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Book Cover
E-book
Author Darley, Vincent, author.

Title A NASDAQ market simulation : insights on a major market from the science of complex adaptive systems / Vincent Darley, Alexander V. Outkin
Published Hackensack, NJ : World Scientific, [2007]
©2007
Online access available from:
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Description 1 online resource (xiv, 152 pages) : illustrations (some color)
Series Complex systems and interdisciplinary science ; v. 1
Complex systems and interdisciplinary science ; v. 1.
Contents Preface; Contents; 1. Foresight, Unpredictability and Strategies; 2. Market Dynamics -- Analytical Results; 3. Agent-Based Model and Simulation Results; 4. Spread Clustering; 5. Learning, Evolution and Tick Size Effects; 6. Calibration; 7. Phase Transitions in the Market; 8. Validation: After Decimalization and the Tick-Size Change; 9. Future Developments of the Model; Appendix A: The Agent-Based Model Software; Bibliography; Index
Summary This pioneering book describes the applications of agent-based modeling to financial markets. It presents a new paradigm for finance, where markets are treated as complex systems whose behavior emerges as a result of interactions of market participants, market institutions, and market rules. This includes both a presentation of the conceptual model and its software implementation. It also summarises the result of the profound research on the successful practical application of this new approach to answer questions regarding the Nasdaq Stock Market's decimalization that was implemented in 2001
Bibliography Includes bibliographical references (pages 145-149) and index
Notes Print version record
Subject NASDAQ (Computer network)
Stock exchanges -- Computer simulation
BUSINESS & ECONOMICS -- Investments & Securities -- General.
NASDAQ (Computer network)
Form Electronic book
Author Outkin, Alexander V., author.
LC no. 2006048900
ISBN 9789812708359
9812708359