The microscopic simulation of financial markets :: from investor behavior to market phenomena /
Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation betw...
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Academic Press,
©2000.
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| Zusammenfassung: | Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation between microscopic behavior and macroscopic phenomena in systems ranging from those of atomic particles, to cars, animals, and even humans. In finance, MS can help explain, among other things, the effects of various elements of investor behavior on market dynamics and asset pricing. It is these issues in particular, and the value of an MS approach to finance in general, that are the subjects of this book. The authors not only put their work in perspective by surveying traditional economic analyses of investor behavior, but they also briefly examine the use of MS in fields other than finance. Most models in economics and finance assume that investors are rational. However, experimental studies reveal systematic deviations from rational behavior. How can we determine the effect of investors' deviations from rational behavior on asset prices and market dynamics? By using Microscopic Simulation, a methodology originally developed by physicists for the investigation of complex systems, the authors are able to relax classical assumptions about investor behavior and to model it as empirically and experimentally observed. This rounded and judicious introduction to the application of MS in finance and economics reveals that many of the empirically-observed "puzzles" in finance can be explained by investors' quasi-rationality. Researchers use the book because it models heterogeneous investors, a group that has proven difficult to model. Being able to predict how people will invest and setting asset prices accordingly is inherently appealing, and the combination of computing power and statistical mechanics in this book makes such modeling possible. Because many finance researchers have backgrounds in physics, the material here is accessible. Key Features * Emphasizes investor behavior in determining asset prices and market dynamics * Introduces Microscopic Simulation within a simplified framework * Offers ways to model deviations from rational decision-making |
| Beschreibung: | 1 online resource (xvii, 300 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 277-289) and index. |
| ISBN: | 9780124458901 0124458904 9780080511597 0080511597 1282284819 9781282284814 9786612284816 6612284811 |
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| 100 | 1 | |a Levy, Moshe. | |
| 245 | 1 | 4 | |a The microscopic simulation of financial markets : |b from investor behavior to market phenomena / |c Moshe Levy, Haim Levy, Sorin Solomon. |
| 260 | |a San Diego : |b Academic Press, |c ©2000. | ||
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| 520 | |a Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation between microscopic behavior and macroscopic phenomena in systems ranging from those of atomic particles, to cars, animals, and even humans. In finance, MS can help explain, among other things, the effects of various elements of investor behavior on market dynamics and asset pricing. It is these issues in particular, and the value of an MS approach to finance in general, that are the subjects of this book. The authors not only put their work in perspective by surveying traditional economic analyses of investor behavior, but they also briefly examine the use of MS in fields other than finance. Most models in economics and finance assume that investors are rational. However, experimental studies reveal systematic deviations from rational behavior. How can we determine the effect of investors' deviations from rational behavior on asset prices and market dynamics? By using Microscopic Simulation, a methodology originally developed by physicists for the investigation of complex systems, the authors are able to relax classical assumptions about investor behavior and to model it as empirically and experimentally observed. This rounded and judicious introduction to the application of MS in finance and economics reveals that many of the empirically-observed "puzzles" in finance can be explained by investors' quasi-rationality. Researchers use the book because it models heterogeneous investors, a group that has proven difficult to model. Being able to predict how people will invest and setting asset prices accordingly is inherently appealing, and the combination of computing power and statistical mechanics in this book makes such modeling possible. Because many finance researchers have backgrounds in physics, the material here is accessible. Key Features * Emphasizes investor behavior in determining asset prices and market dynamics * Introduces Microscopic Simulation within a simplified framework * Offers ways to model deviations from rational decision-making | ||
