摘要翻译:
我们给出了在经济和金融中竞争和业务过程的基于Agent和随机模型的例子。我们从尽可能简单的模型开始,这些模型在行为上有微观的、基于Agent的、版本和宏观处理。Kirman提出的羊群模型的微观和宏观版本以及新产品的Bass扩散是本文的两个基本思想。进一步证明了一般羊群行为可以作为金融波动非线性随机模型的背景。
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英文标题:
《Agent-based Versus Macroscopic Modeling of Competition and Business
Processes in Economics and Finance》
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作者:
Aleksejus Kononovicius, Vygintas Gontis, Valentas Daniunas
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最新提交年份:
2012
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类:Physics 物理学
二级分类:Physics and Society 物理学与社会
分类描述:Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体(人类或其他)的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统(如能源网、运输网络)的物理和工程。
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英文摘要:
We present examples of agent-based and stochastic models of competition and business processes in economics and finance. We start from as simple as possible models, which have microscopic, agent-based, versions and macroscopic treatment in behavior. Microscopic and macroscopic versions of herding model proposed by Kirman and Bass diffusion of new products are considered in this contribution as two basic ideas. Further we demonstrate that general herding behavior can be considered as a background of nonlinear stochastic model of financial fluctuations.
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PDF链接:
https://arxiv.org/pdf/1202.3533