Microscopic simulation of financial markets: from investor behavior to market phenomena
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
San Diego, Calif. [u.a.]
Academic Press
2000
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVII, 300 S. Ill., graph. Darst. |
| ISBN: | 0124458904 |
Internformat
MARC
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| 100 | 1 | |a Levy, Moshe H. |d 1923- |e Verfasser |0 (DE-588)135088690 |4 aut | |
| 245 | 1 | 0 | |a Microscopic simulation of financial markets |b from investor behavior to market phenomena |c Moshe Levy ; Haim Levy ; Sorin Solomon |
| 264 | 1 | |a San Diego, Calif. [u.a.] |b Academic Press |c 2000 | |
| 300 | |a XVII, 300 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 7 | |a Financiering |2 gtt | |
| 650 | 7 | |a Financiële analyse |2 gtt | |
| 650 | 7 | |a Investeringen |2 gtt | |
| 650 | 7 | |a Investimentos (modelos matemáticos) |2 larpcal | |
| 650 | 7 | |a Investimentos (modelos matemáticos;simulação computacional) |2 larpcal | |
| 650 | 4 | |a Investissements - Modèles mathématiques | |
| 650 | 7 | |a Investissements - Modèles mathématiques |2 ram | |
| 650 | 4 | |a Investissements - Simulation par ordinateur | |
| 650 | 7 | |a Investissements - Simulation par ordinateur |2 ram | |
| 650 | 4 | |a Marché financier - Modèles mathématiques | |
| 650 | 7 | |a Marché financier - Modèles mathématiques |2 ram | |
| 650 | 4 | |a Marché financier - Simulation par ordinateur | |
| 650 | 7 | |a Marché financier - Simulation par ordinateur |2 ram | |
| 650 | 7 | |a Mercado de capitais (modelos matemáticos) |2 larpcal | |
| 650 | 7 | |a Mercado de capitais (simulação computacional) |2 larpcal | |
| 650 | 7 | |a Methodologie |2 gtt | |
| 650 | 7 | |a Simulatiemodellen |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Methode | |
| 650 | 4 | |a Capital market |x Computer simulation | |
| 650 | 4 | |a Capital market |x Mathematical models | |
| 650 | 4 | |a Investments |x Computer simulation | |
| 650 | 4 | |a Investments |x Mathematical models | |
| 650 | 0 | 7 | |a Kapitalmarkt |0 (DE-588)4029578-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Anlageverhalten |0 (DE-588)4214003-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditmarkt |0 (DE-588)4073788-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mikrosimulation |0 (DE-588)4131395-1 |2 gnd |9 rswk-swf |
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| 689 | 0 | 1 | |a Mikrosimulation |0 (DE-588)4131395-1 |D s |
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| 689 | 1 | 2 | |a Mikrosimulation |0 (DE-588)4131395-1 |D s |
| 689 | 1 | |8 1\p |5 DE-604 | |
| 700 | 1 | |a Levy, Haim |d 1939- |e Verfasser |0 (DE-588)170156605 |4 aut | |
| 700 | 1 | |a Solomon, Sorin |e Verfasser |4 aut | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-009266931 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
Datensatz im Suchindex
| _version_ | 1804128369191682048 |
|---|---|
| adam_text | CONTENTS
PREFACE xi
1 Classic Models in Finance: Solved and
Unsolved Issues
1.1 Introduction 1
1.2 EUT, Alternative Models, and Noise Traders 4
1.3 Classical Analysis in Modern Finance 8
1.4 Summary 12
2 Decision Weights, Change of Wealth, and Value
Function: The Experimental Evidence
2.1 Introduction 13
2.2 Decision Weights and Objective Probabilities 18
vii
viM CONTENTS
2.3 Change in Wealth versus Total Wealth 28 ;
2.4 Risk Aversion and Risk Seeking 31
2.5 Cumulative Prospect Theory: Decision Weights and
Stochastic Dominance 36
2.6 Summary 40
3 Empirical and Experimental Evidence Regarding
Preferences: Absolute and Relative Risk Aversion
3.1 Introduction 43
3.2 Arrow and Pratt Risk Premium and the Subject s
Wealth 45
3.3 The Gordon, Paradis, and Rorke Experiment 48
3.4 The Kroll, Levy, and Rapoport Experiment 51
3.5 DARA and IRRA When Financial Rewards and
Penalties Are Possible 53
3.6 The Implicatiion of the Findings Regarding Preferences to
Microscopic Modeling 60
3.7 Summary 64
4 Inefficient Choices and Investors Irrationality
4.1 Introduction 67
4.2 Investors Inefficiency and Irrationality 70
4.3 The Hot Hand in Basketball and Looking for Trends
in the Stock Market 84
4.4 Correlations and the Portfolio Investment Decision:
How Close Are Investors to the Efficient Frontier? 90
4.5 Testing the CAPM: An Experimental Setting with
Ex Ante Parameters 93
4.6 Summary 103
5 The Microscopic Simulation Method
5.1 Introduction 105
5.2 A Simple Example of a Microscopic Simulation
Application: Nuclear Fission 107
5.3 Considerations in Applying Microscopic Simulations 115
CONTENTS iX
5.4 The Effects of Discreteness—Comparison with the
