Re: [Swarmfest2006] Keynote speakers

[Pietro Terna]

At 13.09 21/04/2006, you wrote:
> Pietro Terna wrote:
> >         I disagree totally: abm in
> > finance is about behavior
> Well, let me clarify.. On NYSE or
> LSE, for example, the transaction history against the order books for
> stocks are recorded.  On these transaction histories are the member
> and clearing (bank) codes of the traders.  So the behavior of
> individuals can be observed directly, and then some function to describe
> them inferred.   While the inference process can be done using
> ABM, ABM models are expensive computationally, and there is a lot of data
> to fit.   So of course it is about behavior, but compared to
> many other areas of research, there is an unusually good means for
> evaluating models (and in turn whether their complexity is
> justified).   These are datasets with subsecond resolution that
> go on for years across equities on multiple exchanges -- terabytes of
> data.  
> Dealing with all this is a big practical job, so given the choice between
> making a complex agent model and effectively measuring the data, I'd push
> for the latter.

        

But how
can you obtain results like that of:
Daniels, M.G., Farmer, J.D., Iori, G., Smith, E. (2002), How storing
supply and demand affects price diffusion, Santa Fe working paper at

www.santafe.edu/sfi/publications/Working-Papers/02-01-001.pdf

or

J. Doyne Farmer, Paolo Patelli, and Ilija I. Zovko, The predictive power
of zero intelligence
in financial markets, 2254–2259  PNAS  February 8, 2005  vol. 102  no.
6

or (let me cite myself)

P.
Terna (2002), Cognitive Agents Behaving in a Simple Stock Market
Structure, in F. Luna and A. Perrone (eds), Agent-Based Methods in
Economics and Finance: Simulations in Swarm. Dordrecht and London,
Kluwer Academic.

http://web.econ.unito.it/terna/deposito/book2terna_pdf.zip

without ABM?

        

Pietro

ps may be we are not in the proper list