Financial markets structure and behavior
Characterization of price fluctuations
structure of scientific revolutions, dynamics of innovation, exploration-exploitation dynamics
André Calero Valdez does research on Computational Communication Science investigating the influence of network structure and algorithms on communication flow using agent-based modeling.
I have a particular interest in the way in which social network structure influences dynamic processes operating over the netowrk, such as adoption of behaviour or spread of disease. More generally, I am interested in using complex systems methods to understand social phenomena.
This paper investigates how collective action is affected when the interaction is driven by the underlying hierarchical structure of an organization, e.g., a company. The performance of collection action is measured as the rate of contribution to a public good, e.g., an organization’s objective.
I am a Senior Economist in the Capital Markets Division of the Bank of England. I have a PhD in Economics from the joint program at Vilfredo Pareto Doctorate in Economics (University of Turin) and Collegio Carlo Alberto, where I’ve taught graduate level economic courses. Prior to joining the Bank of England, I also worked in the private sector as a quantitative analyst on issues related to different areas including asset management, risk management, and policy implementation.
My interests lie in the areas of market structure, macroprudential and microprudential policies and their interactions, international macroeconomics, political economy, international financial integration, banking, and systemic risk.
Klaus G. Troitzsch was a full professor of computer applications in the social sciences at the University of Koblenz-Landau since 1986 until he officially retired in 2012 (but continues his academic activities). He took his first degree as a political scientist. After eight years in active politics in Hamburg and after having taken his PhD, he returned to academia, first as a senior researcher in an election research project at the University of Koblenz-Landau, from 1986 as full professor of computer applications in the social sciences. His main interests in teaching and research are social science methodology and, especially, modelling and simulation in the social sciences.
Among his early research projects there is the MIMOSE project which developed a declarative functional simulation language and tool for micro and multilevel simulation between 1986 and 1992. Several EU funded projects were devoted to social simulation and policy modelling, the most recent from 2012 to 2015 combining data/text mining and agent-based simulation to analyse the global dynamics of extortion racket systems.
He authored, co-authored, and co-edited several books and many articles in social simulation, and he organised or co-organised a number of national and international conferences in this field. Over nearly three decades he advised and/or supervised more than 55 PhD theses, most of them in the field of social simulation. He offered annual summer and spring courses in social simulation between 1997 and 2009; more recent courses of this kind are now being organised by the European Social Simulation Assiciation and held at different places all over Europe (mostly with his contributions).
Computational social science, structuralist theory reconstruction
I am interested in questions of method, and in the application of computational social models to a wide variety of national security questions (such as counterterrorism and counterinsurgency) as well as decision-making around complex natural resources such as water. My methods interest center on the use of qualitative social theory to inform the structure of computational social models, and the ways in which such models handle qualitative data. This raises questions around the nature of data and the ways in which computational social models convey information to decision-makers.
In this paper, we explore the dynamic of stock prices over time by developing an agent-based market. The developed artificial market comprises of heterogeneous agents occupied with various behaviors and trading strategies. To be specific, the agents in the market may expose to overconfidence, conservatism or loss aversion biases. Additionally, they may employ fundamental, technical, adaptive (neural network) strategies or simply being arbitrary agents (zero intelligence agents). The market has property of direct interaction. The environment takes the form of network structure, namely, it takes the manifestation of scale-free network. The information will flow between the agents through the linkages that connect them. Furthermore, the tax imposed by the regulator is investigated. The model is subjected to goodness of fit to the empirical observations of the S\&P500. The fitting of the model is refined by calibrating the model parameters through heuristic approach, particularly, scatter search. Conclusively, the parameters are validated against normality, absence of correlations, volatility cluster and leverage effect using statistical tests.