Research Catalog

Title

Agent-based modeling : the Santa Fe Institute artificial stock market model revisited / Norman Ehrentreich.

Author

Ehrentreich, Norman.

Publication

Berlin ; New York : Springer, [2008], ©2008.

Items in the Library & Off-site

Holdings

Details

Additional Authors

Santa Fe Institute (Santa Fe, N.M.)

Description

xvi, 230 pages : illustrations; 24 cm.

Series Statement

Lecture notes in economics and mathematical systems, 0075-8442 ; 602

Uniform Title

Lecture notes in economics and mathematical systems ; 602.

Subjects

• Equilibrium (Economics) > Econometric models
• Rational expectations (Economic theory)
• Financial engineering
• Evolutionary economics
• Wiskundige modellen
• Effecten

Bibliography (note)

• Includes bibliographical references (p. [195]-225) and index.

Contents

Part I Agent-Based Modeling in Economics -- 2 The Rationale for Agent-Based Modeling 5 -- 2.2 The Representative Agent Modeling Approach 7 -- 2.2.1 Avoiding the Lucas-Critique 8 -- 2.2.2 Building Walrasian General Equilibrium Models 9 -- 2.2.3 Representative Agents and the Fallacy of Composition 10 -- 2.2.4 Expectation Formation in Markets with Heterogeneous Investors 11 -- 2.3 Rational Expectations and Disequilibrium Dynamics 13 -- 2.4 The Economy as an Evolving Complex Adaptive System 14 -- 2.5 Some Methodological Aspects of Agent-Based Simulations 16 -- 3 The Concept of Minimal Rationality 19 -- 3.2 Economic, Bounded, and Situational Rationality 21 -- 3.3 Situational Analysis, Minimal Rationality, and the Prime Directive 24 -- 3.4 Minimal Rationality and the Phillips-Curve 26 -- 4 Learning in Economics 29 -- 4.2 Definitions of Learning 29 -- 4.3 Rationality-Based Learning Models 31 -- 4.4 Biologically Inspired Learning Models 32 -- 4.4.1 Learning Through Replicator Dynamics 34 -- 4.4.2 Learning Through Genetic Algorithms 36 -- 4.4.3 Learning Through Classifier Systems 46 -- 5 Replicating the Stylized Facts of Financial Markets 51 -- 5.1 Efficient Markets and the Efficient Market Hypothesis 51 -- 5.1.2 Random Walks or Martingales? 53 -- 5.1.3 Tests for Market Efficiency 55 -- 5.2 Stylized Facts of Financial Markets 56 -- 5.2.1 Non-Normal Return Distributions 56 -- 5.2.2 Volatility Clustering of Returns 60 -- 5.2.3 High and Persistent Trading Volume 64 -- 5.2.4 Existence of Technical Trading 65 -- 5.3 Alternative Market Hypotheses 70 -- 5.3.1 The Fractal Market Hypothesis 70 -- 5.3.2 The Coherent Market Hypothesis 71 -- 5.3.3 The Adaptive Market Hypothesis 72 -- 5.3.4 The Interacting-Agent Hypothesis 75 -- 5.4 Agent-Based Computational Models of Financial Markets 75 -- 5.4.1 Allocative Efficiency with Zero-Intelligence Traders 76 -- 5.4.2 Models with a Random Communication Structure 79 -- 5.4.3 Models of Chartist-Fundamentalist Interactions 83 -- 5.4.4 Many-Strategy Models with Learning 85 -- Part II The Santa Fe Institute Artificial Stock Market Model Revisited -- 6 The Original Santa Fe Institute Artificial Stock Market 91 -- 6.2 The Marimon-Sargent Hypothesis and the SFI-ASM 92 -- 6.3 An Overview of SFI-ASM Versions 93 -- 6.4 The Basic Structure of the SFI-ASM 94 -- 6.4.1 Trading Rules and Expectation Formation 95 -- 6.4.2 Learning and Rule Evolution 99 -- 6.4.3 Other Programming Details and Initialization of Model Parameters 101 -- 6.5 The Homogeneous Rational Expectations Equilibrium 102 -- 6.6 The Marimon-Sargent Hypothesis Refined 103 -- 6.7 Simulation Results of the SFI-ASM 104 -- 6.7.1 Time Series Behavior 104 -- 6.7.2 Forecast Properties 106 -- 6.8 A Potential Problem: A Biased Mutation Operator 108 -- 7 A Suggested Modification to the SFI-ASM 113 -- 7.2 An Unbiased Mutation Operator 114 -- 7.3 Simulation Results with the Modified SFI-ASM 115 -- 7.3.1 Trading Bit Behavior 115 -- 7.3.2 Time Series Properties 118 -- 7.4 Robustness of the Zero-Bit Solution 121 -- 7.4.1 Stochastic versus Periodic Dividends and the Classifier System 121 -- 7.4.2 Dependence on Other Parameter Values 122 -- 7.4.3 Generalization or Consistent Trading Rules? 123 -- 8 An Analysis of Wealth Levels 127 -- 8.2 Wealth Levels in the SFI-ASM: An Economic(al) Explanation 128 -- 8.3 Previous Studies Based on Wealth Levels in the SFI-ASM 129 -- 8.3.1 Financial Markets Can Be at Sub-Optimal Equilibria 129 -- 8.3.2 Technical Trading as a Prisoner's Dilemma 131 -- 8.4 Wealth Levels in the SFI-ASM: Alternative Explanations 133 -- 8.4.1 Risk-Premium, Taxation, and Two Benchmark Wealth Levels 133 -- 8.4.2 Average Stock Holdings and Wealth Levels 135 -- 8.4.3 Activated Rules and Rule Selection 139 -- 8.5 A Verdict on Wealth Analysis in the SFI-ASM 145 -- 9 Selection, Genetic Drift, and Technical Trading 147 -- 9.2 Technical Trading and the Aggregate Bit Level 148 -- 9.3 The Zero-Bit Solution: Some Disturbing Evidence 150 -- 9.4 Random Genetic Drift in Genetic Algorithms 152 -- 9.5 The Neutralist-Selectionist Controversy 154 -- 9.6 Fitness Driven Selection or Genetic Drift? 157 -- 9.6.1 Selection or Genetic Drift in the Modified SFI-ASM? 157 -- 9.6.2 Selection or Genetic Drift in the Original SFI-ASM? 159 -- 9.6.3 Genetic Drift, Fitness Gradient, and Population Size 161 -- 9.7 The Effect of Mutation on Genetic Drift 162 -- 9.7.1 Genetic Drift, Mutation, and Crossover Only in SFI Agents 162 -- 9.7.2 Genetic Drift, Mutation, and Crossover Only in Bit-Neutral Agents 166 -- 9.7.3 An Equilibrium Analysis of Genetic Drift and Mutation 166 -- 9.7.4 A Final Assessment of the Two Mutation Operators 171 -- 9.8 Detection of Emergence of Technical Trading 172 -- 9.8.1 Predictability in the Price Series 172 -- 9.8.2 Trading Bits and Fitness Values 173 -- 9.8.3 Equilibrium Bit Frequencies and Bit Fixations 176 -- 9.9 An Evolutionary Perspective on Technical Trading 177 -- 11.1 Timing in the Stock Market 187 -- 11.2 Fundamental and Technical Trading Bits 189.

ISBN

• 9783540738787
• 3540738789

LCCN

2007937522

OCLC

• ocn166386559
• SCSB-9039050

Owning Institutions

Columbia University Libraries