Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems

Iris Lucas; Michel Cotsaftis; Cyrille Bertelle

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Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems

机译：通过应用于金融市场的复杂系统的异质性和自我组织

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Multiagent systems (MAS) provide a useful tool for exploring the complex dynamics and behavior of financial markets and now MAS approach has been widely implemented and documented in the empirical literature. This paper introduces the implementation of an innovative multi-scale mathematical model for a computational agent-based financial market. The paper develops a method to quantify the degree of self-organization which emerges in the system and shows that the capacity of self-organization is maximized when the agent behaviors are heterogeneous. Numerical results are presented and analyzed, showing how the global market behavior emerges from specific individual behavior interactions.

机译：多层系统（MAS）为探索复杂的动态和行为提供了有用的工具，目前MAS方法已被广泛实施和记录在经验文学中。本文介绍了基于计算代理的金融市场的创新多规模数学模型的实现。该论文开发了一种量化系统中出现的自组织程度的方法，并表明当代理行为是异质时，自组织的能力最大化。提出和分析了数值结果，展示了全球市场行为如何从特定的单独行为相互作用中出现。

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来源
《International journal of bifurcation and chaos in applied sciences and engineering》 |2017年第14期|共14页
作者
Iris Lucas; Michel Cotsaftis; Cyrille Bertelle;
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作者单位

1Normandie Univ. UNIHAVRE LITIS 25 rue Philippe Lebon 76600 Le Havre France;

2ECE PARIS 37 Quai de Grenelle 75015 France;

1Normandie Univ. UNIHAVRE LITIS 25 rue Philippe Lebon 76600 Le Havre France;

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原文格式 PDF
正文语种 eng
中图分类工业技术现状与发展;
关键词
Multiagent system; complex behavior; decision-making process; self-organization; market microstructure;

机译：多元系统;复杂的行为;决策过程;自组织;市场微观结构;

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1. Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems [J] . Iris Lucas, Michel Cotsaftis, Cyrille Bertelle International journal of bifurcation and chaos in applied sciences and engineering . 2017,第14期

机译：通过应用于金融市场的复杂系统的异质性和自我组织
2. Self-Organization and Multiagent Systems: I. Models of Multiagent Self-Organization [J] . V. I. Gorodetskii Journal of Computer and Systems Sciences International . 2012,第2期

机译：自组织和多主体系统：I.多主体自组织模型
3. Self-Organization and Multiagent Systems: II. Applications and the Development Technology [J] . V. I. Gorodetskii Journal of Computer and Systems Sciences International . 2012,第3期

机译：自组织和多主体系统：II。应用与开发技术
4. A MatLab™ Computational Framework for Multiagent System Simulation of Financial Markets [C] . Michel C. R. Leles, Elton F. Sbruzzi, de Oliveira José M. P., Annual IEEE International Systems Conference . 2019

机译：用于金融市场多代理系统仿真的MatLab™计算框架
5. Scalability and rationality in multiagent reorganizations: Applications of organization theory to multiagent systems. [D] . Smith, Wayne Alan. 2000

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7. Why Stock Markets Crash: Critical Events in Complex Financial Systems Why Stock Markets Crash: Critical Events in Complex Financial Systems Didier Sornette Princeton U. Press, Princeton, N.J., 2003. $29.95 (421 pp.). ISBN 0-691-09630-9 [O] . Frank Cuypers 2004

机译：为什么股票市场崩溃：复杂金融系统中的关键事件为什么股票市场崩溃：复杂金融系统中的关键事件Didier Sornette Princeton U. Press，Princeton，N.J.，2003年。9.95美元（421 pp）。 ISBN 0-691-09630-9

Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems

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