By Norman Ehrentreich
From the reviews:
"The ebook lower than overview is a vital and cautious examine of a few of the problems all in favour of the workings of the SFI inventory industry. … in my view, Ehrentreich’s ebook is a wonderful connection with either the educational, and empirical literature in finance." (Krzysztof Piasecki, Zentralblatt MATH, Vol. 1141, 2008)
"Norman Ehrentreich used to be one of many bold few to tackle the version, and he has summarized his paintings and findings during this first-class booklet. … it really is helpful primer for an individual drawn to getting begun within the sector of agent-based finance. … it really is crucial interpreting for somebody attracted to the dynamics of the SFI marketplace specifically, yet I additionally suggest it for others as an invaluable source on agent-based monetary industry layout as well." (Blake LeBaron, magazine of man-made Societies and Social Simulation, Vol. 12 (2), March, 2009)
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Extra info for Agent-Based Modeling: The Santa Fe Institute Artificial Stock Market Model Revisited
Evolutionary ideas in economics, however, can be traced back even further than this. Hodgson  gives a comprehensive account of the history of evolutionary thought in economics. 20 3 The Concept of Minimal Rationality Instead of creating economic models which are based on more realistic assumptions of individual behaviors, the arguments above suggest that one can easily take a shortcut by outright assuming rational behavior. This is also in line with Friedman’s other famous claim that the realism of an assumption does not matter as long it yields correct predictions.
19 Evaluation The deﬁnition of an objective function f : Ax → R, Ax being the state space of the optimization problem, is perhaps the most important element in any evolutionary algorithm. It evaluates the quality of genetic individuals and thus, speciﬁes the direction towards which the GA should try to improve them. Generally, this deﬁnition is dependent on the speciﬁc optimization problem. In an economic context, usually some costs are to be minimized or proﬁts to be maximized. If the objective function produces negative values or has to be minimized, it has to be mapped to a ﬁtness function Φ : Ax → R+ .
A minority of rational agents can be suﬃcient to generate aggregate rationality. , a situation in which an increase in i’s action causes increases in the actions of other agents, a small amount of individual irrationality may suﬃce to generate large deviations from the predictions of rational models. Herding behavior in ﬁnancial markets is an example for strategic complementarity. The possibility of strategic complementarity, however, is a strong argument against the unreﬂective use of rational agents.