realistic simulation of financial markets analyzing market behaviors by the third mode of science evolutionary economics and social complexity science

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Realistic Simulation Of Financial Markets

Author : Hajime Kita
ISBN : 9784431550570
Genre : Business & Economics
File Size : 26. 61 MB
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This book takes up unique agent-based approaches to solving problems related to stock and their derivative markets. Toward this end, the authors have worked for more than 15 years on the development of an artificial market simulator called U-Mart for use as a research and educational tool. A noteworthy feature of the U-Mart simulator compared to other artificial market simulators is that U-Mart is an ultra-realistic artificial stock and their derivative market simulator. For example, it can simulate “arrowhead,” a next-generation trading system used in the Tokyo Stock Exchange and other major markets, as it takes into consideration the institutional design of the entire market. Another interesting feature of the U-Mart simulator is that it permits both human and computer programs to participate simultaneously as traders in the artificial market. In this book, first the details of U-Mart are explained, enabling readers to install and run the simulator on their computers for research and educational purposes. The simulator thus can be used for gaming simulation of the artificial market and even for users as agents to implement their own trading strategies for agent-based simulation (ABS).The book also presents selected research cases using the U-Mart simulator. Here, topics include automated acquisition of trading strategy using artificial intelligence techniques, evaluation of a market maker system to treat thin markets such as those for small and regional businesses, systemic risk analysis of the financial market considering institutional design of the market, and analysis of how humans behave and learn in gaming simulation. New perspectives on artificial market research are provided, and the power, potential, and challenge of ABS are discussed. As explained in this important work, ABS is considered to be an effective tool as the third approach of social science, an alternative to traditional literary and mathematical approaches.

Modeling Complexity In Economic And Social Systems

Author : Frank Schweitzer
ISBN : 9789814488358
Genre : Science
File Size : 68. 82 MB
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Economics and the social sciences are, in fact, the “hard” sciences, as Herbert Simon argued, because the complexity of the problems dealt with cannot simply be reduced to analytically solvable models or decomposed into separate subprocesses. Nevertheless, in recent years, the emerging interdisciplinary “sciences of complexity” have provided new methods and tools for tackling these problems, ranging from complex data analysis to sophisticated computer simulations. In particular, advanced methods developed in the natural sciences have recently also been applied to social and economic problems. The twenty-one chapters of this book reflect this modern development from various modeling perspectives (such as agent-based models, evolutionary game theory, reinforcement learning and neural network techniques, time series analysis, non-equilibrium macroscopic dynamics) and for a broad range of socio-economic applications (market dynamics, technological evolution, spatial dynamics and economic growth, decision processes, and agent societies). They jointly demonstrate a shift of perspective in economics and the social sciences that is allowing a new outlook in this field to emerge. Contents:Market Dynamics:Trading Behavior and Excess Volatility in Toy Markets (M Marsili & D Challet)Percolation Models of Financial Market Dynamics (D Stauffer)Electrodynamical Model of Quasi-Efficient Financial Markets (K N Ilinski & A S Stepanenko)Multi-Agent Market Modeling of Foreign Exchange Rates (G Zimmermann et al.)Forecasting Price Increments Using an Artificial Neural Network (F Castiglione)Spectral Regularization, Data Complexity and Agent Behavior (A Ilyinsky)Technological Evolution:Dynamics of Economic and Technological Search Processes in Complex Adaptive Landscapes (W Ebeling et al.)New Results in a Self-Organized Model of Technological Evolution (A Arenas et al.)Firms' Decision-Making Process in an Evolutionary Model of Industrial Dynamics (W Kwasnicki)Spatial Dynamics and Economic Growth:Modelling Migration and Economic Agglomeration with Active Brownian Particles (F Schweitzer)The Evolution of Industrial Clusters — Simulating Spatial Dynamics (T Brenner & N Weigelt)The Growth Dynamics of German Business Firms (J Voit)A Dynamic Theory of a Firm: An Application of ‘Economic Forces’ (M Estola)Decision Processes:Adaptive Platform Dynamics in Multi-Party Spatial Voting (B M R Stadler)Subtle Nonlinearity in Popular Album Charts (R A Bentley & H D G Maschner)Dynamical Aspects in the Adoption of Agri-Environmental Measures (G Weisbuch & G Boudjema)Collective Choice and Mutual Knowledge Structures (D Richards et al.)Agent Societies:Evolutionary Study of Interethnic Co-Operation (V Kvasnicka & J Pospichal)Coalition Factor in the Evolution of Non-Kin Altruism (J-L Dessalles)Optimal Payoff Functions for Members of Collectives (D H Wolpert & K Tumer)A Day at the Beach: Human Agents Self-Organizing on the Sand Pile (H Ishii et al.) Readership: Researchers in the field of complex system science, economists, sociologists, physicists with an interdisciplinary focus, graduates, and professionals. Keywords:

