Re: [Swarm-Modelling] [Fwd: Re: [ABMs in finance]

[Pietro Terna]

At 07.25 26/04/2006, you wrote:
> Pietro Terna wrote:
> > > Some patterns seem to emerge just from the trading rules.
> > *********
> Just to be clear, in this case the `trading rules' were not agent 
> behaviors.  The agents behaviors were assumed to be random, and the 
> market mechanism, an order book, itself was modeled in a realistic way.
> This type of analytical model explained around 70% of the variance 
> in the spread of book prices as a function of a set time-aggregated 
> measurements from historical London Stock Exchange data -- different 
> subsets of millions of observations per different stocks. Delving 
> into the ecology of agents wasn't necessary.
>
> This is in contrast to the approach of building up a simulation 
> model like ASM and expecting to reproduce global phenomena from 
> different ensembles and parameterizations of agent behaviors.  I 
> don't doubt there are situations where it is useful to do employ the 
> synthetic ASM approach, but if an explanations seems simple from 
> theory or data mining, perhaps it just is?
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        May be I'm too radical, but theory or data mining don't show 
that simple random behaving agents, if acting in a time sequence, 
tick per tick, produce bubbles or crasches.

        We can show the emergence only via simulation (agent based).

        Pietro