Title
Complexity in financial markets [electronic resource] : modeling psychological behavior in agent-based models and order book models / Matthieu Cristelli.
ISBN
9783319007236 electronic book
3319007238 electronic book
9783319007229
Published
Cham : Springer, [2013?]
Copyright
©2014
Language
English
Description
1 online resource (xix, 216 pages) : illustrations (some color).
Item Number
10.1007/978-3-319-00723-6 doi
Call Number
HB135
Dewey Decimal Classification
330.01/5118
Summary
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.
Dissertation Note
Ph.D. Sapienza University of Rome [2013?]
Bibliography, etc. Note
Includes bibliographical references.
Access Note
Access limited to authorized users.
Source of Description
Description based on online resource; title from PDF title page (SpringerLink, viewed September 3, 2013).
Series
Springer theses, 2190-5053
Introduction
Stylized Facts
Agent-Based Modeling
Critical Review of Agent-Based Models
A Minimal Agent-Based Model
Financial Market Dynamics: Order Book and Data Analysis
Order Book: Introduction and Main Statistical Evidences
Zero Intelligence Model for the Order Book Dynamics
Evidences of strategic placements of orders
Quantitative Analysis of Technical Trading
Universal Relation between Skewness and Kurtosis
Web Queries Can Predict Stock Market Volumes
A Metric for the Economic Complexity
Theory of Economic growth.
