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Displaying results 76 to 100 of 484.

  1. Follow the leader
    simulations on a dynamic social network
    Author: Goldbaum, David
    Published: 2008

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper / University of Technology, School of Finance and Economics, UTS: Business ; 155
    Subjects: Soziale Beziehungen; Konsumentenverhalten; Simulation; Agentenbasierte Modellierung; Theorie
    Scope: 48 S., graph. Darst.
  2. 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

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    Universitätsbibliothek Kiel, Zentralbibliothek
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    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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    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.
  3. A smart market for passenger road transport (SMPRT) congestion
    an application of computational mechanism design
    Published: June 2007
    Publisher:  Univ. of Essex, Dep. of Economics, Colchester

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion papers / University of Essex, Department of Economics ; 630
    Subjects: Verkehrsstau; Maut; Agentenbasierte Modellierung; Auktionstheorie; Zahlungsbereitschaftsanalyse; Theorie
    Scope: Online-Ressource, 32 S., Text, graph. Darst.
  4. Der Einsatz von Multi-Agenten-Systemen zur Leistungserstellung im Private Banking
    Author: Schilling, Ulrich
    Published: 2007

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    Staats- und Universitätsbibliothek Bremen
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    11a swl 280/993
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Source: Union catalogues
    Language: German
    Media type: Dissertation
    Format: Print
    Other identifier:
    3311
    RVK Categories: QK 820 ; QK 320
    Subjects: Bank; KMU; Privatkundengeschäft; Electronic Banking; Agentenbasierte Modellierung; Schweiz
    Scope: XII, 169 S., graph. Darst.
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    Text in dt. Sprache. - Zsfassung in engl. und dt. Sprache

    St. Gallen, Univ., Diss., 2007
  5. Applications of statistical physics in finance and economics
    Published: 2007
    Publisher:  Univ., Dep. of Economics, Kiel

    This chapter reviews recent research adopting methods from statistical physics in theoretical or empirical work in economics and finance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from... more

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    This chapter reviews recent research adopting methods from statistical physics in theoretical or empirical work in economics and finance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from observed scaling laws in financial markets and the abundance of data available from the economy's financial sphere. The first part of this review presents the robust power laws encountered in financial economics and discusses potential explanations for scaling in finance derived from models of stochastic interactions of traders. Sec. 3 provides an overview over other applications of statistical physics methodology in finance and attempts to evaluate the impact they have had so far on financial economies. With the following section, the review turns to recent work on the emergence of wealth and income heterogeneity and the recent inception of new strands of research on this topic both within econophysics and the neoclassical economics tradition. The third part reviews the new stylized facts that have been identified in cross-sectional data of firm characteristics and agent-based approaches to industrial organization and macroeconomic dynamics that have been motivated by these findings. We conclude with an assessment of the major methodological contributions of this new strand of research.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics ; 2007,05
    Subjects: Ökonophysik; Finanzmarkt; Wirtschaftstheorie; Agentenbasierte Modellierung; Querschnittsanalyse; Theorie
    Scope: Online-Ressource, 64 S., Text, graph. Darst.
  6. Effizienter verkaufen durch persönlichkeitsbezogene Produktempfehlungen
    Published: 2006
    Publisher:  Center of Market Oriented Product and Production Management, Mainz

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    C 250809
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    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
  7. Market-oriented innovation
    when is it profitable? ; an abstract agent-based study
    Published: [2006]
    Publisher:  ISEG, Dep. de Economía, Lisboa

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 632 (2006.31)
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    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.
  8. Labor market policy evaluation with an agent-based model
    Author: Neugart, Michael
    Published: 2006
    Publisher:  WZB, Berlin

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
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    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
  9. Competition over agents with boundedly rational expectations
    Published: Aug. 2004
    Publisher:  Foerder Inst. for Economic Research [u.a.], Tel Aviv

