Springer Theses

Complexity in Financial Markets

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

Authors: Cristelli, Matthieu

  • 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
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  • ISBN 978-3-319-00723-6
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Hardcover $129.00
price for USA
  • ISBN 978-3-319-00722-9
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  • ISBN 978-3-319-03273-3
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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.

Table of contents (13 chapters)

  • Introduction

    Cristelli, Matthieu

    Pages 1-17

  • Stylized Facts

    Cristelli, Matthieu

    Pages 19-25

  • Critical Review of Agent-Based Models

    Cristelli, Matthieu

    Pages 29-54

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

    Cristelli, Matthieu

    Pages 55-86

  • Order Book: Introduction and Main Statistical Evidences

    Cristelli, Matthieu

    Pages 89-97

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-3-319-00723-6
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-3-319-00722-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $129.00
price for USA
  • ISBN 978-3-319-03273-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Complexity in Financial Markets
Book Subtitle
Modeling Psychological Behavior in Agent-Based Models and Order Book Models
Authors
Series Title
Springer Theses
Copyright
2014
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-00723-6
DOI
10.1007/978-3-319-00723-6
Hardcover ISBN
978-3-319-00722-9
Softcover ISBN
978-3-319-03273-3
Series ISSN
2190-5053
Edition Number
1
Number of Pages
XIX, 216
Topics