An introduction to artificial stock markets & their potential applications.

The seminar will review models of financial markets based on microscopic simulation of individual traders/investors and the potential applications of these models in asset management. Because they are based on microscopic simulation these models can treat the case where investors are heterogeneous and where they are bounded rational or irrational.  These models provide a bridge between the behaviour of individuals that behavioural finance has studied and aggregate market phenomena, such as excess volatility and bubbles/crashes. We believe that they are potentially useful for both risk management and understanding/exploiting market anomalies. Also, models of this type that get the institutional details of trading right can be used to study market microstructure and as testbeds for algorithmic trading strategies.

Adam Olive's presentation                    Dietmar Maringer's presentation

Dietmar Maringer is full professor for Computational Management Science at the Economics Faculty at the University of Basel,Switzerland. He holds degrees in computing, finance and management from the universities of Vienna (MA, PhD), Cambridge (MPhil) andErfurt (PD). Prior to his current position, he was Deputy Director of the Centre for Computational Finance and Economic Agents at the University of Essex. He has also held several visiting positions, currently with the econometrics department at the University of Geneva. He has published numerous articles in leading internation journals and participated in international conferences both as speaker and committee member, and he is the chair of the IEEE task force on portfolio optimization. His main research interests include Computational Finance, Artificial Intelligence for financial problem solving, and financial econometrics and modeling.

Adam Olive is Head of Research for a multi-strategy quantitative hedge fund in HSBC's Halbis asset management subsidiary. He holds a PhD in Theoretical Physics from Cambridge and an MBA from UCLA. He has worked in quantitative research, trading and investing on both the buy and sell sides since 1987.
Prior to joining HSBC he worked for Banker's Trust, Deutsche Bank, Bank of America and several small quantitative asset management firms.