By Aki-Hiro Sato (auth.), Shu-Heng Chen, Takao Terano, Ryuichi Yamamoto (eds.)
Agent-based modeling/simulation is an emergent method of the research of social and monetary platforms. It presents a bottom-up experimental option to be utilized to social sciences reminiscent of economics, administration, sociology, and politics in addition to a few engineering fields facing social actions. This booklet contains chosen papers offered on the 6th foreign Workshop on Agent-Based methods in financial and Social advanced structures held in Taipei in 2009. we've 39 shows within the convention, and 14 papers are chosen to be incorporated during this quantity. those 14 papers are then grouped into six components: Agent-based monetary markets; monetary forecasting and funding; Cognitive modeling of brokers; Complexity and coverage research; Agent-based modeling of fine societies; and Miscellany. The learn awarded right here exhibits the cutting-edge during this quickly growing to be field.
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Extra info for Agent-Based Approaches in Economic and Social Complex Systems VI: Post-Proceedings of The AESCS International Workshop 2009
The portfolio cumulative value is shown in Fig. 1 by the open triangles. From Fig. 1% transaction cost, does not deviate much from the averaged stock price variation. The return is less than a portfolio that tracks the Hang Seng Index, since we tend to keep cash unless the stock market rises rather sharply. Nevertheless, the return is still impressive, making about 30% increase in mid 2008 before the tsunami. The shape of the blue curve looks similar to the Hang Seng Index, though with generally less fluctuation.
9] point out that noise traders may survive in the long run and exert an impact on price dynamics. Kogan et al. -H. -Y. -H. Chen et al. -H. -Y. Yang becomes quite small. Lo and MacKinlay , Campbell and Shiller , Brock et al. , and Neely et al.  all find evidence of predictability and profitability in financial markets. In addition, the increasing empirical evidence has indicated that traditional asset pricing models such as the capital asset pricing model (CAPM), arbitrage pricing theory (APT), and intertemporal capital asset pricing model are unable to provide explanations regarding the stylized facts.
Szeto KY, Fong LY (2000) How adaptive agents in stock market perform in the presence of random news: a genetic algorithm approach. In: Leung KS et al (eds) LNCS/LNAI, 2000, IDEAL 2000, vol 1983, pp 505–510. Springer, Heidelberg Short Time Correction to Mean Variance Analysis in an Optimized Two-Stock Portfolio 45 15. Fong ALY, Szeto KY (2001) Rule extraction in short memory time series using genetic algorithms. Eur Phys J B 20:569–572 16. Chen C, Tang R, Szeto KY (2008) Optimized trading agents in a two-stock portfolio using mean-variance analysis.