A Strategic Graph Rewriting Model of Rational Negligence in Financial Markets
| Autor: | Maribel Fernández, Nneka Chinelo Ene, Bruno Pinaud |
|---|---|
| Přispěvatelé: | Department of Informatics [King's College London], King‘s College London, Laboratoire Bordelais de Recherche en Informatique (LaBRI), Université de Bordeaux (UB)-Centre National de la Recherche Scientifique (CNRS)-École Nationale Supérieure d'Électronique, Informatique et Radiocommunications de Bordeaux (ENSEIRB), Université de Bordeaux (UB), George Jaiani, David Natroshvili |
| Rok vydání: | 2020 |
| Předmět: |
Graph rewriting
010201 computation theory & mathematics Computer science Financial market 0202 electrical engineering electronic engineering information engineering Financial modeling Graph (abstract data type) [INFO]Computer Science [cs] 020207 software engineering 0102 computer and information sciences 02 engineering and technology 01 natural sciences Mathematical economics |
| Zdroj: | Applications of Mathematics and Informatics in Natural Sciences and Engineering ISBN: 9783030563554 4th International Conference on Applications of Mathematics and Informatics in Natural Sciences and Engineering (AMINSE 2019) 4th International Conference on Applications of Mathematics and Informatics in Natural Sciences and Engineering (AMINSE 2019), Sep 2019, Tbilisi, Georgia. ⟨10.1007/978-3-030-56356-1_8⟩ |
| Popis: | International audience; We propose to use strategic port graph rewriting as a visual modelling tool to analyse financial market processes. We illustrate the approach by specifying a basic "rational negligence" model in which investors may choose to trade securities without performing independent evaluations of the underlying assets. We show that our model is correct with respect to the equational model and can be used to simulate simple market behaviours. The model has been implemented within PORGY, a graph-based specification and simulation environment. |
| Databáze: | OpenAIRE |
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