Nasdaq Market Simulation: Insights on a Major Market from the Science of Complex Adaptive Systems (Complex Systems and Interdisciplinary Science) [Hardcover]

Vincent Darley (Author), Alexander V. Outkin (Author)

Book Description

ISBN-10: 9812700013 | ISBN-13: 978-9812700018 | Publication Date: March 21, 2007

This pioneering book describes the applications of agent-based modeling to financial markets. It presents a new paradigm for finance, where markets are treated as complex systems whose behavior emerges as a result of interactions of market participants, market institutions, and market rules. This includes both a presentation of the conceptual model and its software implementation. It also summarises the result of the profound research on the successful practical application of this new approach to answer questions regarding the Nasdaq Stock Market s decimalization that was implemented in 2001. The book presents conceptual foundations for modeling markets as complex systems. It describes the agent-based model of the Nasdaq stock market, including strategies used by market-makers and investors, market participants interactions, and impacts of rules and regulations. It includes analyses of simulation behavior, comparison with the behaviors observed in the real-world markets (existence of fat tails, spread clustering, etc.), and predictions about possible outcomes of decimalization. A framework for calibrating the market behavior and individual market-makers strategies to historical data is also presented.

Editorial Reviews

Review

... a "must read" for every thoughtful market regulator. -- Michael Brown, former Chairman of the NASDAQ Stock Market and former CFO of Microsoft

... a critical read for a very wide range of readers attempting to understand the emergent behavior of complex systems. -- Stuart Kauffman, Founder of BiosGroup and Director of Institute of Biocomplexity and Informatics

Product Details

• Hardcover: 168 pages
• Publisher: World Scientific Publishing Company (March 21, 2007)
• Language: English
• ISBN-10: 9812700013
• ISBN-13: 978-9812700018
• Product Dimensions: 9.1 x 6.5 x 0.6 inches
• Shipping Weight: 1 pounds (View shipping rates and policies)
• Amazon Best Sellers Rank: #1,712,635 in Books (See Top 100 in Books)