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: [Elektronische Ressource]
    Series: Working paper / Foerder Institute for Economic Research ... ; 2004,23
    Subjects: Wettbewerb; Marktstruktur; Konsumentenverhalten; Wohlfahrtsanalyse; Spieltheorie; Asymmetrische Information; Begrenzte Rationalität; Agentenbasierte Modellierung
    Scope: Online-Ressource, 36 p., text, ill
  10. Hildenbrand distribution economies as limiting empirical distributions of random economies
    Published: Dec. 2003
    Publisher:  Graduate School of Economics, Bonn

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Edition: [Elektronische Ressource]
    Series: Bonn econ discussion papers ; 2003,28
    Subjects: Allgemeines Gleichgewicht; Theorie; Agentenbasierte Modellierung; Exchange Economies
    Scope: Online-Ressource, 29 p., text, ill
  11. Interaction of human and artificial agents on double auction markets
    simulations and laboratory experiments
    Author: Grossklags, J.; Schmidt, Carsten
    Published: 2003
    Publisher:  Max-Planck-Inst. for Research into Economic Systems, Strategic Interaction Group, Jena

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    Thüringer Universitäts- und Landesbibliothek
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    2004 SB 222
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    Language: English
    Media type: Book
    Format: Print
    Series: Papers on strategic interaction ; 2003,22
    Subjects: Auktionstheorie; Rationalität; Experiment; Agentenbasierte Modellierung; Soziale Beziehungen
    Scope: [4] Bl
  12. Agent-based modelling - a methodology for the analysis of qualitative development processes
    Published: Oct. 2003
    Publisher:  Univ., Inst. für Volkswirtschaftslehre, Augsburg ; Niedersächsische Staats- und Universitätsbibliothek, Göttingen

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    Staats- und Universitätsbibliothek Bremen
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    Language: English
    Media type: Book
    Format: Online
    Edition: [Elektronische Ressource]
    Series: Volkswirtschaftliche Diskussionsreihe / Institut für Volkswirtschaftslehre der Universität Augsburg ; 251
    Subjects: Evolutionsökonomik; Simulation; Theorie; Agentenbasierte Modellierung
    Scope: Online-Ressource, 24 p., text, ill
    Notes:

    Zsfassung in dt. Sprache
  13. On the creation of networks and knowledge
    Author: Cowan, Robin A.; Jonard, Nicolas; Zimmermann, Jean-Benoît
    Published: 2004

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1619 (2004.010)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: MERIT-Infonomics research memorandum series ; 2004-010
    Subjects: Innovation; Unternehmensnetzwerk; Wissenstransfer; Theorie; Matching; Agentenbasierte Modellierung
    Scope: 16 S, graph. Darst
  14. Innovation and knowledge spillover with geographical and technological distance in an agentbased simulation model
    Author: Wersching, Klaus
    Published: 2005
    Publisher:  Univ., Fak. für Wirtschaftswiss., Bielefeld

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    Language: English
    Media type: Book
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    Series: Diskussionspapier der Fakultät für Wirtschaftswissenschaften ; 535
    Subjects: Innovationsdiffusion; Spillover-Effekt; Wissenstransfer; Standortwahl; Unternehmenserfolg; Simulation; Theorie; Agentenbasierte Modellierung
    Scope: 35 S, graph. Darst
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  15. Agricultural policies and farm structures
    agent-based modelling and application to EU-policy reform
    Published: 2004

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    Universitätsbibliothek Braunschweig
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    Leibniz-Institut für Agrarentwicklung in Transformationsökonomien, Bibliothek
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    DS 246 (30)
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    Universitätsbibliothek Rostock
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    ISBN: 3938584017
    Other identifier:
    hdl: 10419/45956
    RVK Categories: QS 700 ; ZB 50200 ; ZB 56006
    DDC Categories: 330
    Series: Studies on the agricultural and food sector in Central and Eastern Europe ; 30
    Subjects: EU-Agrarpolitik; Agrarpolitik; Reform; Wirkungsanalyse; Simulation; Agrarstruktur; Agrareinkommen; Landwirtschaft; Deutschland; Agentenbasierte Modellierung; Hohenlohekreis; AgriPolis; Agricultural Policy Simulator
    Scope: Online-Ressource (Text,2427 KB)
    Notes:

