On Markets Structures and others Sights… Thesis Hints. Alessandro Cappellini April 29 th 2005

Slides:

Advertisements

Similar presentations

E-Commerce Based Agents over P2P Network Arbab Abdul Waheed MSc in Smart Systems Student # Nov 23, 2008 Artificial Intelligence Zhibing Zhang.

Advertisements

1 Behavioural Slides 2007 Behavioral Corporate Finance.

Hard or Soft: Does it matter? Michael Lyons Manager, Strategic Analysis and Research.

Brief on STP – ECN and GMI Currenex. Platforms: GMI ICTS FX Platform GMI MT4 Platform.

Copyright © 2008 Pearson Addison-Wesley. All rights reserved. Chapter 10 Information and Financial Market Efficiency.

Banking, money supply and the instruments of monetary policy Lecture 22 – academic year 2014/15 Introduction to Economics Fabio Landini.

9-1 Behavioral Finance Materials collected from: Fundamental of Corporate Finance by Ross, Westfield and Jordan Essentials of Investment by Bodie, Kane.

Modeling and simulation of systems Slovak University of Technology Faculty of Material Science and Technology in Trnava.

1 Chp. 7: The Asset Market, Money and Prices Focus: Equilibrium in the asset market Demand and Supply of Money Quantity Theory of Money.

On Markets Structures and others Sights… Working Index. Alessandro Cappellini September 30 th 2005

BBA, MBA (Finance & Banking), DU

Chapter 1 - Financial Management  Learning Objectives  Describe the “Cycle of Money”  Distinguish the four main areas of finance  Discuss financial.

Outline Yesterday: Computational complexity of pure exchange Today: Beyond pure exchange –Simple ‘production’: Sugarscape –Finance: --> Monday 0 th generation:

1 Caput Financial Markets Frank de Jong Universiteit van Amsterdam September 2001.

Finance - SS200 Behavioural Economics - 3 March 2004 by Martin Barner.

Types of Networks Biological Chemical Physical Social Communication Economic Distribution Semantic.

Chapter 18 Exchange Rate Theories. Copyright © 2007 Pearson Addison-Wesley. All rights reserved Topics to be Covered The Asset Approach The Monetary.

Mr. Perminous KAHOME, University of Nairobi, Nairobi, Kenya. Dr. Elisha T.O. OPIYO, SCI, University of Nairobi, Nairobi, Kenya. Prof. William OKELLO-ODONGO,

Financial Markets Econ 173A Mgmt 183 Capital Markets & Securities.

The Stock Market Forecasting and Risk Management System using Genetic Programming Li Wang Ross School of Business Ann Arbor, MI

Copyright  2006 McGraw-Hill Australia Pty Ltd PPTs t/a Business Finance 9e by Peirson, Brown, Easton, Howard and Pinder Prepared by Dr Buly Cardak 1–1.

Chapter 12: Market Microstructure and Strategies

Advanced Valuation Analysis Tools and Simulation Brian Stonerock CGU EMP Independent Study December Update.

Efficient Capital Markets

©R. Schwartz Equity Markets: Trading and StructureSlide 1 Topic 2.

1 1 Behavioural changes of financial institutions in response to changes in accounting Gérard GIL Group Chief Accountant Officer Group BNP Paribas Behavioural.

By Paul Cottrell, BSc, MBA, ABD. Author Complexity Science, Behavioral Finance, Dynamic Hedging, Financial Statistics, Chaos Theory Proprietary Trader.

Complexity and the Nascent Revolution in Economics Lancaster University Dec 9, 2009 W. Brian Arthur External Professor, Santa Fe Institute.

Agent-based modelling in social sciences Andreas Krause School of Management.

4. Money market International financial services 1

On Markets Structures and some thoughts about Information … Working Index. Alessandro Cappellini February 3 rd 2006

Financial Management 1. Every decision that a business makes has financial effects. So everything that a business does fits under the heading of finance.

Barrow Boys (and Girls!) with Degrees The Theory and Practice of Equity Trading.

Behavioral Finance

Oliver Hein, Goethe University, Frankfurt, Financial Agent-based Computational Economics (FINACE) Econophysics Ancona 2007 Network Centrality and Stock.

MARKET MICROSTRUCTURE (I). The Trading Industry Trading Instruments ► Real Assets ► Financial Assets ► Derivative Contracts ► Insurance Contracts ► Hybrid.

On Markets Structures and some thoughts about Information … Working Index. Alessandro Cappellini February 24 th 2006

Effect of Learning and Market Structure on Price Level and Volatility in a Simple Market Walt Beyeler 1 Kimmo Soramäki 2 Robert J. Glass 1 1 Sandia National.

The Financial Markets and the Investment Banking Process

Overview: Investments Investment Process Taxonomy of Financial Assets Players and Vehicles Market Microstructure Recent Trends.

Overview of Financial Management. OVERVIEW OF FINANCIAL MANAGEMENT The Corporation Life Cycle Value Creation & Maximization Financial Institutions & Process.

MARKETING. Standards… BCS-BE-36: The student demonstrates understanding of the concept of marketing and its importance to business ownership. BCS-BE-36:

(Econ 512): Economics of Financial Markets Chapter Two: Asset Market Microstructure Dr. Reyadh Faras Econ 512 Dr. Reyadh Faras.

