Get Agent-Based Approaches in Economic and Social Complex PDF

By Aki-Hiro Sato (auth.), Shu-Heng Chen, Takao Terano, Ryuichi Yamamoto (eds.)

ISBN-10: 4431539069

ISBN-13: 9784431539063

Agent-based modeling/simulation is an emergent method of the research of social and fiscal platforms. It presents a bottom-up experimental strategy to be utilized to social sciences corresponding to economics, administration, sociology, and politics in addition to a few engineering fields facing social actions. This e-book comprises chosen papers awarded on the 6th foreign Workshop on Agent-Based ways in fiscal and Social complicated platforms held in Taipei in 2009. we have now 39 displays within the convention, and 14 papers are chosen to be integrated during this quantity. those 14 papers are then grouped into six elements: Agent-based monetary markets; monetary forecasting and funding; Cognitive modeling of brokers; Complexity and coverage research; Agent-based modeling of excellent societies; and Miscellany. The examine provided the following exhibits the cutting-edge during this quickly starting to be field.

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Additional resources for Agent-Based Approaches in Economic and Social Complex Systems VI: Post-Proceedings of The AESCS International Workshop 2009

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Many studies have questioned the validity of the efficient market hypothesis (EMH) in real financial markets and have provided the theoretical foundations or empirical evidence to show the existence of market inefficiency. De Long et al. [9] point out that noise traders may survive in the long run and exert an impact on price dynamics. Kogan et al. -H. -Y. -H. Chen et al. -H. -Y. Yang becomes quite small. Lo and MacKinlay [14], Campbell and Shiller [4], Brock et al. [3], and Neely et al. [15] all find evidence of predictability and profitability in financial markets.

UDj j , j = 1 . . D, uDj ∈ {0, 1} (2) A chromosome is defined as a binary string combining binary codes of all parameters. Specifically, there are 27∗ D bits in a chromosome. 2. 5. The mutation and cross-over operations occur in random order. They exchange the parts of chromosome to inverse the selected one bit of chromosome randomly. This procedure would then produce the fittest chromosomes from the population that are selected based on the objective function value, and so the chromosomes are then allowed to reproduce.

We numerically calculate the resource allocation of our money on optimum stock pair over the period of Jan 10, 2007 and July 21, 2009, which consists of 620 days for possible trading. 4 1/10/2007 8/20/2007 4/1/2008 11/11/2008 6/23/2009 Trading day Fig. 1 The cumulative return by the proposed trading strategy in comparison with the stock average price variation and the Hang Seng Index over the same period To have a benchmark test, we also compute the cumulative return for each stock as well as the simple averaged stock price for the 24 stocks, ci (t) = t ∑ ri (k) ; k=0 c (t) = 1 N ∑ ci (t) N i=1 (13) Here ci (t) is the price for stock i at time t divided by the stock price on the first day.

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Agent-Based Approaches in Economic and Social Complex Systems VI: Post-Proceedings of The AESCS International Workshop 2009 by Aki-Hiro Sato (auth.), Shu-Heng Chen, Takao Terano, Ryuichi Yamamoto (eds.)


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