By Aki-Hiro Sato (auth.), Shu-Heng Chen, Takao Terano, Ryuichi Yamamoto (eds.)
Agent-based modeling/simulation is an emergent method of the research of social and monetary platforms. It presents a bottom-up experimental option to be utilized to social sciences comparable to economics, administration, sociology, and politics in addition to a few engineering fields facing social actions. This booklet comprises chosen papers provided on the 6th overseas Workshop on Agent-Based techniques in fiscal and Social advanced structures held in Taipei in 2009. we've 39 shows within the convention, and 14 papers are chosen to be integrated during this quantity. those 14 papers are then grouped into six components: Agent-based monetary markets; monetary forecasting and funding; Cognitive modeling of brokers; Complexity and coverage research; Agent-based modeling of fine societies; and Miscellany. The learn offered the following indicates the state-of-the-art during this speedily turning out to be field.
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Additional resources for Agent-Based Approaches in Economic and Social Complex Systems VI: Post-Proceedings of The AESCS International Workshop 2009
Maccheroni F (2009) Portfolio selection with monotone mean-variance preferences. Math Finance 19:487 5. Campbell J, Viceira L (2002) Strategic asset allocation-portfolio choice for long-term investors Clarendon Lectures in Economics. Oxford University Press, Oxford 6. Schweizer M (1995) Variance optimal hedging in discrete time. Math Oper Res 20:1 7. Blanchet-Scalliet C, El Karoui N, Jeanblanc M, Martellini L (2008) J Math Econ 44:1100 8. Fukunaga K (1990) Introduction to statistical pattern recognition.
In: Proceedings of the international conference on neural information processing, Hong Kong, 1996, ICONIP’96, vol 2, pp 799–802. Springer 14. Szeto KY, Fong LY (2000) How adaptive agents in stock market perform in the presence of random news: a genetic algorithm approach. In: Leung KS et al (eds) LNCS/LNAI, 2000, IDEAL 2000, vol 1983, pp 505–510. Springer, Heidelberg Short Time Correction to Mean Variance Analysis in an Optimized Two-Stock Portfolio 45 15. Fong ALY, Szeto KY (2001) Rule extraction in short memory time series using genetic algorithms.
Lo and MacKinlay , Campbell and Shiller , Brock et al. , and Neely et al.  all find evidence of predictability and profitability in financial markets. In addition, the increasing empirical evidence has indicated that traditional asset pricing models such as the capital asset pricing model (CAPM), arbitrage pricing theory (APT), and intertemporal capital asset pricing model are unable to provide explanations regarding the stylized facts. Financial markets usually experience several anomalies, such as event-based return predictability, short-term momentum, long-term reversal, and high volatility of asset prices relative to fundamentals where bubbles and crashes never cease.