Explaining the statistical features of the Spanish Stock Market from the bottom-up. José A. Pascual, Javier Pajares, and Adolfo López. InSiSoc Group. Valladolid.

7- 1 McGraw Hill/Irwin Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved Fundamentals of Corporate Finance Sixth Edition Richard.

1 Model 3 (Strategic informed trader) Kyle (Econometrica 1985) The economy A group of three agents trades a risky asset for a risk-less asset. One insider.

The Business Plan. What is it? It is a study which identifies the business, the product, the market, the business feasibility and it financial requirements.

McGraw-Hill/Irwin Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved Market Efficiency Chapter 11.

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible Web site, in whole or in part.

1 1 Ch11&12 – MBA 566 Efficient Market Hypothesis vs. Behavioral Finance Market Efficiency Random walk versus market efficiency Versions of market efficiency.

1-1 Copyright  2009 McGraw-Hill Australia Pty Ltd PPTs t/a Business Finance 10e by Peirson Slides prepared by Farida Akhtar and Barry Oliver, Australian.

Oliver Hein, Goethe University, Frankfurt, Financial Agent-based Computational Economics (FINACE) Kommunikations-Netzwerk-Topologie und Marktverhalten.

Welcome to MnR Capital MANAGEMENT Family. Wealth Management Equity Derivatives Debentures Currencies Bonds Commodities Mutual Funds Insurance Fixed Deposits.

1 Chapter 06 Understanding Financial Markets and Institutions McGraw-Hill/Irwin Copyright © 2012 by The McGraw-Hill Companies, Inc. All rights reserved.

1 Paul Redmond Portfolio Management – MGMT4017 Spring 2014 Paul Redmond Recommended texts 1. “Modern Portfolio Theory and Investment.

Markets & Interest Rates. Financial Markets All entities need finance to run business Financial markets - Platform that brings together entities with.

Copyright © 2002 Pearson Education, Inc. Slide 10-1.

© 2014 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner.

Copyright © 2008 Pearson Addison-Wesley. All rights reserved. Chapter 1 Introducing Money and the Financial System.

Brief NYSE HistoryBrief NYSE History  May 17, 1792  Electronic in 2006  Euronext in 2007  Intercontinental Exchange in 2012 (Pending)

What does finance mean ?  Finance = f (money)  Money = anything that is generally accepted as payment for goods and services and repayment of.

SmartNet: A European research project to study TSO-DSO coordination for ancillary services provision from distribution networks Gianluigi Migliavacca (RSE)

Behavioral Finance.

An Investigation of Market Dynamics and Wealth Distributions

Behavioral Finance Unit II.

Review Fundamental analysis is about determining the value of an asset. The value of an asset is a function of its future dividends or cash flows. Dividends,

Investments - Background and Issues

Li Wang Ross School of Business Ann Arbor, MI 48105

Chapter Sixteen Securities Firms and Investment Banks Learning Goals

Can AI Replace Human Discretion?

Presentation transcript:

On Markets Structures and others Sights… Thesis Hints. Alessandro Cappellini April 29 th 2005

Themes, Researches and Interests Software Platforms Agents Design Markets Designs Markets Rules High Frequency Data Interbank and Money Market Behaviour of (single) Trader … Traders Communities Communication Networks among Traders (Social Networks) … Quasi-Financial Markets (Electricity)

Open Issues Equations vs Mechanism (book ) Rules Simulation vs Emulation Simulation vs Experiments Model for Data Analysis vs Model for Data Production (Real) Time Management Humans Monolithic vs Distributed Architecture

Platforms: SUM and SumWEB Strengths Realism of Book Heterogeneity of Agents More stocks, different financial instruments Interface Weaknesses Funds managements Interest Rates Structural limitation of Swarm (Real time management) Free risk bond…

Platform: Ambitious Proposal Distributed Simulation (a la Nemote) Split the objects of SUM into independent programs Books – Markets Mechanisms News Generators Banks Clearing/Accounting Humans Web Server/Interface Agents Data Providers GAs, CSs, ANNs

Market Comparison Different Markets types Different Rules Different Price Determination Financial and Quasi-Financial Markets … … and Simulations Comparison?

Traders Brokers - Institutrional Market Makers Datawahehouses - Centralized Books Price communications Orders / Trading

Traders Brokers - Institutrional Market Makers Datawahehouses - Centralized Books Price communications Orders / Trading MTA NYSENASDAQ

Traders Brokers - Institutrional Market Makers Datawahehouses - Centralized Books MTS FX - MMGME Price communications Orders / Trading … More complex structures …

Market Comparison – Experiments Giving the same agent population, the same random seed, the same orders flow, what happens changing the market structures? And changing the book? –Centralized continuous double action –Walrasian auction –Closing and Opening Auction And Changing Ordering? –Price, time, quantity –Privileged orders/traders

Behaviuors Humans interactions Investors behavior: Irrationality / bounded rationality / decision biases - Role of cognition, attitudes, beliefs, emotions. - Reactions to information - Investor types, styles, profiles - Marketing of financial assets (customers' profiles, segmentation, motivations) Markets behavior: Anomalies, inefficiencies, asymetries, clusters, trends, alternances, distorsions - Manipulations - Weak / neglected signals Reproduction in Artificial Agents?

Thesis Proposal Links and Team Works on some issues (practice, model and theory) Our stronger experience Platform design – development Electricity Market could be an example