Complexity in Financial Markets: Modeling Psychological Behavior in Agent-Based Models and Order Book Models

Complexity in Financial Markets: Modeling Psychological Behavior in Agent-Based Models and Order Book Models

Hardback Springer Theses

By (author) Matthieu Cristelli

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  • Publisher: Springer International Publishing AG
  • Format: Hardback | 212 pages
  • Dimensions: 160mm x 234mm x 20mm | 454g
  • Publication date: 30 September 2013
  • Publication City/Country: Cham
  • ISBN 10: 331900722X
  • ISBN 13: 9783319007229
  • Edition statement: 2014 ed.
  • Illustrations note: 62 black & white illustrations, 33 colour illustrations, biography
  • Sales rank: 1,235,201

Product description

Tools and methods from complex systems science can have a considerable impact on the way in which the quantitative assessment of economic and financial issues is approached, as discussed in this thesis. First it is shown that the self-organization of financial markets is a crucial factor in the understanding of their dynamics. In fact, using an agent-based approach, it is argued that financial markets' stylized facts appear only in the self-organized state. Secondly, the thesis points out the potential of so-called big data science for financial market modeling, investigating how web-driven data can yield a picture of market activities: it has been found that web query volumes anticipate trade volumes. As a third achievement, the metrics developed here for country competitiveness and product complexity is groundbreaking in comparison to mainstream theories of economic growth and technological development. A key element in assessing the intangible variables determining the success of countries in the present globalized economy is represented by the diversification of the productive basket of countries. The comparison between the level of complexity of a country's productive system and economic indicators such as the GDP per capita discloses its hidden growth potential.

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Tools and methods from complex systems science can have a considerable impact on the way in which the quantitative assessment of economic and financial issues is approached, as discussed in this thesis. Firstit is shownthat the self-organization of financial markets is a crucial factor in the understanding of their dynamics. In fact, using an agent-based approach, it is argued that financial markets stylized facts appear only in the self-organized state. Secondly, the thesis points out the potential of so-called big data science for financial market modeling, investigating how web-driven data canyield a picture ofmarket activities: it has been found that web query volumes anticipate trade volumes. As a third achievement, the metrics developed herefor country competitiveness and product complexity is groundbreaking incomparison to mainstream theories of economic growth and technological development. A key element in assessing the intangible variables determining the success of countries in the present globalized economy is represented by the diversification of the productive basket of countries. The comparison between the level of complexity of a country's productive system and economic indicators such as the GDP per capita discloses its hidden growth potential."

Table of contents

Introduction.- Stylized Facts.- Agent-Based Modeling.- Critical Review of Agent-Based Models.- A Minimal Agent-Based Model.- Financial Market Dynamics: Order Book and Data Analysis.- Order Book: Introduction and Main Statistical Evidences.- Zero Intelligence Model for the Order Book Dynamics.- Evidences of strategic placements of orders.- Quantitative Analysis of Technical Trading.- Universal Relation between Skewness and Kurtosis.- Web Queries Can Predict Stock Market Volumes.- A Metric for the Economic Complexity.- Theory of Economic growth.