An Evolutionary Theory Of Economic Change

Author : Richard R. Nelson
ISBN : 0674041437
Genre : Business & Economics
File Size : 43. 37 MB
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This book contains the most sustained and serious attack on mainstream, neoclassical economics in more than forty years. Nelson and Winter focus their critique on the basic question of how firms and industries change overtime. They marshal significant objections to the fundamental neoclassical assumptions of profit maximization and market equilibrium, which they find ineffective in the analysis of technological innovation and the dynamics of competition among firms. To replace these assumptions, they borrow from biology the concept of natural selection to construct a precise and detailed evolutionary theory of business behavior. They grant that films are motivated by profit and engage in search for ways of improving profits, but they do not consider them to be profit maximizing. Likewise, they emphasize the tendency for the more profitable firms to drive the less profitable ones out of business, but they do not focus their analysis on hypothetical states of industry equilibrium. The results of their new paradigm and analytical framework are impressive. Not only have they been able to develop more coherent and powerful models of competitive firm dynamics under conditions of growth and technological change, but their approach is compatible with findings in psychology and other social sciences. Finally, their work has important implications for welfare economics and for government policy toward industry.

Behavioral Rationality And Heterogeneous Expectations In Complex Economic Systems

Author : Cars Hommes
ISBN : 9781107019294
Genre : Business & Economics
File Size : 60. 8 MB
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Recognising that the economy is a complex system with boundedly rational interacting agents, applies complexity modelling to economics and finance.

Agent Based Models

Author : Domenico Delli Gatti
ISBN : 9781108243988
Genre : Business & Economics
File Size : 20. 64 MB
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In contrast to mainstream economics, complexity theory conceives the economy as a complex system of heterogeneous interacting agents characterised by limited information and bounded rationality. Agent Based Models (ABMs) are the analytical and computational tools developed by the proponents of this emerging methodology. Aimed at students and scholars of contemporary economics, this book includes a comprehensive toolkit for agent-based computational economics, now quickly becoming the new way to study evolving economic systems. Leading scholars in the field explain how ABMs can be applied fruitfully to many real-world economic examples and represent a great advancement over mainstream approaches. The essays discuss the methodological bases of agent-based approaches and demonstrate step-by-step how to build, simulate and analyse ABMs and how to validate their outputs empirically using the data. They also present a wide set of applications of these models to key economic topics, including the business cycle, labour markets, and economic growth.

Economics With Heterogeneous Interacting Agents

Author : Alessandro Caiani
ISBN : 9783319440583
Genre : Business & Economics
File Size : 28. 55 MB
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This book offers a practical guide to Agent Based economic modeling, adopting a “learning by doing” approach to help the reader master the fundamental tools needed to create and analyze Agent Based models. After providing them with a basic “toolkit” for Agent Based modeling, it present and discusses didactic models of real financial and economic systems in detail. While stressing the main features and advantages of the bottom-up perspective inherent to this approach, the book also highlights the logic and practical steps that characterize the model building procedure. A detailed description of the underlying codes, developed using R and C, is also provided. In addition, each didactic model is accompanied by exercises and applications designed to promote active learning on the part of the reader. Following the same approach, the book also presents several complementary tools required for the analysis and validation of the models, such as sensitivity experiments, calibration exercises, economic network and statistical distributions analysis. By the end of the book, the reader will have gained a deeper understanding of the Agent Based methodology and be prepared to use the fundamental techniques required to start developing their own economic models. Accordingly, “Economics with Heterogeneous Interacting Agents” will be of particular interest to graduate and postgraduate students, as well as to academic institutions and lecturers interested in including an overview of the AB approach to economic modeling in their courses.