| 505 | 0 | |a Classic Models in Finance: Solved and Unsolved Issues. -- Decision Weights, Change of Wealth, and Value Function: The Experimental Evidence. -- Empirical and Experimental Evidence Regarding Preferences: Absolute and Relative Risk Aversion. -- Inefficient Choices and Investors' Irrationality. -- The Microscopic Simulation Method. -- Microscopic Simulations in Various Fields. -- The LLS Microscopic Simulation Model. -- Various Financial Microscopic Simulations. -- Prospect Theory, Asset Pricing, and Market Dynamics. -- Applications of Microscopic Simulation to the CAPM: Heterogeneous Expectations and the Number of Assets in the Portfolio. -- Application of Microscopic Simulation to Option Pricing: Uncertainty and Disagreement about the Volatility. -- Bibliography. -- Index. | |
| 504 | |a Includes bibliographical references (pages 277-289) and index. | ||
| 588 | 0 | |a Print version record. | |
| 546 | |a English. | ||
| 650 | 0 | |a Investments |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh85067718 | |
| 650 | 0 | |a Investments |x Computer simulation. | |
| 650 | 0 | |a Capital market |x Mathematical models. | |
| 650 | 0 | |a Capital market |x Computer simulation. | |
| 650 | 6 | |a Investissements |x Modèles mathématiques. | |
| 650 | 6 | |a Investissements |x Simulation par ordinateur. | |
| 650 | 6 | |a Marché financier |x Modèles mathématiques. | |
| 650 | 6 | |a Marché financier |x Simulation par ordinateur. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
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| 650 | 1 | 7 | |a Simulatiemodellen. |2 gtt |
| 650 | 1 | 7 | |a Methodologie. |2 gtt |
| 650 | 7 | |a Mercado de capitais (modelos matemáticos) |2 larpcal | |
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| 700 | 1 | |a Levy, Haim. |1 https://id.oclc.org/worldcat/entity/E39PBJgmPYDd3JVfhW46DFx7HC |0 http://id.loc.gov/authorities/names/n50049138 | |
| 700 | 1 | |a Solomon, Sorin. |1 https://id.oclc.org/worldcat/entity/E39PCjxg4jtDB8BWDHjY3XBK8d |0 http://id.loc.gov/authorities/names/no00072452 | |
| 776 | 0 | 8 | |i Print version: |a Levy, Moshe. |t Microscopic simulation of financial markets. |d San Diego : Academic Press, ©2000 |z 9780124458901 |w (DLC) 99069502 |w (OCoLC)44717813 |
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Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-4-EBA-ocn213298469 |
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| adam_text | |
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| author | Levy, Moshe |
| author2 | Levy, Haim Solomon, Sorin |
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| author_facet | Levy, Moshe Levy, Haim Solomon, Sorin |
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| contents | Classic Models in Finance: Solved and Unsolved Issues. -- Decision Weights, Change of Wealth, and Value Function: The Experimental Evidence. -- Empirical and Experimental Evidence Regarding Preferences: Absolute and Relative Risk Aversion. -- Inefficient Choices and Investors' Irrationality. -- The Microscopic Simulation Method. -- Microscopic Simulations in Various Fields. -- The LLS Microscopic Simulation Model. -- Various Financial Microscopic Simulations. -- Prospect Theory, Asset Pricing, and Market Dynamics. -- Applications of Microscopic Simulation to the CAPM: Heterogeneous Expectations and the Number of Assets in the Portfolio. -- Application of Microscopic Simulation to Option Pricing: Uncertainty and Disagreement about the Volatility. -- Bibliography. -- Index. |
| ctrlnum | (OCoLC)213298469 |
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| dewey-ones | 332 - Financial economics |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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A methodology that was developed to solve physics problems, MS has been used to study the relation between microscopic behavior and macroscopic phenomena in systems ranging from those of atomic particles, to cars, animals, and even humans. In finance, MS can help explain, among other things, the effects of various elements of investor behavior on market dynamics and asset pricing. It is these issues in particular, and the value of an MS approach to finance in general, that are the subjects of this book. The authors not only put their work in perspective by surveying traditional economic analyses of investor behavior, but they also briefly examine the use of MS in fields other than finance. Most models in economics and finance assume that investors are rational. However, experimental studies reveal systematic deviations from rational behavior. How can we determine the effect of investors' deviations from rational behavior on asset prices and market dynamics? 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| id | ZDB-4-EBA-ocn213298469 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:16:18Z |
