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Record Nr. |
UNINA9910458615503321 |
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Autore |
Ehrentreich Norman |
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Titolo |
Agent-based modeling [[electronic resource] ] : the Santa Fe Institute artificial stock market model revisited / / Norman Ehrentreich |
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Pubbl/distr/stampa |
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Berlin ; ; New York, : Springer, c2008 |
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ISBN |
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1-281-10808-1 |
9786611108083 |
3-540-73879-7 |
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Edizione |
[1st ed. 2008.] |
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Descrizione fisica |
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1 online resource (244 p.) |
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Collana |
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Lecture notes in economics and mathematical systems, , 0075-8442 ; ; 602 |
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Disciplina |
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Soggetti |
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Equilibrium (Economics) - Econometric models |
Evolutionary economics |
Financial engineering |
Rational expectations (Economic theory) |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references (p. [195]-225) and index. |
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Nota di contenuto |
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Agent-Based Modeling in Economics -- The Rationale for Agent-Based Modeling -- The Concept of Minimal Rationality -- Learning in Economics -- Replicating the Stylized Facts of Financial Markets -- The Santa Fe Institute Artificial Stock Market Model Revisited -- The Original Santa Fe Institute Artificial Stock Market -- A Suggested Modification to the SFI-ASM -- An Analysis of Wealth Levels -- Selection, Genetic Drift, and Technical Trading -- Summary and Future Research. |
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Sommario/riassunto |
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This book reconciles the existence of technical trading with the Efficient Market Hypothesis. By analyzing a well-known agent-based model, the Santa Fe Institute Artificial Stock Market (SFI-ASM), it finds that when selective forces are weak, financial evolution cannot guarantee that only the fittest trading rules will survive.Its main contribution lies in the application of standard results from population genetics which have widely been neglected in the agent-based community. This has led to various misinterpretations of previous |
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