This pioneering book describes the applications of agent-based modeling to financial markets. It presents a new paradigm for finance, where markets are treated as complex systems whose behavior emerges as a result of interactions of market participants, market institutions, and market rules. This includes both a presentation of the conceptual model and its software implementation. It also summarises the result of the profound research on the successful practical application of this new approach to answer questions regarding the NASDAQ Stock Market's decimalization that was implemented in 2001.The book presents conceptual foundations for modeling markets as complex systems. It describes the agent-based model of the NASDAQ stock market, including strategies used by market-makers and investors, market participants interactions, and impacts of rules and regulations. It includes analyses of simulation behavior, comparison with the behaviors observed in the real-world markets (existence of fat tails, spread clustering, etc.), and predictions about possible outcomes of decimalization. A framework for calibrating the market behavior and individual market-makers strategies to historical data is also presented.

This pioneering book describes the applications of agent-based modeling to financial markets. It presents a new paradigm for finance, where markets are treated as complex systems whose behavior emerges as a result of interactions of market participants, market institutions, and market rules. This includes both a presentation of the conceptual model and its software implementation. It also summarises the result of the profound research on the successful practical application of this new approach to answer questions regarding the NASDAQ Stock Market's decimalization that was implemented in 2001.The book presents conceptual foundations for modeling markets as complex systems. It describes the agent-based model of the NASDAQ stock market, including strategies used by market-makers and investors, market participants interactions, and impacts of rules and regulations. It includes analyses of simulation behavior, comparison with the behaviors observed in the real-world markets (existence of fat tails, spread clustering, etc.), and predictions about possible outcomes of decimalization. A framework for calibrating the market behavior and individual market-makers strategies to historical data is also presented.

This pioneering book describes the applications of agent-based modeling to financial markets. It presents a new paradigm for finance, where markets are treated as complex systems whose behavior emerges as a result of interactions of market participants, market institutions, and market rules. This includes both a presentation of the conceptual model and its software implementation. It also summarises the result of the profound research on the successful practical application of this new approach to answer questions regarding the Nasdaq Stock MarketOCOs decimalization that was implemented in 2001. The book presents conceptual foundations for modeling markets as complex systems. It describes the agent-based model of the Nasdaq stock market, including strategies used by market-makers and investors, market participants interactions, and impacts of rules and regulations. It includes analyses of simulation behavior, comparison with the behaviors observed in the real-world markets (existence of fat tails, spread clustering, etc.), and predictions about possible outcomes of decimalization. A framework for calibrating the market behavior and individual market-makers strategies to historical data is also presented."

Operational Research (OR) deals with the use of advanced analytical methods to support better decision-making. It is multidisciplinary with strong links to management science, decision science, computer science and many application areas such as engineering, manufacturing, commerce and healthcare. In the study of emergent behaviour in complex adaptive systems, Agent-based Modelling & Simulation (ABMS) is being used in many different domains such as healthcare, energy, evacuation, commerce, manufacturing and defense. This collection of articles presents a convenient introduction to ABMS with papers ranging from contemporary views to representative case studies. The OR Essentials series presents a unique cross-section of high quality research work fundamental to understanding contemporary issues and research across a range of Operational Research (OR) topics. It brings together some of the best research papers from the esteemed Operational Research Society and its associated journals, also published by Palgrave Macmillan.

Reachable Sets of Dynamic Systems: Uncertainty, Sensitivity, and Complex Dynamics introduces differential inclusions, providing an overview as well as multiple examples of its interdisciplinary applications. The design of dynamic systems of any type is an important issue as is the influence of uncertainty in model parameters and model sensitivity. The possibility of calculating the reachable sets may be a powerful additional tool in such tasks. This book can help graduate students, researchers, and engineers working in the field of computer simulation and model building, in the calculation of reachable sets of dynamic models. - Introduces methodologies and approaches to the modeling and simulation of dynamic systems - Presents uncertainty treatment and model sensitivity are described, and interdisciplinary examples - Explores applications of differential inclusions in modeling and simulation

The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and many more.

This book constitutes the refereed proceedings of the 13th International Conference on Artificial Intelligence: Methodology, Systems, and Applications, AIMSA 2008, held in Varna, Bulgaria in September 2008. The 30 revised full papers presented together with the 10 posters were carefully reviewed and selected from 109 submissions. The papers are organized in topical sections on agents; natural language processing and text analysis; machine learning and information retrieval; knowledge representation and reasoning; constraints, heuristics and search; applications; posters.

It is widely recognised that the foreign aid system - which today involves every country in the world - is in need of drastic change. But there are conflicting opinions as to what is needed. Some call for dramatic increases in resources, to meet long-overdue commitments, and to scale up what is already being done around the world. Others point to the flaws in aid, and bang the drum for cutting it altogether - and argue that the fate of poor and vulnerable people be best placed in the hands of markets and the private sector. Meanwhile, growing numbers are suggesting that what is most needed is the creative, innovative transformation of how aid works. Aid on the Edge of Chaos is firmly in the third of these camps. In this ground-breaking book, Ben Ramalingam shows that the linear, mechanistic models and assumptions on which foreign aid is built would be more at home in early twentieth century factory floors than in the dynamic, complex world we face today. All around us, we can see the costs and limitations of dealing economies and societies as if they are analogous to machines. The reality is that such social systems have far more in common with ecosystems: they are complex, dynamic, diverse and unpredictable. Many thinkers and practitioners in science, economics, business, and public policy have started to embrace more 'ecologically literate' approaches to guide both thinking and action, informed by ideas from the 'new science' of complex adaptive systems. Inspired by these efforts, there is an emerging network of aid practitioners, researchers, and policy makers who are experimenting with complexity-informed responses to development and humanitarian challenges. This book showcases the insights, experiences, and often remarkable results from these efforts. From transforming approaches to child malnutrition, to rethinking processes of economic growth, from building peace to combating desertification, from rural Vietnam to urban Kenya, Aid on the Edge of Chaos shows how embracing the ideas of complex systems thinking can help make foreign aid more relevant, more appropriate, more innovative, and more catalytic. Ramalingam argues that taking on these ideas will be a vital part of the transformation of aid, from a post-WW2 mechanism of resource transfer, to a truly innovative and dynamic form of global cooperation fit for the twenty-first century.

Multi-Agent System (MAS) is an exciting, emerging paradigm expected to play a key role in many society-changing practices. The International Conference on Principles and Practice of Multi-Agent Systems (PRIMA) is a leading scientific conference for research on intelligent agent systems and multi-agent systems, attracting high quality, state-of-the-art research from all over the world. PRIMA’09 was the 12th in the series of PRIMA conferences and was held in Nagoya, Japan. Beside a single-track main conference, PRIMA’09 also included a number of workshops which were designed to provide a forum for researchers and practitioners to present and exchange the latest developments at the MAS frontier. This book constitutes the post-proceedings of workshops under PRIMA’09. Readers will be able to explore a diverse range of topics and detailed discussions related to a number of important themes in our ever changing world. This collection plays an important role in bridging the gap between MAS theory and practice. It emphasizes the importance of MAS in the research and development of smart power grid systems, decision support systems, optimization and analysis systems for road traffic and markets, environmental monitoring and simulation, and in many other real-world applications and publicizes and extends MAS technology to many domains in this fast moving information age.

This book is the culmination of three years of research effort on a multidisciplinary project in which physicists, mathematicians, computer scientists and social scientists worked together to arrive at a unifying picture of complex networks. The contributed chapters form a reference for the various problems in data analysis visualization and modeling of complex networks.