| institution | BVB |
| isbn | 9780124458901 0124458904 9780080511597 0080511597 1282284819 9781282284814 9786612284816 6612284811 |
| language | English |
| oclc_num | 213298469 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xvii, 300 pages) : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | Academic Press, |
| record_format | marc |
| spelling | Levy, Moshe. The microscopic simulation of financial markets : from investor behavior to market phenomena / Moshe Levy, Haim Levy, Sorin Solomon. San Diego : Academic Press, ©2000. 1 online resource (xvii, 300 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation between microscopic behavior and macroscopic phenomena in systems ranging from those of atomic particles, to cars, animals, and even humans. In finance, MS can help explain, among other things, the effects of various elements of investor behavior on market dynamics and asset pricing. It is these issues in particular, and the value of an MS approach to finance in general, that are the subjects of this book. The authors not only put their work in perspective by surveying traditional economic analyses of investor behavior, but they also briefly examine the use of MS in fields other than finance. Most models in economics and finance assume that investors are rational. However, experimental studies reveal systematic deviations from rational behavior. How can we determine the effect of investors' deviations from rational behavior on asset prices and market dynamics? By using Microscopic Simulation, a methodology originally developed by physicists for the investigation of complex systems, the authors are able to relax classical assumptions about investor behavior and to model it as empirically and experimentally observed. This rounded and judicious introduction to the application of MS in finance and economics reveals that many of the empirically-observed "puzzles" in finance can be explained by investors' quasi-rationality. Researchers use the book because it models heterogeneous investors, a group that has proven difficult to model. Being able to predict how people will invest and setting asset prices accordingly is inherently appealing, and the combination of computing power and statistical mechanics in this book makes such modeling possible. Because many finance researchers have backgrounds in physics, the material here is accessible. Key Features * Emphasizes investor behavior in determining asset prices and market dynamics * Introduces Microscopic Simulation within a simplified framework * Offers ways to model deviations from rational decision-making Classic Models in Finance: Solved and Unsolved Issues. -- Decision Weights, Change of Wealth, and Value Function: The Experimental Evidence. -- Empirical and Experimental Evidence Regarding Preferences: Absolute and Relative Risk Aversion. -- Inefficient Choices and Investors' Irrationality. -- The Microscopic Simulation Method. -- Microscopic Simulations in Various Fields. -- The LLS Microscopic Simulation Model. -- Various Financial Microscopic Simulations. -- Prospect Theory, Asset Pricing, and Market Dynamics. -- Applications of Microscopic Simulation to the CAPM: Heterogeneous Expectations and the Number of Assets in the Portfolio. -- Application of Microscopic Simulation to Option Pricing: Uncertainty and Disagreement about the Volatility. -- Bibliography. -- Index. Includes bibliographical references (pages 277-289) and index. Print version record. English. Investments Mathematical models. http://id.loc.gov/authorities/subjects/sh85067718 Investments Computer simulation. Capital market Mathematical models. Capital market Computer simulation. Investissements Modèles mathématiques. Investissements Simulation par ordinateur. Marché financier Modèles mathématiques. Marché financier Simulation par ordinateur. BUSINESS & ECONOMICS Finance. bisacsh Capital market Mathematical models fast Investments Computer simulation fast Investments Mathematical models fast Financiële analyse. gtt Financiering. gtt Investeringen. gtt Simulatiemodellen. gtt Methodologie. gtt Mercado de capitais (modelos matemáticos) larpcal Mercado de capitais (simulação computacional) larpcal Investimentos (modelos matemáticos) larpcal Investimentos (modelos matemáticos;simulação computacional) larpcal Levy, Haim. https://id.oclc.org/worldcat/entity/E39PBJgmPYDd3JVfhW46DFx7HC http://id.loc.gov/authorities/names/n50049138 Solomon, Sorin. https://id.oclc.org/worldcat/entity/E39PCjxg4jtDB8BWDHjY3XBK8d http://id.loc.gov/authorities/names/no00072452 Print version: Levy, Moshe. Microscopic simulation of financial markets. San Diego : Academic Press, ©2000 9780124458901 (DLC) 99069502 (OCoLC)44717813 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=297115 Volltext FWS01 ZDB-4-EBA FWS_PDA_EBA https://www.sciencedirect.com/science/book/9780124458901 Volltext |
