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Chapter 24 Agent-based Computational Finance

LeBaron, Blake - In: Handbook of computational economics : volume 2, …, (pp. 1187-1233). 2006

This chapter surveys research on agent-based models used in finance. It will concentrate on models where the use of computational tools is critical for the process of crafting models which give insights into the importance and dynamics of investor heterogeneity in many financial settings.

Persistent link: https://www.econbiz.de/10014024381

Deep Hedging : Learning to Simulate Equity Option Markets

Wiese, Magnus - 2019

We construct realistic equity option market simulators based on generative adversarial networks (GANs). We consider recurrent and temporal convolutional architectures, and assess the impact of state compression. Option market simulators are highly relevant because they allow us to extend the...

Persistent link: https://www.econbiz.de/10012861067

Implementation rationality : the nexus of psychology and economics at the RAND logistics systems laboratory, 1956-1966s

Klein, Judy L. - 2015 - Version 3

simulation to translate the broad findings of normative microeconomics into detailed, implementable pr ocedures for US Air Force … oper ations. The laboratory was housed in the training simulation facilities that had been recently vacated by … problems. Economists went from using simulation to demonstrate the superiority of optimal policies derived from deductive …

Persistent link: https://www.econbiz.de/10011600635

The Cross-Entropy Method with Patching for Rare-Event Simulation of Large Markov Chains

Kaynar, Bahar; Ridder, Ad - 2009

There are various importance sampling schemes to estimate rare event probabilities in Markovian systems such as Markovian reliability models and Jackson networks. In this work, we present a general state dependent importance sampling method which partitions the state space and applies the...

Persistent link: https://www.econbiz.de/10014203542

Testing and Revising the Human Development Sequence Theory using Agent-Based Simulation and Data

Spaiser, Viktoria; Sumpter, David - 2016

-level mechanisms are best supported by the available data. We apply our method to the human development sequence theory, showing that … although the theory is supported by correlational evidence, the sequence of economic growth, democracy and emancipation stated … by the theory is not entirely consistent with data. We then use the data and agent-based modeling to propose several …

Persistent link: https://www.econbiz.de/10014139606

A Numerical Simulation Approach to Study Systemic Risk in Banking Systems

Cifuentes, Arturo - 2016

Banking systems are at the center of the financial infrastructure of any country. It has become apparent after the subprime crisis that such systems cannot be studied by looking at their components individually (that is, in isolation). Thus, an integrated approach is needed.In this paper we...

Persistent link: https://www.econbiz.de/10013005537

Leveraged ETFs and CPPI-Type Strategy : Theory, Simulation and Empirical Study

Bertrand, Philippe - 2015

Leveraged and inverse ETFs are designed to achieve a multiple exposure (positive or negative, e.g., 2x or -2x) of some index returns on a daily basis. Recently, some controversy surrounding leveraged ETFs has appeared in the U.S. market and focused mainly on the performance results delivered by...

Persistent link: https://www.econbiz.de/10013037998

MTSS-GAN : Multivariate Time Series Simulation Generative Adversarial Networks

Snow, Derek - 2020

MTSS-GAN is a new generative adversarial network (GAN) developed to simulate diverse multivariate time series (MTS) data with finance applications in mind. The purpose of this synthesiser is two-fold, we both want to generate data that accurately represents the original data, while also having...

Persistent link: https://www.econbiz.de/10014031931

Substitution Costs in Managed Synthetic CDOs

O'Kane, Dominic - 2013

Managed synthetic CDOs permit the dynamic substitution of credits in the reference portfolio. The expectation of investors in is that a skilled manager should be able to identify deteriorating credits before they experience a credit event and should therefore be able to remove the credit from...

Persistent link: https://www.econbiz.de/10013072231

Measuring tanker market future risk with the use of FORESIM

Lyridis, Dimitrios; Manos, Nikolaos; Zacharioudakis, … - In: Spoudai : journal of economics and business 67 (2017) 1, pp. 38-53

Future market risk has always been a critical question in decision support processes. FORESIM is a simulation technique …

Persistent link: https://www.econbiz.de/10011661763