Agent-Based Modeling of the Financial Markets
Název práce v češtině: | Modelování finančních trhů za použití agent-based modelů |
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Název v anglickém jazyce: | Agent-Based Modeling of the Financial Markets |
Klíčová slova: | multi-agentové výpočetní modely, finanční trhy, fundamentalisté, trendoví obchodníci, tvůrce trhu, korelace trhů |
Klíčová slova anglicky: | agent-based modeling, financial markets, fundamentalists, trend followers, market maker, market correlation |
Akademický rok vypsání: | 2010/2011 |
Typ práce: | bakalářská práce |
Jazyk práce: | angličtina |
Ústav: | Institut ekonomických studií (23-IES) |
Vedoucí / školitel: | prof. PhDr. Petr Teplý, Ph.D. |
Řešitel: | skrytý![]() |
Datum přihlášení: | 05.11.2010 |
Datum zadání: | 22.02.2011 |
Datum a čas obhajoby: | 13.06.2011 00:00 |
Místo konání obhajoby: | IES |
Datum odevzdání elektronické podoby: | 19.05.2011 |
Datum proběhlé obhajoby: | 13.06.2011 |
Oponenti: | Mgr. Barbara Pertold-Gebicka, M.A., Ph.D. |
Zásady pro vypracování |
The goal of the thesis is to point out the importance of the so called
Agent-based approach in modeling of �nancial markets. The Agent- based approach is based on a numerical modeling of interactions be- tween the participants (individuals or institutions) on the �nancial mar- ket. Every participant, so called agent, is modeled individually and has her own speci�c rules of behavior. This method brings results that con- tains phenomena induced only by the interactions between agents. The �rst part of the thesis will contain the review of Agent-based models in �nancial economics. In the second part, one speci�c model will be intro- duced and implemented. Then the own results obtained from numerical simulations will be presented. |
Seznam odborné literatury |
[1]Chen S., Liao C.: Agent-based computational modeling of the stock price-volume relation, Information Sciences: an International Journal 170(1) (2005) 75-100.
[2]Gou C.: Predictability of Shanghai stock market by agent-based mix-game model, Proceedings of 2005 International Conference on Neural Networks and Brain (ICNN and B'05), IEEE Press, Beijing (2005) 1651-1655. [3]LeBaron B.:Agent-based computational fi�nance: Suggested readings and early research, Journal of Economic Dynamics and Control 24 (2000) 679-702. [4]LeBaron B.:Agent-based computational fi�nance, Handbook of Computational Economics, Tesfatsion L. and Kenneth J. (eds). Elsevier, (2006) 1187-1233. [5]Samanidou et al.:Agent-based models of �financial markets, Reports on Progress in Physics 70 (2007) 409-450. [6]Judd K. L., Tesfatsion L.:Handbook of computational economics, Vol. 2: Agent-based computational economics, Elsevier , Amsterdam (2006). [7]O'Hara M.:Market microstructure theory, Blackwell Publishers, Cambridge, MA [US] (1995). [8]Harris L.:Trading and exchanges: market microstructure for practitioners, Oxford University Press, New York (2003). |
Předběžná náplň práce |
Synopsis:
1. Agent-Based modeling and its principals 2. Review of the applications of Agent-based models in �financial economics 3. Numerical implementation of the Agent-based model 4. Discussion of the extension, results of simulations |
Předběžná náplň práce v anglickém jazyce |
The goal of the thesis is to point out the importance of the so called Agent-based approach in modeling of fi�nancial markets. The Agent-based approach is based on a numerical modeling of interactions between the participants (individuals or institutions) on the �financial market. Every participant, so called agent, is modeled individually and has her own specifi�c rules of behavior. This method brings results that contains phenomena induced only by the interactions between agents. The fi�rst part of the thesis will contain the review of Agent-based models in fi�nancial economics. In the second part, one specifi�c model will be introduced and implemented. Then the own results obtained from numerical simulations will be presented.
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