Agent-Based Modeling of the Financial Markets
| Author: | Bc. Martina Klejchová |
|---|---|
| Year: | 2011 - summer |
| Leaders: | prof. PhDr. Petr Teplý Ph.D. |
| Consultants: | |
| Work type: | Bachelors |
| Language: | English |
| Pages: | 59 |
| Awards and prizes: | B.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good bachelors diploma thesis. |
| Link: | |
| Abstract: | The thesis deals with the Agent-based modeling of the nancial markets which represent so called "bottom-up" approach in economics. In the rst part of the thesis, the brief summary of the development of Agent-based approach and its application in the modeling of nancial markets is provided. The main part of the thesis concerns the implementation of an existing asset pricing model of He, Hamill and Li (2008) and also the implementation of an extension to this model. The presented extension lies in the connecting of two sub-markets by a mutual correlation. The considered correlation is represented either by correlated dividends or by the common market maker who adjusts the prices on both markets. The in uence of these two types of correlation on the overall performance of both sub-markets is then studied by analyzing the outcomes of performed simulations. |
| Downloadable: | Bachelor Thesis of Klejchová |
