Suchergebnisse

Intro -- Preface -- Contents -- Part I Econophysics -- 1 Strategic Behaviour and Indicative Price Diffusion in Paris Stock Exchange Auctions -- Introduction -- Auctions, Data and Notations -- From Collisions in Event Time to Diffusion in Physical Time -- Event Rates -- Activity Acceleration -- Typical Price Change -- Diffusive Properties of Indicative Prices -- Discussion -- References -- 2 Complex Market Dynamics in the Light of Random Matrix Theory -- Introduction -- Data Description, Methodology and Results -- Data Description -- Methodology and Results -- Recent Applications of RMT in Financial Markets -- Identification of Market States and Long-Term Precursors to a Crash State -- Characterization of Catastrophic Instabilities -- Concluding Remarks -- References -- 3 A Few Simulation Results of Basic Models of Limit Order Books -- General Framework -- Dynamics of the Limit Order Book -- Common Notations -- Models -- Model 1-Poisson Processes -- Model 2-Hawkes Processes -- Model 3-Point Processes with Cox-Type State-Dependent Intensities -- Models Estimation -- Likelihood Analysis of the Intensity Process -- Estimation of Other Distributions -- Simulation Results -- Further Improvements -- References -- 4 Optimizing Execution Cost Using Stochastic Control -- Introduction -- Problem Formulation -- Defining Cost-Efficient Execution Strategy -- Reduction to Finite Horizon Problem for Integral States -- Optimal Investment Strategy for Instantaneous Stock Execution -- Allocation Policy for Fiscal Cost Function -- Allocation Policy for Constrained Cost Function -- Conclusion -- References -- 5 Hierarchical Financial Structures with Money Cascade -- Introduction -- Equilibrium Model -- Multiscale Model of Turbulence -- A Model of Hierarchical Financial Entities -- Discussions and Conclusion -- References.

The primary goal of this book is to present the research findings and conclusions of physicists, economists, mathematicians and financial engineers working in the field of 'Econophysics' who have undertaken agent-based modelling, comparison with empirical studies and related investigations. Most standard economic models assume the existence of the representative agent, who is "perfectly rational" and applies the utility maximization principle when taking action. One reason for this is the desire to keep models mathematically tractable: no tools are available to economists for solving non-linear models of heterogeneous adaptive agents without explicit optimization. In contrast, multi-agent models, which originated from statistical physics considerations, allow us to go beyond the prototype theories of traditional economics involving the representative agent. This book is based on the Econophys-Kolkata VII Workshop, at which many such modelling efforts were presented. In the book, leading researchers in their fields report on their latest work, consider recent developments and review the contemporary literature.