## Complexity in Financial Markets: Modeling Psychological Behavior in Agent-Based Models and Order Book ModelsTools and methods from complex systems science can have a considerable impact on the way in which the quantitative assessment of economic and financial issues is approached, as discussed in this thesis. First it is shown that the self-organization of financial markets is a crucial factor in the understanding of their dynamics. In fact, using an agent-based approach, it is argued that financial markets’ stylized facts appear only in the self-organized state. Secondly, the thesis points out the potential of so-called big data science for financial market modeling, investigating how web-driven data can yield a picture of market activities: it has been found that web query volumes anticipate trade volumes. As a third achievement, the metrics developed here for country competitiveness and product complexity is groundbreaking in comparison to mainstream theories of economic growth and technological development. A key element in assessing the intangible variables determining the success of countries in the present globalized economy is represented by the diversification of the productive basket of countries. The comparison between the level of complexity of a country's productive system and economic indicators such as the GDP per capita discloses its hidden growth potential. |

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### Contents

1 Introduction | 1 |

2 Stylized Facts | 18 |

Part I AgentBased Modeling | 26 |

3 Critical Review of AgentBased Models | 27 |

4 A Minimal AgentBased Model and SelfOrganization of Financial Markets | 55 |

Order Book and Data Analysis | 87 |

Introduction and Main Statistical Evidences | 89 |

6 Zero Intelligence Model for the Order Book Dynamics | 98 |

9 Universal Relation Between Skewness and Kurtosis in Complex Dynamics | 140 |

10 Web Queries Can Predict Stock Market Volumes | 151 |

Part III A Metrics for the Economic Complexity | 162 |

11 Theory of Economic Growth | 163 |

12 Beyond Classical Theory of Economic Growth | 171 |

13 A New Metric for the Competitiveness of Countries and the Quality of Products | 189 |

A There Is More Than a Power Law in Zipf | 205 |

About the Author | 214 |

7 Evidences of Strategic Placements of Orders | 113 |

8 Quantitative Analysis of Technical Trading | 127 |

### Other editions - View all

Complexity in Financial Markets: Modeling Psychological Behavior in Agent ... Matthieu Cristelli No preview available - 2015 |

Complexity in Financial Markets: Modeling Psychological Behavior in Agent ... Matthieu Cristelli No preview available - 2013 |

Complexity in Financial Markets: Modeling Psychological Behavior in Agent ... Matthieu Cristelli No preview available - 2013 |

### Common terms and phrases

agent-based models Alﬁ analysis artiﬁcial asymmetry average behavior best quote binary matrix Bouchaud bounces capabilities chapter chartists consider correlation corresponding countries Cristelli cross-correlation deﬁned deﬁnition distribution diversiﬁcation dynamics Econophysics efﬁciency empirical equilibrium exponent export fat tails ﬁeld ﬁnancial markets ﬁnd ﬁnite size effect ﬁrst ﬁtness ﬁxed fundamentalists Gaussian GDP per capita granularity graph histogram Hurst exponent impact function inside the spread intermittent introduced iteration kurtosis limit order linear liquidity market order matrix mechanism method of reﬂections metric non-uniform number of agents observed order book order deposition parameters Physics Pietronero power law predictive price ﬂuctuations Price Impact price variation probability productive system Quantitative Finance query volumes random walk regime respect returns sample self-organization Self-Organized Criticality shufﬂed signiﬁcant speciﬁc statistical properties stochastic strategies Stylized Facts tickers ticks trading volumes users values variables volatility clustering Zaccaria Zipf’s Law