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Complexity in Financial Markets

Modeling Psychological Behavior in Agent-Based Models and Order Book Models

  • Book
  • © 2014

Overview

Authors:
  1. Matthieu Cristelli

    1. Department of Physics, "Sapienza", Università di Roma ISC-CNR, Istituto dei Sistemi Complessi, Rome, Italy

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  • Nominated as an outstanding PhD thesis by the University of Rome La Sapienza
  • Explains the self-organization of financial markets
  • Provides new metrics for economic complexity: measuring countries' competitiveness and product complexity
  • Applies big data and new generation tools for forecasting economic growth
  • Includes supplementary material: sn.pub/extras

Part of the book series: Springer Theses (Springer Theses)

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Table of contents (13 chapters)

  1. Front Matter

    Pages i-xix
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  2. Introduction

    • Matthieu Cristelli
    Pages 1-17

  3. Stylized Facts

    • Matthieu Cristelli
    Pages 19-25

  4. Agent-Based Modeling

    1. Front Matter

      Pages 27-27
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    2. Critical Review of Agent-Based Models

      • Matthieu Cristelli
      Pages 29-54

    3. A Minimal Agent-Based Model and Self-Organization of Financial Markets

      • Matthieu Cristelli
      Pages 55-86

  5. Financial Market Dynamics: Order Book and Data Analysis

    1. Front Matter

      Pages 87-87
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    2. Order Book: Introduction and Main Statistical Evidences

      • Matthieu Cristelli
      Pages 89-97

    3. Zero Intelligence Model for the Order Book Dynamics

      • Matthieu Cristelli
      Pages 99-111

    4. Evidences of Strategic Placements of Orders

      • Matthieu Cristelli
      Pages 113-126

    5. Quantitative Analysis of Technical Trading

      • Matthieu Cristelli
      Pages 127-139

    6. Universal Relation Between Skewness and Kurtosis in Complex Dynamics

      • Matthieu Cristelli
      Pages 141-150

    7. Web Queries Can Predict Stock Market Volumes

      • Matthieu Cristelli
      Pages 151-161

  6. A Metrics for the Economic Complexity

    1. Front Matter

      Pages 163-163
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    2. Theory of Economic Growth

      • Matthieu Cristelli
      Pages 165-170

    3. Beyond Classical Theory of Economic Growth

      • Matthieu Cristelli
      Pages 171-188

    4. A New Metric for the Competitiveness of Countries and the Quality of Products

      • Matthieu Cristelli
      Pages 189-203

  7. Back Matter

    Pages 205-216
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Keywords

About this book

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.

Authors and Affiliations

  • Department of Physics, "Sapienza", Università di Roma ISC-CNR, Istituto dei Sistemi Complessi, Rome, Italy

    Matthieu Cristelli

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