000 03730nam a22005175i 4500
001 978-3-319-00723-6
003 DE-He213
005 20140220082507.0
007 cr nn 008mamaa
008 130828s2014 gw | s |||| 0|eng d
020 _a9783319007236
_9978-3-319-00723-6
024 7 _a10.1007/978-3-319-00723-6
_2doi
050 4 _aQC1-999
072 7 _aJHBC
_2bicssc
072 7 _aPSAF
_2bicssc
072 7 _aSCI064000
_2bisacsh
082 0 4 _a621
_223
100 1 _aCristelli, Matthieu.
_eauthor.
245 1 0 _aComplexity in Financial Markets
_h[electronic resource] :
_bModeling Psychological Behavior in Agent-Based Models and Order Book Models /
_cby Matthieu Cristelli.
264 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2014.
300 _aXIX, 216 p. 95 illus., 33 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aSpringer Theses, Recognizing Outstanding Ph.D. Research,
_x2190-5053
505 0 _aIntroduction -- Stylized Facts -- Agent-Based Modeling -- Critical Review of Agent-Based Models -- A Minimal Agent-Based Model -- Financial Market Dynamics: Order Book and Data Analysis -- Order Book: Introduction and Main Statistical Evidences -- Zero Intelligence Model for the Order Book Dynamics -- Evidences of strategic placements of orders -- Quantitative Analysis of Technical Trading -- Universal Relation between Skewness and Kurtosis -- Web Queries Can Predict Stock Market Volumes -- A Metric for the Economic Complexity -- Theory of Economic growth.
520 _aTools and methods from complex systems science can have a considerable impact on the way in which the quantitative assessment of economic and financial issues is approached, as discussed in this thesis. First  it is shown that the self-organization of financial markets is a crucial factor in the understanding of their dynamics. In fact, using an agent-based approach, it is argued that financial markets’ stylized facts appear only in the self-organized state. Secondly, the thesis points out the potential of so-called big data science for financial market modeling, investigating how web-driven data can yield a picture of market activities:  it has been found that web query volumes anticipate trade volumes. As a third achievement, the metrics developed here for country competitiveness and product complexity is groundbreaking in comparison to mainstream theories of economic growth and technological development. A key element in assessing the intangible variables determining the success of countries in the present globalized economy is represented by the diversification of the productive basket of countries. The comparison between the level of complexity of a country's productive system  and economic indicators such as the GDP per capita discloses its hidden growth potential.
650 0 _aPhysics.
650 0 _aData mining.
650 0 _aMathematics.
650 0 _aEconomics.
650 1 4 _aPhysics.
650 2 4 _aSocio- and Econophysics, Population and Evolutionary Models.
650 2 4 _aEconomic Theory.
650 2 4 _aData Mining and Knowledge Discovery.
650 2 4 _aComplex Systems.
650 2 4 _aGame Theory, Economics, Social and Behav. Sciences.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783319007229
830 0 _aSpringer Theses, Recognizing Outstanding Ph.D. Research,
_x2190-5053
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-319-00723-6
912 _aZDB-2-PHA
999 _c92515
_d92515