Applications of Microscopic Modelling in Finance (Paperback)

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, ern 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.

General

Imprint:	Sudwestdeutscher Verlag Fur Hochschulschriften AG
Country of origin:	United States
Release date:	June 2010
First published:	June 2010
Authors:	Alexander Wei • Alexander Weiss
Dimensions:	229 x 152 x 10mm (L x W x T)
Format:	Paperback - Trade
Pages:	172
ISBN-13:	978-3-8381-1351-7
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics
LSN:	3-8381-1351-9
Barcode:	9783838113517

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