kahneman D (1981) The framing of decisions and the psychology of choice. Science 211:453–480CrossRef
44.
Tversky A, Kahneman D (1986) Rational choice and the framing of decision. J Bus 59(4):251–278CrossRef
45.
Tversky A, Kahneman D (1992) Advances in prospect theory: Cumulative representation of uncertainty. J Risk Uncertain 5:297–323CrossRef
46.
Anderson PW, Arrow J, Pines D (eds) (1988) The economy as an evolving complex system. Addison-Wesley, Redwood City
47.
Axelrod R (1997) The complexity of cooperation: Agent-based models of conflict and cooperation. Princeton University Press, Princeton
48.
Moss de Oliveira S, de Oliveira H, Stauffer D (1999) Evolution, money, war and computers. BG Teubner, Stuttgart-Leipzig
49.
Solomon S (1995) The microscopic representation of complex macroscopic phenomena. In: Stauffer D (ed) Annual Rev Comput Phys II. World Scientific, Singapore
Metadaten
Titel
Agent Based Computational Economics
verfasst von
Moshe Levy
Copyright-Jahr
2011
Buch
Complex Systems in Finance and Econometrics

Print ISBN: 978-1-4419-7700-7

Electronic ISBN: 978-1-4419-7701-4

Copyright-Jahr: 2011

DOI
https://doi.org/10.1007/978-1-4419-7701-4_1