IPO underpricing algorithm: Difference between revisions

Revision as of 11:25, 6 February 2017

Revision as of 10:45, 30 March 2017

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==Agent-based modelling==

Currently, many of the algorithms assume homogeneous and rational behavior among investors. However, there's an approach alternative to financial modeling, and it's called [[agent-based model]]ling (ABM). ABM uses different autonomous agents whose behavior evolves endogenously which lead to complicated system dynamics that are sometimes impossible to predict from the properties of individual agents.<ref>{{cite journal |last=Brabazon |first=Anthony |author2=Jiang Dang |author3=Ian Dempsy |author4=Michael O'Neill |author5=David M. Edelman |title=Natural Computing in finance: a review |journal=Handbook of Natural Computing |year=2010 |url=http://irserver.ucd.ie/dspace/bitstream/10197/2737/1/NCinFinance_v8.pdf |deadurl=yes}} {{dead link |date=September 2013}}</ref> ABM is starting to be applied to computational finance. Though, for ABM to be more accurate, better models for rule-generation need to be developed.

== References ==