Agent-Based Modeling

Agent-Based Modeling

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When the original Santa Fe Institute (SFI) arti?cial stock market was createdin the early 1990 s, the creators realizedthat it containedmany interesting new technologies that hadnever been testedin economic modeling. The authors kept to a very speci?c ?nance message in their papers, but the hope was that others wouldpick up where these papers left o? andput these important issues to the test. Tackling the c- plexities involvedin implementation has heldmany people back from this, andmany parts of the SFI market remain unexplored. Ehr- treich s book is an important andcareful study of some of the issues involvedin the workings of the SFI stock market. As Ehrentreich s book points out in its historical perspective, the SFI market was intended as a computational test bed for a market with boundedly rational learning agents replacing the standard setup of perfectly rational equilibrium modeling common in economics and- nance. These agents exhibit reasonable, purposeful behavior, but they are not able to completely process every aspect of the worldaround them. This can be viewedmuch more as a function of the compl- ity of the world, rather than the computational limitations of agents.qAnother school of technical analysis, Elliott-wave theory, claims that market prices follow several superimposed ... Questionnaire evidence from forex traders about their use of technical analysis was gathered by Allen and Taylor [7, 419].

Title:Agent-Based Modeling
Author:Norman Ehrentreich
Publisher:Springer Science & Business Media - 2008


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