Firm dynamics simulation using game-theoretic stochastic agents

Lecture Notes in Economics and Mathematical Systems

Volumn 567, Issue , 2006, Pages 153-162

  Ikeda, Yuichi ^a   Kubo, Osamu ^a   Kobayashi, Yasuhiro ^a  

^a HITACHI LTD   (Japan)

Author keywords

02.50.Le Decision theory and game theory; 05.10.Gg Stochastic analysis methods (Fokker Planck, Langevin, etc.); 05.10.Ln Monte Carlo methods; 05.20. y Classical statistical mechanics; 05.40.Jc Brownian motion; 83.10.Pp Particle dynamics

Indexed keywords

EID: 34249826406     PISSN: 00758442     EISSN: None     Source Type: Book Series    
DOI: 10.1007/3-540-28727-2_10     Document Type: Conference Paper

References (7)

1. Y. Ikeda, et al., A Simple Risk Model for Corporate Valuation, submitted to Asia-Pacific Financial Markets.
2. Y. Ikeda et al., Forecast of Business Performance using an Agent-based Model and Its Application to a Decision Tree Monte Carlo Business Valuation, Applications of Physics in Financial Analysis 4 (2003), accepted in Physica A
3. F. Schweitzer, Brownian Agents and Active Particles, Collective Dynamics in the Natural and Social Sciences, Berlin, Springer-Verlag (2003)
4. P. Richmond, and L. Sabatelli, Langevin processes, agent models and socio-economic systems, Physica A 336 (2004) 27-38
5. M. Levy, H. Levy, and S. Solomon, Microscopic Simulation of Financial Markets, From investor Behavior to Market Phenomena, San Diego, Academic Press (2000)
6. R. Gibbons, Game Theory For Applied Economists, Princeton, NJ, Princeton University Press (1992)
7. S. Bakhchandani, D. Hirshleifer, and I. Welch, A Theory of Fad, Fashion, Custom and Cultural Change as Information Cascades, Journal of Political Economy, 100 (1992) 992-1026