Non Equilibrium Social Science And Policy

Author : Jeffrey Johnson
ISBN : 9783319424248
Genre : Science
File Size : 22. 45 MB
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The overall aim of this book, an outcome of the European FP7 FET Open NESS project, is to contribute to the ongoing effort to put the quantitative social sciences on a proper footing for the 21st century. A key focus is economics, and its implications on policy making, where the still dominant traditional approach increasingly struggles to capture the economic realities we observe in the world today - with vested interests getting too often in the way of real advances. Insights into behavioral economics and modern computing techniques have made possible both the integration of larger information sets and the exploration of disequilibrium behavior. The domain-based chapters of this work illustrate how economic theory is the only branch of social sciences which still holds to its old paradigm of an equilibrium science - an assumption that has already been relaxed in all related fields of research in the light of recent advances in complex and dynamical systems theory and related data mining. The other chapters give various takes on policy and decision making in this context. Written in nontechnical style throughout, with a mix of tutorial and essay-like contributions, this book will benefit all researchers, scientists, professionals and practitioners interested in learning about the 'thinking in complexity' to understand how socio-economic systems really work.

Evolutionary Foundations Of Economic Science

Author : Yuji Aruka
ISBN : 9784431548447
Genre : Business & Economics
File Size : 79. 62 MB
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This book aims to discern and distinguish the essential features of basic economic theories and compare them with new theories that have arisen in recent years. The book focuses on seminal economic ideas and theories developed mainly in the 1930s to 1950s because their emergence eventually led to new branches of economics. The book describes an alternative analytical framework spreading through the interdisciplinary fields of socioeconophysics and sociodynamics. The focus is on a set of branching or critical points that separate what has gone before from what has followed. W. Brian Arthur used the term “redomaining” when he referred to technological innovation. In the present volume the author aims to re domain economic theories suited for a new social order. Major technological innovations accompany not only changes in the economy and the market but changes in their meaning as well. In particular, the evolution of trading technology has changed the meaning of the “invisible hand.” At the end of the last century, the advent of socioeconophysics became a decisive factor in the emergence of a new economic science. This emergence has coincided with changes in the implications of the economy and the market, which consequently require a redomaining of economic science. In this new enterprise, the joint efforts of many scientists outside traditional economics have brought brilliant achievements such as power law distribution and network analysis, among others. However, the more diverse the backgrounds of economic scientists, the less integrated the common views among them may be, resulting in a sometimes perplexing potpourri of economic terminology. This book helps to mitigate those differences, shedding light on current alternative economic theories and how they have evolved.

Bulletin Of The Atomic Scientists

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The Bulletin of the Atomic Scientists is the premier public resource on scientific and technological developments that impact global security. Founded by Manhattan Project Scientists, the Bulletin's iconic "Doomsday Clock" stimulates solutions for a safer world.

Philosophy Of Economics

Author : Uskali Mäki
ISBN : 9780444516763
Genre : Mathematics
File Size : 32. 82 MB
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Part of the Handbook of the Philosophy of Science Series edited by: Dov M. Gabbay King's College, London, UK; Paul Thagard University of Waterloo, Canada; and John Woods University of British Columbia, Canada. Philosophy of Economics investigates the foundational concepts and methods of economics, the social science that analyzes the production, distribution and consumption of goods and services. This groundbreaking collection, the most thorough treatment of the philosophy of economics ever published, brings together philosophers, scientists and historians to map out the central topics in the field. The articles are divided into two groups. Chapters in the first group deal with various philosophical issues characteristic of economics in general, including realism and Lakatos, explanation and testing, modeling and mathematics, political ideology and feminist epistemology. Chapters in the second group discuss particular methods, theories and branches of economics, including forecasting and measurement, econometrics and experimentation, rational choice and agency issues, game theory and social choice, behavioral economics and public choice, geographical economics and evolutionary economics, and finally the economics of scientific knowledge. This volume serves as a detailed introduction for those new to the field as well as a rich source of new insights and potential research agendas for those already engaged with the philosophy of economics. Provides a bridge between philosophy and current scientific findings Encourages multi-disciplinary dialogue Covers theory and applications

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