Agent-Based Modeling : The Santa Fe Institute Artificial Stock Market Model Revisited

by Norman Ehrentreich

This book reconciles the existence of technical trading with the Efficient Market Hypothesis. By analyzing a well-known agent-based model, the Santa Fe Institute Artificial Stock Market (SFI-ASM), it finds that when selective forces are weak, financial evolution cannot guarantee that only the fittest trading rules will survive. Its main contribution lies in the application of standard results from population genetics which have widely been neglected in the agent-based community.

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Year of publication:	2008
Other Persons:	Ehrentreich, Norman (contributor)
Publisher:	Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg
Subject:	Prognosemarkt \| Prediction market \| Finanzmarkt \| Financial market \| Agentenbasierte Modellierung \| Agent-based modeling \| Theorie \| Theory \| USA \| United States \| Kapitalmarkteffizienz \| Technische Aktienanalyse \| Aktienmarkt \| Mehragentensystem \| Evolutionärer Algorithmus
Description of contents:	Table of Contents [swbplus.bsz-bw.de] ; Table of Contents [gbv.de] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org]

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Extent:	Online-Ressource (digital)
Series:	SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Literaturverz. S. 195 - 225 Front Matter; Introduction; The Rationale for Agent-Based Modeling; The Concept of Minimal Rationality; Learning in Economics; Replicating the Stylized Facts of Financial Markets; The Original Santa Fe Institute Artificial Stock Market; A Suggested Modification to the SFI-ASM; An Analysis of Wealth Levels; Selection, Genetic Drift, and Technical Trading; Summary and Future Research; Appendix; Back Matter
ISBN:	978-3-540-73879-4 ; 978-3-540-73878-7
Other identifiers:	10.1007/978-3-540-73879-4 [DOI]
Classification:	Methoden und Techniken der Volkswirtschaft
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013520765