On agent-based modelling for artificial financial markets / (Record no. 59553)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 03120cam a2200337 a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | EG-GiCUC |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250223031642.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 170122s2016 ua h f m 000 0 eng d |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | EG-GiCUC |
| Language of cataloging | eng |
| Transcribing agency | EG-GiCUC |
| 041 0# - LANGUAGE CODE | |
| Language code of text/sound track or separate title | eng |
| 049 ## - LOCAL HOLDINGS (OCLC) | |
| Holding library | Deposite |
| 097 ## - Thesis Degree | |
| Thesis Level | Ph.D |
| 099 ## - LOCAL FREE-TEXT CALL NUMBER (OCLC) | |
| Classification number | Cai01.03.05.Ph.D.2016.He.O |
| 100 0# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Heba Moustafa Ahmed Ezzat |
| 245 10 - TITLE STATEMENT | |
| Title | On agent-based modelling for artificial financial markets / |
| Statement of responsibility, etc. | Heba Moustafa Ahmed Ezzat ; Supervised Kamal Samy Selim , Ahmed Eltabey Okasha |
| 246 15 - VARYING FORM OF TITLE | |
| Title proper/short title | فى نمذجة الأسواق المالية الاصطناعية باستخدام أسلوب العميل |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | Cairo : |
| Name of publisher, distributor, etc. | Heba Moustafa Ahmed Ezzat , |
| Date of publication, distribution, etc. | 2016 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 148 P. : |
| Other physical details | fascsimiles ; |
| Dimensions | 25cm |
| 502 ## - DISSERTATION NOTE | |
| Dissertation note | Thesis (Ph.D.) - Cairo University - Faculty of Economics and Political science - Department of Social Science Computing |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | In this thesis, we develop two artificial financial market models; a single-asset model and a multi-stocks model.The financial markets are populated with agents following two heterogeneous trading beliefs,the technical and the fundemental prediction rules.In the single asset framework, agents switch between trading rules with respect to their past performance.The agents are lss averse over asset price fluctuations. loss aversion behaviour depends on the past perfrmance of the trading strategies in terms of an evolutionary fitness measure. We propsed a novel pplication of the prospect theory to agent-based modelling,and by simulation, the effect of evolutionary fitness measure on adaptive belief system is investigated.for comparison, we syudy pricing dynamics of financial market populated with chartists perceive losses and gains symmetrically.one of our contributions is validating the agent-based models using real financial data of the Egyptian stock exchange.However, in the multi stocks model, agents switch between multiple stocks with respect to the attractiveness of each individual stock. loss aversion behaviour depends on the attractiveness of individual stocks in terms of any evolutionary fitness measure.We propse a novel application of the prospect theory to agent-based modelling, and by simulation, the effect of evolutionary fitness measure on the switching behaviour among multiple stock is investigated.we finf that the proposed frameworks can explain important stylized facts in financial time series, such as random walk price behaviour, bubbles and crashes, fat-tailed return distributions, power-law tails in the distribution of returns,excess volatility, volatiltiy clustering,and power - law autocorrelation in absolute return. in addition to this, we find that loss aversion improves market qualiy and market stability |
| 530 ## - ADDITIONAL PHYSICAL FORM AVAILABLE NOTE | |
| Additional physical form available note | Issued also as CD |
| 653 #4 - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Bounded Rationality |
| 653 #4 - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Prospect theory |
| 653 #4 - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Stock Markets |
| 700 0# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Ahmed Eltabey Okasha , |
| Relator term | |
| 700 0# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Kamal Samy Selim , |
| Relator term | |
| 856 ## - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://172.23.153.220/th.pdf">http://172.23.153.220/th.pdf</a> |
| 905 ## - LOCAL DATA ELEMENT E, LDE (RLIN) | |
| Cataloger | Nazla |
| Reviser | Revisor |
| 905 ## - LOCAL DATA ELEMENT E, LDE (RLIN) | |
| Cataloger | Shaima |
| Reviser | Cataloger |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Thesis |
| Source of classification or shelving scheme | Not for loan | Home library | Current library | Date acquired | Full call number | Barcode | Date last seen | Koha item type | Copy number |
|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | المكتبة المركزبة الجديدة - جامعة القاهرة | قاعة الرسائل الجامعية - الدور الاول | 11.02.2024 | Cai01.03.05.Ph.D.2016.He.O | 01010110070804000 | 22.09.2023 | Thesis | ||
| Dewey Decimal Classification | المكتبة المركزبة الجديدة - جامعة القاهرة | مخـــزن الرســائل الجـــامعية - البدروم | 11.02.2024 | Cai01.03.05.Ph.D.2016.He.O | 01020110070804000 | 22.09.2023 | CD - Rom | 70804.CD |