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政大機構典藏 > 社會科學學院 > 經濟學系 > 會議論文 > Item 140.119/50663

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/50663

Title:	Microstructure Dynamics and Agent-Based Financial Markets
Authors:	陳樹衡 Chen, Shu-Heng;Kampouridis, Michael;Tsang, Edward
Contributors:	政治大學經濟系
Date:	2009.09
Issue Date:	2011-07-28 11:34:20 (UTC+8)
Abstract:	One of the essential features of the agent-based financial models is to show how price dynamics is affected by the evolving microstructure. Empirical work on this microstructure dynamics is, however, built upon highly simplified and unrealistic behavioral models of financial agents. Using genetic programming as a rule-inference engine and self-organizing maps as a clustering machine, we are able to reconstruct the possible underlying microstructure dynamics corresponding to the underlying asset. In light of the agent-based financial models, we further examine the microstructure both in terms of its short-term dynamics and long-term distribution. The time series of the TAIEX is employed as an illustration of the implementation of the idea.
Relation:	Workshop on Multi-Agent Systems and Agent-Based Simulation - MABS , pp. 121-135
Data Type:	conference
DOI 連結:	http://dx.doi.org/10.1007/978-3-642-18345-4_9
DOI:	10.1007/978-3-642-18345-4_9
Appears in Collections:	[經濟學系] 會議論文

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