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JamesH83


Total Posts: 697
Joined: Aug 2004
 
Posted: 2004-10-17 18:15
Hi,

I'm thinking of writing my dissertation of endogenous volatility and price dynamics in heterogeneous agent models. What are the main research papers in this field?

Any comments / suggestions?

¦(X)=(Nh)-1K{h-1(X-x1) + ... + h-1(X-xT)},

Patrik
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Posted: 2004-10-18 11:27

There are some interesting papers published in the journal "Quantitative Finance". I am writing a short paper about the subject and have a little collection of papers that I could email to you if you like (and can receive ~10mb of content). Let me know.

 


Paper Trading - Capital Structure Demolition, LLC Radiation

FDAXHunter
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Posted: 2004-10-18 11:28

We are using agent-based systems for some of our trading, though different from the way you would normally model them (think war games: strategy implemenation through tactical victories, basically). I can't tell you that much about it, since it's all proprietary and stuff, but think coordinated agents and that there is room in markets for many types of traders.

You might find this paper interesting, which is probably exactly what you are trying to do:

Agent-Based Modeling of Price Discovery and Excessive Volatility in Financial Markets


The Figs Protocol.

dadeto
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Total Posts: 562
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Posted: 2004-10-18 12:14
There is also a paper by Richard H. Day, July 1997, called "Complex dynamics, Market mediation and Stock Price Behaviour" but I don't have it in electronic format. It is a simple theory of out-of-equilibrium market mediation and nonlinear dynamics attempting to explain stock market dynamics. It's main interest (I think) is that the model generates data producing patterns similar to those observed in the market (and used by technicians).

"Stay rude. Stay rebel." FDAXHunter

JamesH83


Total Posts: 697
Joined: Aug 2004
 
Posted: 2004-10-18 14:29

Thanks for your help everyone.  I'm going to read these papers and get back to you with more questions.  FDAX, your systems sound pretty interesting, are they derived from purely game theoretic foundations?

I was also planning to put some theory in on the econometric modelling of chaotic attractors, and how volatility cascades may be forecastable.  Is there any literature on this in conjunction with the agent based models discussed?

Thanks

James


¦(X)=(Nh)-1K{h-1(X-x1) + ... + h-1(X-xT)},

JamesH83


Total Posts: 697
Joined: Aug 2004
 
Posted: 2004-10-18 14:37

I would like to look at that paper, do you know what journal it was published in?

Is it in this book:

Complex Economic Dynamics, Volume I, An Introduction to Dynamical Systems and Market Mechanisms, The MIT Press, Cambridge, MA, 1994.?


¦(X)=(Nh)-1K{h-1(X-x1) + ... + h-1(X-xT)},

dadeto
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Total Posts: 562
Joined: Sep 2004
 
Posted: 2004-10-18 14:44

James,

From what I remember there is something on chaos theory and market dynamics in Richard H. Day's paper. I would recommend you also take a look on the references in the paper - I think some of his students pursued the experiments on their own.

I believe the paper was published in the American Actuary Journal in 1997


"Stay rude. Stay rebel." FDAXHunter

JamesH83


Total Posts: 697
Joined: Aug 2004
 
Posted: 2004-10-29 14:07
Hi, I'm back.

My supervisior is concerned that there is going to be relatively little economic grounding in my dissertation. Does anyone know of any models built up in an economic framework? or perhaps any that link an evolutionary game theoretic framework with methods of forecasting?

¦(X)=(Nh)-1K{h-1(X-x1) + ... + h-1(X-xT)},

Johnny
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Posted: 2004-10-29 14:27
Evolutionary finance overview

Stab Art Radiation Capital Structure Demolition LLC

opmtrader
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Posted: 2004-10-29 16:38
"We are using agent-based systems for some of our trading, though different from the way you would normally model them (think war games: strategy implemenation through tactical victories, basically)."

Damn that sounds sweet. Mad props to you. Shameless complimenting I know. I'm just impressed.

JamesH83


Total Posts: 697
Joined: Aug 2004
 
Posted: 2004-11-01 01:32
i need this paper:

Day, Richard H. and Weihong Huang, "Bulls, Bears and Market Sheep", Journal
of Economic Behavior and Organization, Vol. 14, 1990, pp. 299-330

anyone have a copy?

¦(X)=(Nh)-1K{h-1(X-x1) + ... + h-1(X-xT)},
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