Agent-Based Modeling of the Financial Markets
| Thesis title in Czech: | Modelování finančních trhů za použití agent-based modelů |
|---|---|
| Thesis title in English: | Agent-Based Modeling of the Financial Markets |
| Key words: | multi-agentové výpočetní modely, finanční trhy, fundamentalisté, trendoví obchodníci, tvůrce trhu, korelace trhů |
| English key words: | agent-based modeling, financial markets, fundamentalists, trend followers, market maker, market correlation |
| Academic year of topic announcement: | 2010/2011 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | angličtina |
| Department: | Institute of Economic Studies (23-IES) |
| Supervisor: | prof. PhDr. Petr Teplý, Ph.D. |
| Author: | hidden - assigned by the advisor |
| Date of registration: | 05.11.2010 |
| Date of assignment: | 22.02.2011 |
| Date and time of defence: | 13.06.2011 00:00 |
| Venue of defence: | IES |
| Date of electronic submission: | 19.05.2011 |
| Date of proceeded defence: | 13.06.2011 |
| Opponents: | Mgr. Barbara Pertold-Gebicka, M.A., Ph.D. |
| Guidelines |
| 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. |
| References |
| [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). |
| Preliminary scope of work |
| 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 |
| Preliminary scope of work in English |
| 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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