    Zsfassung in dt. u. engl. Sprache

    Parallel als Buch-Ausg. erschienen

    Zugl.: Hohenheim, Univ., Diss, 2004
  16. On the dynamics of asset prices and portfolios in a multiperiod CAPM
    Author: Hillebrand, Marten; Wenzelburger, Jan
    Published: 2005
    Publisher:  Univ., Fak. für Wirtschaftswiss., Bielefeld

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Language: English
    Media type: Book
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    Series: Diskussionspapier der Fakultät für Wirtschaftswissenschaften ; 533
    Subjects: Börsenkurs; Wertpapierhandel; Anlageverhalten; CAPM; Theorie; Agentenbasierte Modellierung
    Scope: 23 Bl, graph. Darst
  17. Time-variation of higher moments in a financial market with heterogeneous agents
    an analytical approach
    Published: 2005
    Publisher:  Univ., Dep. of Economics, Kiel

    A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of financial markets. More and more, this literature has been concerned with the explanation of some of the stylized... more

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    A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of financial markets. More and more, this literature has been concerned with the explanation of some of the stylized facts of financial markets. It now seems that some previously mysterious time-series characteristics like fat tails of returns and temporal dependence of volatility can be observed in many of these models as macroscopic patterns resulting from the interaction among different groups of speculative traders. However, most of the available evidence stems from simulation studies of relatively complicated models which do not allow for analytical solutions. In this paper, this line of research is supplemented by analytical solutions of a simple variant of the seminal herding model introduced by Kirman [1993]. Embedding the herding framework into a simple equilibrium asset pricing model, we are able to derive closed-form solutions for the time-variation of higher moments as well as related quantities of interest enabling us to spell out under what circumstances the model gives rise to realistic behavior of the resulting time series

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics ; 2005,14
    Subjects: Börsenkurs; Wertpapierhandel; Spekulation; Theorie; Agentenbasierte Modellierung; Herdenverhalten; Statistische Verteilung
    Scope: Online-Ressource, 35 S., Text, graph. Darst
  18. An agent-based stochastic volatility model
    Author: Alfarano, Simone
    Published: 2006

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    Universitätsbibliothek Kiel, Zentralbibliothek
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    TH 12107
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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
  19. Speculation and survival in financial markets
    Author: Kováč, Eugen
    Published: 2005

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    W 695 (276)
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    Source: Union catalogues
    Language: English
    Media type: Book
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    ISBN: 8073430703; 8073440598
    Series: Working paper series / CERGE-EI ; 276
    Subjects: Wertpapierhandel; Spekulation; Lernprozess; Anlageverhalten; Theorie; Agentenbasierte Modellierung
    Scope: 32 S
    Notes:

    Zsfassung in tschech. Sprache
  20. A theoretical analysis of cooperative behavior in multi-agent Q-learning
    Published: Jan. 2006
    Publisher:  ERIM, Rotterdam

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1395 (2006.006)
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    Source: Union catalogues
    Language: English
    Media type: Book
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    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.
  21. 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

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    RVK Categories: QB 910
    Series: Array ; 5543
    Subjects: Asymmetrische Information; Unvollkommener Markt; Signalling; Wohlfahrtsanalyse; Agentenbasierte Modellierung
    Scope: 39 S., graph. Darst.
  22. Applications of statistical physics in finance and economics
    Published: June 2008
    Publisher:  Kiel Inst. for the World Economy, Kiel

    This chapter reviews recent research adopting methods from statistical physics in theoretical or empirical work in economics and finance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from... more

