Is the Extension of Trading Hours Always Beneficial? An Artificial Agent-Based Analysis PDF Download

Author: Kotaro Miwa
Publisher:
ISBN:
Category :
Languages : en
Pages : 32

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Book Description
The extension of trading hours to provide more trading opportunities and improve price efficiency has increasingly been discussed. However, currently, there is limited trading activity during the stock market's extended-hours trading session. Thus, we should examine whether the extension of trading hours is still effective for creating more trading opportunity and price efficiency even if there are few market participants during the extended session. For this study, we build an agent-based market model based on that of Brock and Hommes (1998) and analyze the effect of extending trading hours. We find that although extending trading hours could increase daily trading volume, it could distort price formation and trade opportunity if market participants are limited during the extended-hours session. Specifically, the extension could result in more concentrated trading in the opening session, wider divergence between market prices and the fundamental value of stocks, and higher return volatility (especially at the open).

Author: Kotaro Miwa
Publisher:
ISBN:
Category :
Languages : en
Pages : 31

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Book Description
To uncover the complex feature of the effect of extending trading hours, I analyze what kind of the extension is effective on price efficiency and price stability, by utilizing an agent-based market model. Specifically, I examine whether the partial extension of trading hours--namely, implementing the pre-market session and the after-hours session--and what duration of the session is effective. The simulation result reveals that the implementation of both sessions could have a negative impact on price efficiency and stability if investors' participation during the session is limited; it could result in more concentrated trading in the opening session, wider divergence between market prices and the fundamental value, and lower price stability. In addition, longer sessions are less beneficial (or more harmful). My result also shows that there are very few benefits to trade during the extended-hours sessions. Thus, my findings suggest that the extended-hours trading has a structural weakness which causes illiquidity during the session and lowers price efficiency and price stability during the regular-hour session. However, I find that the implementation of the pre-market session is far more beneficial than that of the after-hours session; exceptionally, the implementation of the short-term pre-market session could induce higher price efficiency and higher price stability regardless of the number of market participants during the session.

Author: Shu-Heng Chen
Publisher: Oxford University Press
ISBN: 0190877502
Category : Business & Economics
Languages : en
Pages : 785

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Book Description
The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.

Author: Sugumaran, Vijayan
Publisher: IGI Global
ISBN: 1605661457
Category : Computers
Languages : en
Pages : 450

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Book Description
"This book is a catalyst for emerging research in intelligent information, specifically artificial intelligent technologies and applications to assist in improving productivity in many roles such as assistants to human operators and autonomous decision-making components of complex systems"--Provided by publisher.

Author: Management Association, Information Resources
Publisher: IGI Global
ISBN: 1522556443
Category : Computers
Languages : en
Pages : 2390

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Book Description
Ongoing advancements in modern technology have led to significant developments in intelligent systems. With the numerous applications available, it becomes imperative to conduct research and make further progress in this field. Intelligent Systems: Concepts, Methodologies, Tools, and Applications contains a compendium of the latest academic material on the latest breakthroughs and recent progress in intelligent systems. Including innovative studies on information retrieval, artificial intelligence, and software engineering, this multi-volume book is an ideal source for researchers, professionals, academics, upper-level students, and practitioners interested in emerging perspectives in the field of intelligent systems.

Author: Jaeho Lee
Publisher: Springer Science & Business Media
ISBN: 3540204601
Category : Computers
Languages : en
Pages : 225

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Book Description
Five years ago, with excitement and uncertainty, we witnessed the birth of PRIMA (Paci?c Rim International Workshop on Multi-Agents). The ?rst PRIMA in 1998 has now grown into PRIMA 2003, the 6th Paci?c Rim Inter- tional Workshop on Multi-Agents in Seoul, Korea. During a period of ?ve years, the notion of agent research has grown so much that we hear the term agent on a daily basis. Various ?elds such as business, the Web, software engineering, on-line games and such are now using the term agent as a placeholder, just like the term object is used in the object-oriented paradigm. On the other hand, the research area has extended toward real applications, such as the Semantic Web and ubiquitous computing. The themes of PRIMA 2003 re?ected the following trends: – agent-based electronic commerce, auctions and markets – agent architectures and their applications – agent communication languages, dialog and interaction protocols – agent ontologies – agent programming languages, frameworks and toolkits – agentcities – agents and grid computing – agents and peer computing –agentsandtheSemanticWeb – agents and Web services – arti?cial social systems – con?ict resolution and negotiation – evaluation of multi-agent systems – languages and techniques for describing (multi-)agent systems – meta modeling and meta reasoning – multi-agent planning and learning – multi-agent systems and their applications – social reasoning, agent modeling, and organization – standards for agents and multi-agent systems – teams and coalitions – ubiquitous agents