Analytical Continuum Approach 118
5.5 Philosophical Remarks 120
6 Microscopic Simulations in Various Fields
6.1 Introduction 123
6.2 Traffic Flow Microscopic Simulations 124
6.3 Population Dynamics, Mobility, and Segregation 125
6.4 Microsimulation in Social Science 127
6.5 The Outbreak of Cooperation, Inductive Reasoning,
and Investment Strategies 129
6.6 Dynamics of Expectations: the Formation
of Coalitions 132
6.7 Microscopic Simulation of the Neolithic Revolution 133
6.8 Microscopic Simulation in Marketing 134
6.9 Microscopic Simulation in Biology 139
7 The LLS Microscopic Simulation Model
7.1 Introduction 141
7.2 The Model 146
7.3 Results of the Benchmark Model 155
7.4 Results of the LLS Model with a Small Minority
of EMBs 160
7.5 Survivability of the EMB Investors 174
7.6 Summary 178
Appendix 7.1 180
Appendix 7.2 181
Appendix 7.3 181
8 Various Financial Microscopic Simulations
8.1 Introduction 183
8.2 Stigler s Random Tender Stream Model 184
8.3 The Portfolio Insurers Model of Kim and
Markowitz 186
8.4 The Financial Life of Arthur, Holland, Lebaron, Palmer,
and Tayler 187
8.5 Lux s Intermittent Fluctuations Induced by Traders
Dynamics 189
8.6 The Herding Model of Bak, Paczuski, and Shubik 192
X CONTENTS
8.7 The Market Ecology of Fanner 195
8.8 The Effects of the Number of Investors 197
i
9 Prospect Theory, Asset Pricing,
and Market Dynamics
9.1 Introduction 199
9.2 Experimental Estimates of the Value Function and the
Distortion of Probabilities 200
9.3 Implications of Prospect Theory to Asset Allocation and
Equilibrium Pricing 204
9.4 Prospect Theory and Market Dynamics in
the LLS Model 215
9.5 Summary 224
Appendix 9.1 226
10 Applications of Microscopic Simulation to the
CAPM: Heterogeneous Expectations and the
Number of Assets in the Portfolio
10.1 Introduction 227
10.2 Homogeneous and Heterogeneous Expectations and
Equilibrium Prices 229
10.3 Number of Assets in the Portfolio: The GCAPM
versus the CAPM 247
10.4 Summary 255
Appendix 10.1 256
11 Application of Microscopic Simulation to Option
Pricing: Uncertainty and Disagreement
about the Volatility
11.1 Introduction 261
11.2 The Model 264
11.3 Results 266
11.4 Summary 276
BIBLIOGRAPHY 277
INDEX 291
|
| any_adam_object | 1 |
| author | Levy, Moshe H. 1923- Levy, Haim 1939- Solomon, Sorin |
| author_GND | (DE-588)135088690 (DE-588)170156605 |
| author_facet | Levy, Moshe H. 1923- Levy, Haim 1939- Solomon, Sorin |
| author_role | aut aut aut |
| author_sort | Levy, Moshe H. 1923- |
| author_variant | m h l mh mhl h l hl s s ss |
| building | Verbundindex |
| bvnumber | BV013567836 |
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| callnumber-search | HG4515.2 |
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| callnumber-subject | HG - Finance |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.041/011 |
| dewey-search | 332/.041/011 |
| dewey-sort | 3332 241 211 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV013567836 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:48:09Z |
| institution | BVB |
| isbn | 0124458904 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009266931 |
| oclc_num | 44717813 |
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| owner_facet | DE-M347 DE-573 DE-473 DE-BY-UBG DE-91 DE-BY-TUM |
| physical | XVII, 300 S. Ill., graph. Darst. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | Academic Press |
| record_format | marc |
| spelling | Levy, Moshe H. 1923- Verfasser (DE-588)135088690 aut Microscopic simulation of financial markets from investor behavior to market phenomena Moshe Levy ; Haim Levy ; Sorin Solomon San Diego, Calif. [u.a.] Academic Press 2000 XVII, 300 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Financiering gtt Financiële analyse gtt Investeringen gtt Investimentos (modelos matemáticos) larpcal Investimentos (modelos matemáticos;simulação computacional) larpcal Investissements - Modèles mathématiques Investissements - Modèles mathématiques ram Investissements - Simulation par ordinateur Investissements - Simulation par ordinateur ram Marché financier - Modèles mathématiques Marché financier - Modèles mathématiques ram Marché financier - Simulation par ordinateur Marché financier - Simulation par ordinateur ram Mercado de capitais (modelos matemáticos) larpcal Mercado de capitais (simulação computacional) larpcal Methodologie gtt Simulatiemodellen gtt Mathematisches Modell Methode Capital market Computer simulation Capital market Mathematical models Investments Computer simulation Investments Mathematical models Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Anlageverhalten (DE-588)4214003-1 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Mikrosimulation (DE-588)4131395-1 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Mikrosimulation (DE-588)4131395-1 s DE-604 Kapitalmarkt (DE-588)4029578-3 s Anlageverhalten (DE-588)4214003-1 s 1\p DE-604 Levy, Haim 1939- Verfasser (DE-588)170156605 aut Solomon, Sorin Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009266931&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Levy, Moshe H. 1923- Levy, Haim 1939- Solomon, Sorin Microscopic simulation of financial markets from investor behavior to market phenomena Financiering gtt Financiële analyse gtt Investeringen gtt Investimentos (modelos matemáticos) larpcal Investimentos (modelos matemáticos;simulação computacional) larpcal Investissements - Modèles mathématiques Investissements - Modèles mathématiques ram Investissements - Simulation par ordinateur Investissements - Simulation par ordinateur ram Marché financier - Modèles mathématiques Marché financier - Modèles mathématiques ram Marché financier - Simulation par ordinateur Marché financier - Simulation par ordinateur ram Mercado de capitais (modelos matemáticos) larpcal Mercado de capitais (simulação computacional) larpcal Methodologie gtt Simulatiemodellen gtt Mathematisches Modell Methode Capital market Computer simulation Capital market Mathematical models Investments Computer simulation Investments Mathematical models Kapitalmarkt (DE-588)4029578-3 gnd Anlageverhalten (DE-588)4214003-1 gnd Kreditmarkt (DE-588)4073788-3 gnd Mikrosimulation (DE-588)4131395-1 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4214003-1 (DE-588)4073788-3 (DE-588)4131395-1 |
| title | Microscopic simulation of financial markets from investor behavior to market phenomena |
| title_auth | Microscopic simulation of financial markets from investor behavior to market phenomena |
| title_exact_search | Microscopic simulation of financial markets from investor behavior to market phenomena |
| title_full | Microscopic simulation of financial markets from investor behavior to market phenomena Moshe Levy ; Haim Levy ; Sorin Solomon |
| title_fullStr | Microscopic simulation of financial markets from investor behavior to market phenomena Moshe Levy ; Haim Levy ; Sorin Solomon |
| title_full_unstemmed | Microscopic simulation of financial markets from investor behavior to market phenomena Moshe Levy ; Haim Levy ; Sorin Solomon |
| title_short | Microscopic simulation of financial markets |
| title_sort | microscopic simulation of financial markets from investor behavior to market phenomena |
| title_sub | from investor behavior to market phenomena |
| topic | Financiering gtt Financiële analyse gtt Investeringen gtt Investimentos (modelos matemáticos) larpcal Investimentos (modelos matemáticos;simulação computacional) larpcal Investissements - Modèles mathématiques Investissements - Modèles mathématiques ram Investissements - Simulation par ordinateur Investissements - Simulation par ordinateur ram Marché financier - Modèles mathématiques Marché financier - Modèles mathématiques ram Marché financier - Simulation par ordinateur Marché financier - Simulation par ordinateur ram Mercado de capitais (modelos matemáticos) larpcal Mercado de capitais (simulação computacional) larpcal Methodologie gtt Simulatiemodellen gtt Mathematisches Modell Methode Capital market Computer simulation Capital market Mathematical models Investments Computer simulation Investments Mathematical models Kapitalmarkt (DE-588)4029578-3 gnd Anlageverhalten (DE-588)4214003-1 gnd Kreditmarkt (DE-588)4073788-3 gnd Mikrosimulation (DE-588)4131395-1 gnd |
| topic_facet | Financiering Financiële analyse Investeringen Investimentos (modelos matemáticos) Investimentos (modelos matemáticos;simulação computacional) Investissements - Modèles mathématiques Investissements - Simulation par ordinateur Marché financier - Modèles mathématiques Marché financier - Simulation par ordinateur Mercado de capitais (modelos matemáticos) Mercado de capitais (simulação computacional) Methodologie Simulatiemodellen Mathematisches Modell Methode Capital market Computer simulation Capital market Mathematical models Investments Computer simulation Investments Mathematical models Kapitalmarkt Anlageverhalten Kreditmarkt Mikrosimulation |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009266931&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT levymosheh microscopicsimulationoffinancialmarketsfrominvestorbehaviortomarketphenomena AT levyhaim microscopicsimulationoffinancialmarketsfrominvestorbehaviortomarketphenomena AT solomonsorin microscopicsimulationoffinancialmarketsfrominvestorbehaviortomarketphenomena |