Dokument: Ideal Agent System with Triplet States: Model Parameter Identification of Agent–Field Interaction
| Titel: | Ideal Agent System with Triplet States: Model Parameter Identification of Agent–Field Interaction | |||||||
| URL für Lesezeichen: | https://docserv.uni-duesseldorf.de/servlets/DocumentServlet?id=67295 | |||||||
| URN (NBN): | urn:nbn:de:hbz:061-20241031-100449-6 | |||||||
| Kollektion: | Publikationen | |||||||
| Sprache: | Englisch | |||||||
| Dokumententyp: | Wissenschaftliche Texte » Artikel, Aufsatz | |||||||
| Medientyp: | Text | |||||||
| Autoren: | Börner, Christoph J. [Autor] Hoffmann, Ingo [Autor] Stiebel, John H. [Autor] | |||||||
| Dateien: |
| |||||||
| Stichwörter: | partition function, utility function, entropy, agent system, canonical ensemble, risk assessment | |||||||
| Beschreibung: | On the capital market, price movements of stock corporations can be observed independent of overall market developments as a result of company-specific news, which suggests the occurrence of a sudden risk event. In recent years, numerous concepts from statistical physics have been transferred to econometrics to model these effects and other issues, e.g., in socioeconomics. Like other studies, we extend the approaches based on the “buy” and “sell” positions of agents (investors’ stance) with a third “hold” position. We develop the corresponding theory within the framework of the microcanonical and canonical ensembles for an ideal agent system and apply it to a capital market example. We thereby design a procedure to estimate the required model parameters from time series on the capital market. The aim is the appropriate modeling and the one-step-ahead assessment of the effect of a sudden risk event. From a one-step-ahead performance comparison with selected benchmark approaches, we infer that the model is well-specified and the model parameters are well determined. | |||||||
| Rechtliche Vermerke: | Originalveröffentlichung:
Börner, C. J., Hoffmann, I., & Stiebel, J. H. (2023). Ideal Agent System with Triplet States: Model Parameter Identification of Agent–Field Interaction. Entropy, 25(12), Article 1666. https://doi.org/10.3390/e25121666 | |||||||
| Lizenz: |  Dieses Werk ist lizenziert unter einer Creative Commons Namensnennung 4.0 International Lizenz | |||||||
| Fachbereich / Einrichtung: | Wirtschaftswissenschaftliche Fakultät | |||||||
| Dokument erstellt am: | 31.10.2024 | |||||||
| Dateien geändert am: | 31.10.2024 |
