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  1. Microscopic models of financial markets
    Published: 2006
    Publisher:  Univ., Dep. of Economics, Kiel

    This review deals with several microscopic models of financial markets which have been studied by economists and physicists over the last decade: Kim- Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and... more

    Location:
    Universitätsbibliothek Kiel, Zentralbibliothek
    Signature:
    EZ 180
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    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan

     

    This review deals with several microscopic models of financial markets which have been studied by economists and physicists over the last decade: Kim- Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy- Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective in terms of the universal statistical features of financial time series. In fact, awareness of a set of such regularities (power-law tails of the distribution of returns, temporal scaling of volatility) only gradually appeared over the nineties. With the more precise description of the formerly relatively vague characteristics ( e.g. moving from the notion of fat tails to the more concrete one of a power-law with index around three), it became clear that financial markets dynamics give rise to some kind of universal scaling laws. Showing similarities with scaling laws for other systems with many interacting subunits, an exploration of financial markets as multi-agent systems appeared to be a natural consequence. This topic was pursued by quite a number of contributions appearing in both the physics and economics literature since the late nineties. From the wealth of different flavors of multi-agent models that have appeared by now, we discuss the Cont-Bouchaud, Solomon-Levy-Huang and Lux-Marchesi models. Open research questions are discussed in our concluding section

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics ; 2006,15
    Subjects: Finanzmarkt; Marktmikrostruktur; Kapitalmarkttheorie; Simulation; Theorie; Agentenbasierte Modellierung; Ökonophysik
    Scope: Online-Ressource, 51 S., Text, graph. Darst.
  2. Effizienter verkaufen durch persönlichkeitsbezogene Produktempfehlungen
    Published: 2006
    Publisher:  Center of Market Oriented Product and Production Management, Mainz

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    C 250809
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    Content information
    Source: Union catalogues
    Language: German
    Media type: Book
    Format: Print
    ISBN: 9783938879207; 3938879203
    Series: Array ; 16
    Subjects: Verkaufsförderung; Beziehungsmarketing; Online-Handel; Agentenbasierte Modellierung; Persönlichkeitspsychologie; Theorie; Deutschland; Personalisierung; Recommendation Agents
    Scope: 70 Bl., graph. Darst., 30 cm
    Notes:

    Literaturverz. Bl. 66 - 70
  3. Market-oriented innovation
    when is it profitable? ; an abstract agent-based study
    Published: [2006]
    Publisher:  ISEG, Dep. de Economía, Lisboa

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 632 (2006.31)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Working papers / ISEG, Departamento de Economia ; 2006,31]
    Subjects: Innovation; Agentenbasierte Modellierung; Theorie
    Scope: Online-Ressource, 8 S., Text, graph. Darst.
  4. Labor market policy evaluation with an agent-based model
    Author: Neugart, Michael
    Published: 2006
    Publisher:  WZB, Berlin

    Location:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
    Signature:
    Zsn 88643-2006,113
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 813 (2006.113)
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Discussion papers / Wissenschaftszentrum Berlin für Sozialforschung, Forschungsschwerpunkt Arbeit, Sozialstruktur und Sozialstaat, Abteilung Arbeitsmarktpolitik und Beschäftigung ; 2006-113
    Subjects: Arbeitsmarktpolitik; Weiterbildung; Wirkungsanalyse; Beschäftigungseffekt; Agentenbasierte Modellierung; OECD-Staaten; Theorie
    Scope: 25 S, graph. Darst
    Notes:

    Zsfassung in dt. Sprache
  5. An agent-based stochastic volatility model
    Author: Alfarano, Simone
    Published: 2006

    Location:
    Universitätsbibliothek Kiel, Zentralbibliothek
    Signature:
    TH 12107
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    C 247703
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Print
    Subjects: Kapitaleinkommen; Börsenkurs; Volatilität; Finanzmarkt; Stochastischer Prozess; Theorie; Herdenverhalten; Agentenbasierte Modellierung
    Scope: VII, 158, 3 Bl., graph. Darst.
    Notes:

    Kiel, Univ., Diss., 2006
  6. A theoretical analysis of cooperative behavior in multi-agent Q-learning
    Published: Jan. 2006
    Publisher:  ERIM, Rotterdam

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1395 (2006.006)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 1765/7323
    Series: Array ; 2006,006
    Subjects: Lernprozess; Gefangenendilemma; Nash-Gleichgewicht; Theorie; Agentenbasierte Modellierung; Agentenbasierte Modellierung
    Scope: Online-Ressource, 20 S. = 272 Kb, Text, graph. Darst.
  7. The theory of assortative matching based on costly signals
    Author: Hoppe-Wewetzer, Heidrun; Moldovanu, Benny; Sela, Aner
    Published: 2006
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (5543)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 5543
    Subjects: Asymmetrische Information; Unvollkommener Markt; Signalling; Wohlfahrtsanalyse; Agentenbasierte Modellierung
    Scope: 39 S., graph. Darst.
  8. Dealing with lack of awareness in multiagent systems
    Author: Rêgo, Leandro Chaves
    Published: 2006

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    A 259876
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Print
    Subjects: Spieltheorie; Entscheidungstheorie; Agentenbasierte Modellierung; Theorie
    Scope: XI, 195 S., graph. Darst.
    Notes:

    Kopie, ersch. im Verl. UMI, Ann Arbor, Mich

    Zugl.: Ithaca, NY, Cornell Univ., Diss., 2006
  9. The communication cost of selfishness
    Author: Fadel, Ronald Maurice
    Published: 2006

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    B 368197
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Print
    Subjects: Eigeninteresse; Kommunikation; Kosten; Entscheidung unter Unsicherheit; Agentenbasierte Modellierung; Theorie
    Scope: IX, 76 S.
    Notes:

    Kopie, ersch. im Verl. UMI, Ann Arbor, Mich

    Zugl.: Stanford, Calif., Univ., Dep. of Computer Science, Diss., 2006
  10. Labor market policy evaluation with an agent-based model
    Author: Neugart, Michael
    Published: 2006
    Publisher:  WZB, Berlin

    Location:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Discussion papers / Wissenschaftszentrum Berlin für Sozialforschung, Forschungsschwerpunkt Arbeit, Sozialstruktur und Sozialstaat, Abteilung Arbeitsmarktpolitik und Beschäftigung ; 2006-113
    Subjects: Arbeitsmarktpolitik; Weiterbildung; Wirkungsanalyse; Beschäftigungseffekt; Agentenbasierte Modellierung; OECD-Staaten; Theorie
    Scope: 25 S, graph. Darst
    Notes:

    Zsfassung in dt. Sprache