Details

Subject(s)

• Evolutionary economics [Browse]
• Rational expectations (Economic theory) [Browse]
• Equilibrium (Economics)—Econometric models [Browse]
• Financial engineering [Browse]

Related name

Santa Fe Institute (Santa Fe, N.M.) [Browse]

Series

• Lecture notes in economics and mathematical systems 602. [More in this series]
• Lecture notes in economics and mathematical systems, 0075-8442 ; 602 [More in this series]

Bibliographic references

Includes bibliographical references (p. [195]-225) and index.

Contents

• Part I Agent-Based Modeling in Economics
• 2 The Rationale for Agent-Based Modeling 5
• 2.2 The Representative Agent Modeling Approach 7
• 2.2.1 Avoiding the Lucas-Critique 8
• 2.2.2 Building Walrasian General Equilibrium Models 9
• 2.2.3 Representative Agents and the Fallacy of Composition 10
• 2.2.4 Expectation Formation in Markets with Heterogeneous Investors 11
• 2.3 Rational Expectations and Disequilibrium Dynamics 13
• 2.4 The Economy as an Evolving Complex Adaptive System 14
• 2.5 Some Methodological Aspects of Agent-Based Simulations 16
• 3 The Concept of Minimal Rationality 19
• 3.2 Economic, Bounded, and Situational Rationality 21
• 3.3 Situational Analysis, Minimal Rationality, and the Prime Directive 24
• 3.4 Minimal Rationality and the Phillips-Curve 26
• 4 Learning in Economics 29
• 4.2 Definitions of Learning 29
• 4.3 Rationality-Based Learning Models 31
• 4.4 Biologically Inspired Learning Models 32
• 4.4.1 Learning Through Replicator Dynamics 34
• 4.4.2 Learning Through Genetic Algorithms 36
• 4.4.3 Learning Through Classifier Systems 46
• 5 Replicating the Stylized Facts of Financial Markets 51
• 5.1 Efficient Markets and the Efficient Market Hypothesis 51
• 5.1.2 Random Walks or Martingales? 53
• 5.1.3 Tests for Market Efficiency 55
• 5.2 Stylized Facts of Financial Markets 56
• 5.2.1 Non-Normal Return Distributions 56
• 5.2.2 Volatility Clustering of Returns 60
• 5.2.3 High and Persistent Trading Volume 64
• 5.2.4 Existence of Technical Trading 65
• 5.3 Alternative Market Hypotheses 70
• 5.3.1 The Fractal Market Hypothesis 70
• 5.3.2 The Coherent Market Hypothesis 71
• 5.3.3 The Adaptive Market Hypothesis 72
• 5.3.4 The Interacting-Agent Hypothesis 75
• 5.4 Agent-Based Computational Models of Financial Markets 75
• 5.4.1 Allocative Efficiency with Zero-Intelligence Traders 76
• 5.4.2 Models with a Random Communication Structure 79
• 5.4.3 Models of Chartist-Fundamentalist Interactions 83
• 5.4.4 Many-Strategy Models with Learning 85
• Part II The Santa Fe Institute Artificial Stock Market Model Revisited
• 6 The Original Santa Fe Institute Artificial Stock Market 91
• 6.2 The Marimon-Sargent Hypothesis and the SFI-ASM 92
• 6.3 An Overview of SFI-ASM Versions 93
• 6.4 The Basic Structure of the SFI-ASM 94
• 6.4.1 Trading Rules and Expectation Formation 95
• 6.4.2 Learning and Rule Evolution 99
• 6.4.3 Other Programming Details and Initialization of Model Parameters 101
• 6.5 The Homogeneous Rational Expectations Equilibrium 102
• 6.6 The Marimon-Sargent Hypothesis Refined 103
• 6.7 Simulation Results of the SFI-ASM 104
• 6.7.1 Time Series Behavior 104
• 6.7.2 Forecast Properties 106
• 6.8 A Potential Problem: A Biased Mutation Operator 108
• 7 A Suggested Modification to the SFI-ASM 113
• 7.2 An Unbiased Mutation Operator 114
• 7.3 Simulation Results with the Modified SFI-ASM 115
• 7.3.1 Trading Bit Behavior 115
• 7.3.2 Time Series Properties 118
• 7.4 Robustness of the Zero-Bit Solution 121
• 7.4.1 Stochastic versus Periodic Dividends and the Classifier System 121
• 7.4.2 Dependence on Other Parameter Values 122
• 7.4.3 Generalization or Consistent Trading Rules? 123
• 8 An Analysis of Wealth Levels 127
• 8.2 Wealth Levels in the SFI-ASM: An Economic(al) Explanation 128
• 8.3 Previous Studies Based on Wealth Levels in the SFI-ASM 129
• 8.3.1 Financial Markets Can Be at Sub-Optimal Equilibria 129
• 8.3.2 Technical Trading as a Prisoner's Dilemma 131
• 8.4 Wealth Levels in the SFI-ASM: Alternative Explanations 133
• 8.4.1 Risk-Premium, Taxation, and Two Benchmark Wealth Levels 133
• 8.4.2 Average Stock Holdings and Wealth Levels 135
• 8.4.3 Activated Rules and Rule Selection 139
• 8.5 A Verdict on Wealth Analysis in the SFI-ASM 145
• 9 Selection, Genetic Drift, and Technical Trading 147
• 9.2 Technical Trading and the Aggregate Bit Level 148
• 9.3 The Zero-Bit Solution: Some Disturbing Evidence 150
• 9.4 Random Genetic Drift in Genetic Algorithms 152
• 9.5 The Neutralist-Selectionist Controversy 154
• 9.6 Fitness Driven Selection or Genetic Drift? 157
• 9.6.1 Selection or Genetic Drift in the Modified SFI-ASM? 157
• 9.6.2 Selection or Genetic Drift in the Original SFI-ASM? 159
• 9.6.3 Genetic Drift, Fitness Gradient, and Population Size 161
• 9.7 The Effect of Mutation on Genetic Drift 162
• 9.7.1 Genetic Drift, Mutation, and Crossover Only in SFI Agents 162
• 9.7.2 Genetic Drift, Mutation, and Crossover Only in Bit-Neutral Agents 166
• 9.7.3 An Equilibrium Analysis of Genetic Drift and Mutation 166
• 9.7.4 A Final Assessment of the Two Mutation Operators 171
• 9.8 Detection of Emergence of Technical Trading 172
• 9.8.1 Predictability in the Price Series 172
• 9.8.2 Trading Bits and Fitness Values 173
• 9.8.3 Equilibrium Bit Frequencies and Bit Fixations 176
• 9.9 An Evolutionary Perspective on Technical Trading 177
• 11.1 Timing in the Stock Market 187
• 11.2 Fundamental and Technical Trading Bits 189.

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ISBN

• 9783540738787
• 3540738789

LCCN

^^2007937522

OCLC

166386559

RCP

H - O

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