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Microscopic Simulation of Financial Markets from Investor Behavior to Market Phenomena

by Haim Levy

  • ISBN: 9780124458901
  • ISBN10: 0124458904

Microscopic Simulation of Financial Markets from Investor Behavior to Market Phenomena

by Haim Levy

  • Binding: Hardcover
  • Publisher: Academic Pr
  • Publish date: 06/01/2000
  • ISBN: 9780124458901
  • ISBN10: 0124458904
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Description: Most models in economics and finance assume that investors are rational. However, experimental studies reveal systematic deviations from rational behavior. Microscopic simulation can determine the effect of investors' deviations from rational behavior on asset prices and market dynamics. Using 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 will 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 will be accessible.

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