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Opis

For the financial industry, it is of paramount importance to understand the statistical features of price processes. While statistical models can reproduce empirical findings, they cannot give insight into the causal relationships and the market's response to a changing environment. Microscopic models of financial markets are an approach to understand the underlying mechanisms determining the market behaviour. In this book, we give an introduction to the basic idea of microscopic modelling with a particular focus on the "Opinion Game", a microscopic market model introduced by Bovier, erný and Hryniv (2006). Within the framework of the Opinion Game, we devote ourselves to two issues: First, the market stability in dependence on long-term investors and, second, the market illiquidity when orders of large volumes are executed. A survey of a JAVA implementation of the Opinion Game completes the book.

Szczegóły książki

Kategoria Książki po angielsku Mathematics & science Mathematics Probability & statistics

• Pełny tytuł: Applications of Microscopic Modelling in Finance
• Podtytuł: Stability and liquidity of financial markets exemplified by an agent-based model
• Autor: Alexander Weiß
• Język: Angielski
• Oprawa: Miękka
• Liczba stron: 172
• EAN: 9783838113517
• ISBN: 3838113519
• ID: 07013156
• Wydawca: Sudwestdeutscher Verlag Fur Hochschulschriften AG
• Waga: 259 g
• Wymiary: 229 × 152 × 11 mm
• Data wydania: 25. June 2010

Ulubione w innej kategorii

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