Work detail

Agent-Based Modeling of the Financial Markets

Author: Bc. Martina Klejchová
Year: 2011 - summer
Leaders: doc. 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 inuence 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

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