| spellingShingle | Levy, Moshe The microscopic simulation of financial markets : from investor behavior to market phenomena / Classic Models in Finance: Solved and Unsolved Issues. -- Decision Weights, Change of Wealth, and Value Function: The Experimental Evidence. -- Empirical and Experimental Evidence Regarding Preferences: Absolute and Relative Risk Aversion. -- Inefficient Choices and Investors' Irrationality. -- The Microscopic Simulation Method. -- Microscopic Simulations in Various Fields. -- The LLS Microscopic Simulation Model. -- Various Financial Microscopic Simulations. -- Prospect Theory, Asset Pricing, and Market Dynamics. -- Applications of Microscopic Simulation to the CAPM: Heterogeneous Expectations and the Number of Assets in the Portfolio. -- Application of Microscopic Simulation to Option Pricing: Uncertainty and Disagreement about the Volatility. -- Bibliography. -- Index. Investments Mathematical models. http://id.loc.gov/authorities/subjects/sh85067718 Investments Computer simulation. Capital market Mathematical models. Capital market Computer simulation. Investissements Modèles mathématiques. Investissements Simulation par ordinateur. Marché financier Modèles mathématiques. Marché financier Simulation par ordinateur. BUSINESS & ECONOMICS Finance. bisacsh Capital market Mathematical models fast Investments Computer simulation fast Investments Mathematical models fast Financiële analyse. gtt Financiering. gtt Investeringen. gtt Simulatiemodellen. gtt Methodologie. gtt Mercado de capitais (modelos matemáticos) larpcal Mercado de capitais (simulação computacional) larpcal Investimentos (modelos matemáticos) larpcal Investimentos (modelos matemáticos;simulação computacional) larpcal |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85067718 |
| title | The microscopic simulation of financial markets : from investor behavior to market phenomena / |
| title_auth | The microscopic simulation of financial markets : from investor behavior to market phenomena / |
| title_exact_search | The microscopic simulation of financial markets : from investor behavior to market phenomena / |
| title_full | The microscopic simulation of financial markets : from investor behavior to market phenomena / Moshe Levy, Haim Levy, Sorin Solomon. |
| title_fullStr | The microscopic simulation of financial markets : from investor behavior to market phenomena / Moshe Levy, Haim Levy, Sorin Solomon. |
| title_full_unstemmed | The microscopic simulation of financial markets : from investor behavior to market phenomena / Moshe Levy, Haim Levy, Sorin Solomon. |
| title_short | The 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 | Investments Mathematical models. http://id.loc.gov/authorities/subjects/sh85067718 Investments Computer simulation. Capital market Mathematical models. Capital market Computer simulation. Investissements Modèles mathématiques. Investissements Simulation par ordinateur. Marché financier Modèles mathématiques. Marché financier Simulation par ordinateur. BUSINESS & ECONOMICS Finance. bisacsh Capital market Mathematical models fast Investments Computer simulation fast Investments Mathematical models fast Financiële analyse. gtt Financiering. gtt Investeringen. gtt Simulatiemodellen. gtt Methodologie. gtt Mercado de capitais (modelos matemáticos) larpcal Mercado de capitais (simulação computacional) larpcal Investimentos (modelos matemáticos) larpcal Investimentos (modelos matemáticos;simulação computacional) larpcal |
| topic_facet | Investments Mathematical models. Investments Computer simulation. Capital market Mathematical models. Capital market Computer simulation. Investissements Modèles mathématiques. Investissements Simulation par ordinateur. Marché financier Modèles mathématiques. Marché financier Simulation par ordinateur. BUSINESS & ECONOMICS Finance. Capital market Mathematical models Investments Computer simulation Investments Mathematical models Financiële analyse. Financiering. Investeringen. Simulatiemodellen. Methodologie. Mercado de capitais (modelos matemáticos) Mercado de capitais (simulação computacional) Investimentos (modelos matemáticos) Investimentos (modelos matemáticos;simulação computacional) |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=297115 https://www.sciencedirect.com/science/book/9780124458901 |
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