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Complexity in Financial Markets

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

  • Matthieu Cristelli

Part of the Springer Theses book series (Springer Theses)

Table of contents

  1. Front Matter
    Pages i-xix
  2. Matthieu Cristelli
    Pages 1-17
  3. Matthieu Cristelli
    Pages 19-25
  4. Agent-Based Modeling

    1. Front Matter
      Pages 27-27
    2. Matthieu Cristelli
      Pages 29-54
  5. Financial Market Dynamics: Order Book and Data Analysis

    1. Front Matter
      Pages 87-87
    2. Matthieu Cristelli
      Pages 99-111
    3. Matthieu Cristelli
      Pages 113-126
    4. Matthieu Cristelli
      Pages 127-139
    5. Matthieu Cristelli
      Pages 151-161
  6. A Metrics for the Economic Complexity

    1. Front Matter
      Pages 163-163
    2. Matthieu Cristelli
      Pages 165-170
    3. Matthieu Cristelli
      Pages 171-188
  7. Back Matter
    Pages 205-216

About this book

Introduction

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.

Keywords

Agent-Based Modeling of Economic Systems Complexity and Value of Products Economic Complexity Analysis Economic Growth Forecasting Economic Growth Models Order Book Analysis Portfolio Allocation Systemic Risk Web Search Queries

Authors and affiliations

  • Matthieu Cristelli
    • 1
  1. 1.Department of Physics, "Sapienza"Università di Roma ISC-CNR, Istituto dei Sistemi ComplessiRomeItaly

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-00723-6
  • Copyright Information Springer International Publishing Switzerland 2014
  • Publisher Name Springer, Cham
  • eBook Packages Physics and Astronomy
  • Print ISBN 978-3-319-00722-9
  • Online ISBN 978-3-319-00723-6
  • Series Print ISSN 2190-5053
  • Series Online ISSN 2190-5061
  • Buy this book on publisher's site