Using multi-agent simulation to understand trading dynamics of a derivatives market

被引：0
|
作者：
Alan J. King
Olga Streltchenko
Yelena Yesha
机构：
[1] Thomas. J. Watson Research Center,IBM Research Division, Mathematical Sciences Department
[2] University of Maryland Baltimore County,Department of Computer Science and Electrical Engineering
来源：
Annals of Mathematics and Artificial Intelligence | 2005年 / 44卷
关键词：
Neural Network; Decision Making; Artificial Intelligence; Complex System; Nonlinear Dynamics;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A fundamental question that arises in derivative pricing is why investors trade in a particular derivative at a “fair” price supplied by Arbitrage Pricing Theory (APT). APT establishes a price that is fair for a disinterested investor with a particular set of beliefs about market evolution and attributes trading to differences in those beliefs entertained by the opposite sides of the transaction.
引用
收藏
页码：233 / 253
页数：20
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