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Re: [Swarmfest2006] Keynote speakers

From: Pietro Terna
Subject: Re: [Swarmfest2006] Keynote speakers
Date: Fri, 21 Apr 2006 13:49:54 +0200

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


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?


ps may be we are not in the proper list

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