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Agent-Based Modeling of the Financial Markets
Název práce v češtině: Modelování finančních trhů za použití agent-based modelů
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 - zadáno vedoucím/školitelem
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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