Symulacyjne badanie dynamiki rynku kapitałowego przy użyciu zmodyfikowanego modelu SFI

• Autorzy: Marcin Godlewski

Warianty tytułu

Simulation-Based Analysis of Stock Market Dynamicswhit Modified SFI Model.

• Języki publikacji: PL

Abstrakty

W artykule omówiono wykorzystanie agendowego modelu rynku kapitałowego do badania zmienności notowań i zjawiska koncentracji kapitału. (fragment tekstu)

EN

The aim of this paper is to analyse how properties of a capital market arę affected by the markefs structure and by the assumptions about rules that govem the behaviour of market participants. In order to achieve this goal, the author employs an agent-based model of a capital market. Ali experiments arę conducted in a framework derived from the SFI model, with a number of modifications and enhancements aimed at allowing the verifi-cation of specific hypotheses, mainly concerning effects of wealth distribution, various risk-aversion schemes and the impact of actions of a market leader. (original abstract)

Słowa kluczowe

PL

Rynek kapitałowy; Kapitał

EN

Capital market; Capital

• Czasopismo: Zeszyty Naukowe / Uniwersytet Ekonomiczny w Poznaniu
• Rocznik: 2010
• Numer: nr 138
• Strony: 32--45

Twórcy

autor

Marcin Godlewski

• Uniwersytet Ekonomiczny w Poznaniu

Bibliografia

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• Arthur W.B., LeBaron B., Palmer R. (1999), Time series properties of an artificial stock market, Journal of Economic Dynamics & Control, Vol. 23.
• Bonabeau E. (2002), Agent-based modeling: Methods and techniques for simulating human systems, Proceedings of National Academy of Science, Vol. 99.
• Joshi S., Parker J., Bedau M.A. (2000), Technical trading creates a Prisoner 's Dilemma: Results from an Agent-Based Model, w: Proceedings of the 6' International Conference Computational Finance, Y. Abu-Mustafa, B. LeBaron, A.W. Lo, A.S. Weigend, red. MIT Press.
• LeBaron B., Building the Santa Fe Artificial Stock Market, Working Paper, Brandeis University (2002), http://people.brandeis.edu/~blebaron/wps.html.