| Applications of Microscopic Modelling in Finance Contributor(s): Wei, Alexander (Author), Weiss, Alexander (Author) |
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ISBN: 3838113519 ISBN-13: 9783838113517 Publisher: Sudwestdeutscher Verlag Fur Hochschulschrifte OUR PRICE: $81.98 Product Type: Paperback Published: June 2010 |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General |
| Physical Information: 0.4" H x 6" W x 9" (0.57 lbs) 172 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: For the financial industry, it is of paramount importance to understand the statistical features of price processes. While statistical models can reproduce empirical findings, they cannot give insight into the causal relationships and the market's response to a changing environment. Microscopic models of financial markets are an approach to understand the underlying mechanisms determining the market behaviour. In this book, we give an introduction to the basic idea of microscopic modelling with a particular focus on the "Opinion Game", a microscopic market model introduced by Bovier, Černư and Hryniv (2006). Within the framework of the Opinion Game, we devote ourselves to two issues: First, the market stability in dependence on long-term investors and, second, the market illiquidity when orders of large volumes are executed. A survey of a JAVA implementation of the Opinion Game completes the book. |