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Complex Systems Modeling and Simulation in Economics and Finance

  • Conference proceedings
  • © 2018

Overview

Editors:
  1. Shu-Heng Chen

    1. AI-ECON Research Center, Department of Economics, National Chengchi University, Taipei, Taiwan

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  2. Ying-Fang Kao

    1. AI-ECON Research Center, Department of Economics, National Chengchi University, Taipei, Taiwan

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  3. Ragupathy Venkatachalam

    1. Institute of Management Studies, Goldsmiths, University of London, London, UK

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  4. Ye-Rong Du

    1. Regional Development Research Center, Taiwan Institute of Economic Research, Taipei, Taiwan

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Part of the book series: Springer Proceedings in Complexity (SPCOM)

Included in the following conference series:

Conference proceedings info: CEF 2015.

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Table of contents (14 papers)

  1. Front Matter

    Pages i-viii
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  2. On Complex Economic Dynamics: Agent-Based Computational Modeling and Beyond

    • Shu-Heng Chen, Ye-Rong Du, Ying-Fang Kao, Ragupathy Venkatachalam, Tina Yu
    Pages 1-14

  3. Agent-Based Computational Economics

    1. Front Matter

      Pages 15-15
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    2. Dark Pool Usage and Equity Market Volatility

      • Yibing Xiong, Takashi Yamada, Takao Terano
      Pages 17-34

    3. Modelling Complex Financial Markets Using Real-Time Human–Agent Trading Experiments

      • John Cartlidge, Dave Cliff
      Pages 35-69

    4. Does High-Frequency Trading Matter?

      • Chia-Hsuan Yeh, Chun-Yi Yang
      Pages 71-90

    5. Modelling Price Discovery in an Agent Based Model for Agriculture in Luxembourg

      • Sameer Rege, Tomás Navarrete Gutiérrez, Antonino Marvuglia, Enrico Benetto, Didier Stilmant
      Pages 91-112

    6. Heterogeneity, Price Discovery and Inequality in an Agent-Based Scarf Economy

      • Shu-Heng Chen, Bin-Tzong Chie, Ying-Fang Kao, Wolfgang Magerl, Ragupathy Venkatachalam
      Pages 113-139

    7. Rational Versus Adaptive Expectations in an Agent-Based Model of a Barter Economy

      • Shyam Gouri Suresh
      Pages 141-160

    8. Does Persistent Learning or Limited Information Matter in Forward Premium Puzzle?

      • Ya-Chi Lin
      Pages 161-179

    9. Price Volatility on Investor’s Social Network

      • Yangrui Zhang, Honggang Li
      Pages 181-192

    10. The Transition from Brownian Motion to Boom-and-Bust Dynamics in Financial and Economic Systems

      • Harbir Lamba
      Pages 193-203

    11. Product Innovation and Macroeconomic Dynamics

      • Christophre Georges
      Pages 205-220

  4. New Methodologies and Technologies

    1. Front Matter

      Pages 221-221
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    2. Measuring Market Integration: US Stock and REIT Markets

      • Douglas W. Blackburn, N. K. Chidambaran
      Pages 223-250

    3. Supercomputer Technologies in Social Sciences: Existing Experience and Future Perspectives

      • Valery L. Makarov, Albert R. Bakhtizin
      Pages 251-273

    4. Is Risk Quantifiable?

      • Sami Al-Suwailem, Francisco A. Doria, Mahmoud Kamel
      Pages 275-303

  5. Back Matter

    Pages 305-307
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Other volumes

  1. Complex Systems Modeling and Simulation in Economics and Finance

Keywords

About this book

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 focuson economics and finance. At the same time it serves as a good overview for researchers who are interested in the topic.

Editors and Affiliations

  • AI-ECON Research Center, Department of Economics, National Chengchi University, Taipei, Taiwan

    Shu-Heng Chen, Ying-Fang Kao

  • Institute of Management Studies, Goldsmiths, University of London, London, UK

    Ragupathy Venkatachalam

  • Regional Development Research Center, Taiwan Institute of Economic Research, Taipei, Taiwan

    Ye-Rong Du

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