Аннотация
Microscopic Simulation (MS) uses a computer to
represent and keep track of individual ('microscopic')
elements in order to investigate complex systems which
are analytically intractable. A methodology that was
developed to solve physics problems, MS has been used
to study the relation between microscopic behavior and
macroscopic phenomena in systems ranging from those of
atomic particles, to cars, animals, and even humans. In
finance, MS can help explain, among other things, the
effects of various elements of investor behavior on
market dynamics and asset pricing. It is these issues
in particular, and the value of an MS approach to
finance in general, that are the subjects of this book.
The authors not only put their work in perspective by
surveying traditional economic analyses of investor
behavior, but they also briefly examine the use of MS
in fields other than finance. Most models in economics
and finance assume that investors are rational.
However, experimental studies reveal systematic
deviations from rational behavior. How can we determine
the effect of investors' deviations from rational
behavior on asset prices and market dynamics? By using
Microscopic Simulation, a methodology originally
developed by physicists for the investigation of
complex systems, the authors are able to relax
classical assumptions about investor behavior and to
model it as empirically and experimentally observed.
This rounded and judicious introduction to the
application of MS in finance and economics reveals that
many of the empirically-observed 'puzzles' in finance
can be explained by investors' quasi-rationality.
Researchers use the book because it models
heterogeneous investors, a group that has proven
difficult to model. Being able to predict how people
will invest and setting asset prices accordingly is
inherently appealing, and the combination of computing
power and statistical mechanics in this book makes such
modeling possible. Because many finance researchers
have backgrounds in physics, the material here is
accessible.
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