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    Staats- und Universitätsbibliothek Bremen
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Universitätsbibliothek Kiel, Zentralbibliothek
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    This chapter reviews recent research adopting methods from statistical physics in theoretical or empirical work in economics and finance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from observed scaling laws in financial markets and the abundance of data available from the economy's financial sphere. Sec. 2 of this review presents the robust power laws encountered in financial economics and discusses potential explanations for scaling in finance derived from models of stochastic interactions of traders. Sec. 3 provides an overview over other applications of statistical physics methodology in finance and attempts to evaluate the impact they have had so far on financial economics. With the following section, the review turns to recent work on the emergence of wealth and income heterogeneity and the recent inception of new strands of research on this topic, both within econophysics and the neoclassical economics tradition. Sec. 5 reviews the new stylized facts that have been identified in cross-sectional data of firm characteristics and agent-based approaches to industrial organization and macroeconomic dynamics that have been motivated by these findings. We conclude with an assessment of the major methodological contributions of this new strand of research. -- Stylized facts ; power laws ; agent-based models ; econophysics

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Kiel working paper ; 1425
    Subjects: Ökonophysik; Finanzmarkt; Wirtschaftstheorie; Agentenbasierte Modellierung; Querschnittsanalyse; Theorie
    Scope: Online-Ressource, 65, I S., Text, graph. Darst.
  23. Stochastic behavioral asset pricing models and the stylized facts
    Published: June 2008
    Publisher:  Kiel Inst. for the World Economy, Kiel

    High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have... more

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    Staats- und Universitätsbibliothek Bremen
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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of simple stochastic models of interacting traders have been proposed that share many of the salient features of empirical data. These models draw some of their inspiration from the broader current of behavioral finance. However, their design is closer in spirit to models of multi-particle interaction in physics than to traditional asset-pricing models. This reflects a basic insight in the natural sciences that similar regularities like those observed in financial markets (denoted as 'scaling laws' in physics) can often be explained via the microscopic interactions of the constituent parts of a complex system. Since these emergent properties should be independent of the microscopic details of the system, this viewpoint advocates negligence of the details of the determination of individuals' market behavior and instead focuses on the study of a few plausible rules of behavior and the emergence of macroscopic statistical regularities in a market with a large ensemble of traders. This chapter will review the philosophy of this new approach, its various implementations, and its contribution to an explanation of the stylized facts in finance. -- Agent-based models ; speculation ; stylized facts ; group dynamics

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Kiel working paper ; 1426
    Subjects: Börsenkurs; Finanzmarkt; Stochastischer Prozess; Anlageverhalten; Agentenbasierte Modellierung; Soziale Beziehungen; Ökonophysik; Theorie
    Scope: Online-Ressource, 75, I S., Text, graph. Darst.
  24. Other-regarding preferences in general equilibrium
    Published: 2008
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 32 (6815)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 6815
    Subjects: Offenbarte Präferenzen; Konsumgüter; Eigeninteresse; Wohlfahrtsanalyse; Agentenbasierte Modellierung; Theorie
    Scope: 46 S.
  25. Stochastic behavioral asset pricing models and the stylized facts
    Published: 2008
    Publisher:  Univ., Dep. of Economics, Kiel

    High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have... more

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    Universitätsbibliothek Kiel, Zentralbibliothek
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    EZ 180
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    High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of simple stochastic models of interacting traders have been proposed that share many of the salient features of empirical data. These models draw some of their inspiration from the broader current of behavioural finance. However, their design is closer in spirit to models of multi-particle interaction in physics than to traditional asset-pricing models. This reflects a basic insight in the natural sciences that similar regularities like those observed in financial markets (denoted as 'scaling laws' in physics) can often be explained via the microscopic interactions of the constituent parts of a complex system. Since these emergent properties should be independent of the microscopic details of the system, this viewpoint advocates negligence of the details of the determination of individuals' market behavior and instead focuses on the study of a few plausible rules of behavior and the emergence of macroscopic statistical regularities in a market with a large ensemble of traders. This chapter will review the philosophy of this new approach, its various implementations, and its contribution to an explanation of the stylized facts in finance.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics ; 2008,08
    Subjects: Börsenkurs; Finanzmarkt; Stochastischer Prozess; Anlageverhalten; Agentenbasierte Modellierung; Soziale Beziehungen; Ökonophysik; Theorie
    Scope: Online-Ressource, 75 S., Text, graph. Darst.