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Detail práce
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Financial markets modeling – experimental and agent based approach
Název práce v češtině: Modelování finančních trhů - experimentální a simulační přístup
Název v anglickém jazyce: Financial markets modeling – experimental and agent based approach
Akademický rok vypsání: 2012/2013
Typ práce: bakalářská práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: Mgr. Lukáš Vácha, Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 28.05.2013
Datum zadání: 28.05.2013
Datum a čas obhajoby: 10.09.2014 08:00
Místo konání obhajoby: IES
Datum odevzdání elektronické podoby:22.07.2014
Datum proběhlé obhajoby: 10.09.2014
Oponenti: PhDr. Václav Korbel, Ph.D.
 
 
 
Kontrola URKUND:
Seznam odborné literatury
• Gode, D.K., Sunder, S. (1993): Allocative efficiency of markets with zero-intelligence traders: Market as a partial substitute for individual rationality, Journal of Political Economy, vol. 101, no.1, pp. 119-137.
• Tesfatsion, L. (2006): Agent-based computational economics: A constructive approach to economic theory, Handbook of Computational Economics, Volume 2
• Duffy, J. (2006): Agent-based models and human subjekt experiments, Handbook of Computational Economics, Volume 2
• Billari, F. C., Fent, T., Prskawetz, A. ... [et al.] (2006): Agent-based computational modelling: applications in demography, social, economic and environmental sciences
• Epaulard, A., Pommeret A. (2001): Agents' preferences, the equity premium, and the consumption-saving trade-off: an application to French data
• Plott, R. Ch., Smith, V. L. (2008): Handbook of experimental economics results, Volume 1
• Klingert and Meyer (2011): Effectively combining experimental economics and multi -agents
Předběžná náplň práce
This thesis deals with combination of two approaches to research problem in the area of financial markets: agent based modeling and human subject experiments. In the first part, we introduce concept of agent models and review some examples. In the second part, we discuss experimental economics in sense of how to set up an experiment and how to interpret results. Further we will discuss recent research. The main part of this thesis gains from combination of these two approaches. To demonstrate the beneficial effect we will describe a double auction model by Gode a Sunder (1993). In the last part we will provide results of a simulation and an experiment, which both will cover the problem of expectations and bubbles in asset pricing. Experiment will be organized on our own with idea based on paper by Hommes, Sonnemans, Tuinstra, van de Velden (2007). We will compare results from the simulation and the experiment, discuss strengths and weakness of both approaches and show their mutual contribution to this area of financial markets modeling.
Předběžná náplň práce v anglickém jazyce
This thesis deals with combination of two approaches to research problem in the area of financial markets: agent based modeling and human subject experiments. In the first part, we introduce concept of agent models and review some examples. In the second part, we discuss experimental economics in sense of how to set up an experiment and how to interpret results. Further we will discuss recent research. The main part of this thesis gains from combination of these two approaches. To demonstrate the beneficial effect we will describe a double auction model by Gode a Sunder (1993). In the last part we will provide results of a simulation and an experiment, which both will cover the problem of expectations and bubbles in asset pricing. Experiment will be organized on our own with idea based on paper by Hommes, Sonnemans, Tuinstra, van de Velden (2007). We will compare results from the simulation and the experiment, discuss strengths and weakness of both approaches and show their mutual contribution to this area of financial markets modeling.
 
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