Author: Tshilidzi Marwala
Publisher: Springer
ISBN: 3319661043
Category : Computers
Languages : en
Pages : 206

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Book Description
This book theoretically and practically updates major economic ideas such as demand and supply, rational choice and expectations, bounded rationality, behavioral economics, information asymmetry, pricing, efficient market hypothesis, game theory, mechanism design, portfolio theory, causality and financial engineering in the age of significant advances in man-machine systems. The advent of artificial intelligence has changed many disciplines such as engineering, social science and economics. Artificial intelligence is a computational technique which is inspired by natural intelligence concepts such as the swarming of birds, the working of the brain and the pathfinding of the ants. Artificial Intelligence and Economic Theory: Skynet in the Market analyses the impact of artificial intelligence on economic theories, a subject that has not been studied. It also introduces new economic theories and these are rational counterfactuals and rational opportunity costs. These ideas are applied to diverse areas such as modelling of the stock market, credit scoring, HIV and interstate conflict. Artificial intelligence ideas used in this book include neural networks, particle swarm optimization, simulated annealing, fuzzy logic and genetic algorithms. It, furthermore, explores ideas in causality including Granger as well as the Pearl causality models.

Author: Söhnke M. Bartram
Publisher: CFA Institute Research Foundation
ISBN: 195292703X
Category : Business & Economics
Languages : en
Pages : 95

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Book Description
Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.

Author: American Bar Association. House of Delegates
Publisher: American Bar Association
ISBN: 9781590318737
Category : Law
Languages : en
Pages : 216

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Book Description
The Model Rules of Professional Conduct provides an up-to-date resource for information on legal ethics. Federal, state and local courts in all jurisdictions look to the Rules for guidance in solving lawyer malpractice cases, disciplinary actions, disqualification issues, sanctions questions and much more. In this volume, black-letter Rules of Professional Conduct are followed by numbered Comments that explain each Rule's purpose and provide suggestions for its practical application. The Rules will help you identify proper conduct in a variety of given situations, review those instances where discretionary action is possible, and define the nature of the relationship between you and your clients, colleagues and the courts.

Author: Andreas Horni
Publisher: Ubiquity Press
ISBN: 190918876X
Category : Technology & Engineering
Languages : en
Pages : 620

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Book Description
The MATSim (Multi-Agent Transport Simulation) software project was started around 2006 with the goal of generating traffic and congestion patterns by following individual synthetic travelers through their daily or weekly activity programme. It has since then evolved from a collection of stand-alone C++ programs to an integrated Java-based framework which is publicly hosted, open-source available, automatically regression tested. It is currently used by about 40 groups throughout the world. This book takes stock of the current status. The first part of the book gives an introduction to the most important concepts, with the intention of enabling a potential user to set up and run basic simulations. The second part of the book describes how the basic functionality can be extended, for example by adding schedule-based public transit, electric or autonomous cars, paratransit, or within-day replanning. For each extension, the text provides pointers to the additional documentation and to the code base. It is also discussed how people with appropriate Java programming skills can write their own extensions, and plug them into the MATSim core. The project has started from the basic idea that traffic is a consequence of human behavior, and thus humans and their behavior should be the starting point of all modelling, and with the intuition that when simulations with 100 million particles are possible in computational physics, then behavior-oriented simulations with 10 million travelers should be possible in travel behavior research. The initial implementations thus combined concepts from computational physics and complex adaptive systems with concepts from travel behavior research. The third part of the book looks at theoretical concepts that are able to describe important aspects of the simulation system; for example, under certain conditions the code becomes a Monte Carlo engine sampling from a discrete choice model. Another important aspect is the interpretation of the MATSim score as utility in the microeconomic sense, opening up a connection to benefit cost analysis. Finally, the book collects use cases as they have been undertaken with MATSim. All current users of MATSim were invited to submit their work, and many followed with sometimes crisp and short and sometimes longer contributions, always with pointers to additional references. We hope that the book will become an invitation to explore, to build and to extend agent-based modeling of travel behavior from the stable and well tested core of MATSim documented here.