DocumentCode :
3466894
Title :
Advances in Agent-Based Computational Finance: Aseet Pricing Models from Heterogeneous and Interactive Perspective
Author :
Rao, Yulei ; Peng, Deifeng ; Tian, Tingxia
Author_Institution :
Bus. Sch., Central South Univ., Changsha
fYear :
2008
fDate :
12-14 Oct. 2008
Firstpage :
1
Lastpage :
6
Abstract :
This brief survey gives an introduction on agent-based computational finance (ABCF), focusing on features of heterogeneity and interaction among agents. In contrast to traditional deductive asset pricing theory with strictly defined representative investors, ABCF is characteristic of multi heterogeneous agents, making their own trading decisions in a virtual market respectively and interacting with each other evolutionally. Among a vast array of potential ABCF models, Santa Fe artificial stock model (SF-ASM) and heterogeneous agent model (HAM) are supposed to be the most prominent and prevalent. We give a simple conclusion and future directions for ABCF.
Keywords :
financial data processing; multi-agent systems; stock markets; Santa Fe artificial stock model; agent-based computational finance; heterogeneous agent model; multiheterogeneous agents; traditional deductive asset pricing theory; virtual market; Aggregates; Biological system modeling; Econometrics; Economics; Finance; Iron; Pricing; Psychology; Robustness; Stock markets;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location :
Dalian
Print_ISBN :
978-1-4244-2107-7
Electronic_ISBN :
978-1-4244-2108-4
Type :
conf
DOI :
10.1109/WiCom.2008.2299
Filename :
4680488
Link To Document :
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