Agent-Based Modeling
The Santa Fe Institute Artificial Stock Market Model Revisited

Authors: Dr. Norman Ehrentreich



An important and timely work that analyzes a well-known agent-based model

Reconciles the existence of technical trading with the Efficient Market Hypothesis

Provides agent-based modelers with several tools to design better evolutionary algorithms

From the reviews:
"The book under review is an important and careful study of some of the issues involved in the workings of the SFI stock market. … In my opinion, Ehrentreich’s book is an excellent reference to both the learning, and empirical literature in finance." (Krzysztof Piasecki, Zentralblatt MATH, Vol. 1141, 2008)

"Norman Ehrentreich was one of the daring few to take on the model, and he has summarized his work and findings in this excellent book. … It is useful primer for anyone interested in getting started in the area of agent-based finance. … It is essential reading for anyone interested in the dynamics of the SFI market in particular, but I also recommend it for others as a useful resource on agent-based financial market design as well." (Blake LeBaron, Journal of Artificial Societies and Social Simulation, Vol. 12 (2), March, 2009)

Table of contents

Front Matter

Agent-Based Modeling in Economics
• Front Matter
• Introduction
• 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
• Front Matter
• 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

Appendix

Back Matter