Complex Systems in Finance and Econometrics PDF Download

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Languages : en
Pages : 496

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Author: Robert A. Meyers
Publisher: Springer Science & Business Media
ISBN: 1441977007
Category : Business & Economics
Languages : en
Pages : 919

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Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Author: Shu-Heng Chen
Publisher: Springer
ISBN: 331999624X
Category : Business & Economics
Languages : en
Pages : 307

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Book Description
This title brings together frontier research on complex economic systems, heterogeneous interacting agents, bounded rationality, and nonlinear dynamics in economics. The book contains the proceedings of the CEF2015 (21st Computing in Economics in Finance), held 20-22 June 2015 in Taipei, Taiwan, and addresses some of the important driving forces for various emergent properties in economies, when viewed as complex systems. The breakthroughs reported in this book are a result of an interdisciplinary approach and simulation remains the unifying theme for these papers as they deal with a wide range of topics in economics. The text is a valuable addition to the efforts in promoting the complex systems view in economic science. The computational experiments reported in the book are both transparent and replicable. Complex System Modeling and Simulation in Economics and Finance is useful for graduate courses of complex systems, with particular focus on economics and finance. At the same time it serves as a good overview for researchers who are interested in the topic.

Author: Anil K. Bera
Publisher: Springer
ISBN: 3319099469
Category : Business & Economics
Languages : en
Pages : 282

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Book Description
In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis. ​

Author: Giuseppe Orlando
Publisher: Springer Nature
ISBN: 3030709825
Category : Business & Economics
Languages : en
Pages : 361

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Book Description
This interdisciplinary book argues that the economy has an underlying non-linear structure and that business cycles are endogenous, which allows a greater explanatory power with respect to the traditional assumption that dynamics are stochastic and shocks are exogenous. The first part of this work is formal-methodological and provides the mathematical background needed for the remainder, while the second part presents the view that signal processing involves construction and deconstruction of information and that the efficacy of this process can be measured. The third part focuses on economics and provides the related background and literature on economic dynamics and the fourth part is devoted to new perspectives in understanding nonlinearities in economic dynamics: growth and cycles. By pursuing this approach, the book seeks to (1) determine whether, and if so where, common features exist, (2) discover some hidden features of economic dynamics, and (3) highlight specific indicators of structural changes in time series. Accordingly, it is a must read for everyone interested in a better understanding of economic dynamics, business cycles, econometrics and complex systems, as well as non-linear dynamics and chaos theory.

Author: Matthieu Cristelli
Publisher: Springer Science & Business Media
ISBN: 3319007238
Category : Science
Languages : en
Pages : 223

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Book Description
Tools and methods from complex systems science can have a considerable impact on the way in which the quantitative assessment of economic and financial issues is approached, as discussed in this thesis. First it is shown that the self-organization of financial markets is a crucial factor in the understanding of their dynamics. In fact, using an agent-based approach, it is argued that financial markets’ stylized facts appear only in the self-organized state. Secondly, the thesis points out the potential of so-called big data science for financial market modeling, investigating how web-driven data can yield a picture of market activities: it has been found that web query volumes anticipate trade volumes. As a third achievement, the metrics developed here for country competitiveness and product complexity is groundbreaking in comparison to mainstream theories of economic growth and technological development. A key element in assessing the intangible variables determining the success of countries in the present globalized economy is represented by the diversification of the productive basket of countries. The comparison between the level of complexity of a country's productive system and economic indicators such as the GDP per capita discloses its hidden growth potential.

Author: Abdol S. Soofi
Publisher: Springer Science & Business Media
ISBN: 1461509319
Category : Business & Economics
Languages : en
Pages : 496

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Book Description
Modelling and Forecasting Financial Data brings together a coherent and accessible set of chapters on recent research results on this topic. To make such methods readily useful in practice, the contributors to this volume have agreed to make available to readers upon request all computer programs used to implement the methods discussed in their respective chapters. Modelling and Forecasting Financial Data is a valuable resource for researchers and graduate students studying complex systems in finance, biology, and physics, as well as those applying such methods to nonlinear time series analysis and signal processing.

Author: Anindya S. Chakrabarti
Publisher: Springer Nature
ISBN: 9811383197
Category : Business & Economics
Languages : en
Pages : 458

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Book Description
This book presents the latest findings on network theory and agent-based modeling of economic and financial phenomena. In this context, the economy is depicted as a complex system consisting of heterogeneous agents that interact through evolving networks; the aggregate behavior of the economy arises out of billions of small-scale interactions that take place via countless economic agents. The book focuses on analytical modeling, and on the econometric and statistical analysis of the properties emerging from microscopic interactions. In particular, it highlights the latest empirical and theoretical advances, helping readers understand economic and financial networks, as well as new work on modeling behavior using rich, agent-based frameworks. Innovatively, the book combines observational and theoretical insights in the form of networks and agent-based models, both of which have proved to be extremely valuable in understanding non-linear and evolving complex systems. Given its scope, the book will capture the interest of graduate students and researchers from various disciplines (e.g. economics, computer science, physics, and applied mathematics) whose work involves the domain of complexity theory.

Author: Alfons G. Hoekstra
Publisher: Springer Science & Business Media
ISBN: 3642122027
Category : Computers
Languages : en
Pages : 392

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Book Description
Deeply rooted in fundamental research in Mathematics and Computer Science, Cellular Automata (CA) are recognized as an intuitive modeling paradigm for Complex Systems. Already very basic CA, with extremely simple micro dynamics such as the Game of Life, show an almost endless display of complex emergent behavior. Conversely, CA can also be designed to produce a desired emergent behavior, using either theoretical methodologies or evolutionary techniques. Meanwhile, beyond the original realm of applications - Physics, Computer Science, and Mathematics – CA have also become work horses in very different disciplines such as epidemiology, immunology, sociology, and finance. In this context of fast and impressive progress, spurred further by the enormous attraction these topics have on students, this book emerges as a welcome overview of the field for its practitioners, as well as a good starting point for detailed study on the graduate and post-graduate level. The book contains three parts, two major parts on theory and applications, and a smaller part on software. The theory part contains fundamental chapters on how to design and/or apply CA for many different areas. In the applications part a number of representative examples of really using CA in a broad range of disciplines is provided - this part will give the reader a good idea of the real strength of this kind of modeling as well as the incentive to apply CA in their own field of study. Finally, we included a smaller section on software, to highlight the important work that has been done to create high quality problem solving environments that allow to quickly and relatively easily implement a CA model and run simulations, both on the desktop and if needed, on High Performance Computing infrastructures.

Author: Gian Italo Bischi
Publisher: Springer Science & Business Media
ISBN: 3642040233
Category : Business & Economics
Languages : en
Pages : 384

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Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.