view. Until <strong>the</strong>n, let us have some fun running artificial agents! People love sports andexcitement! Besides, c<strong>on</strong>sidering <strong>the</strong> fees stockbrokers and equity funds charge <strong>the</strong>yneed to be challenged.AcknowledgementFirst of all, I would like to extend my gratitude to David Lybäck, who, always sharinghis insights <strong>with</strong> me, has, I feel, g<strong>on</strong>e much fur<strong>the</strong>r than duty required. Through <strong>the</strong>many discussi<strong>on</strong>s we have had, I have become aware of many important aspects of<strong>the</strong> subject I have been grappling <strong>with</strong>.I am also grateful to Dr. Magnus Boman who was instrumental to this project at<strong>the</strong> very outset. He has given me important advice steering my work towards saferwaters. He has this tacit, maybe subc<strong>on</strong>scious, sense for where good research can befound, research that is both safe and at <strong>the</strong> same time fruitful. He gave me <strong>the</strong> courageto go into a field I was not too well acquainted <strong>with</strong> at <strong>the</strong> outset. Actually, I realisedthrough my own work that knowledge can even be a hindrance as it c<strong>on</strong>fines <strong>on</strong>e’sacti<strong>on</strong>s to a world limited by that which can be prec<strong>on</strong>ceived.I would also like to thank Dr. Mats Daniels<strong>on</strong> for <strong>the</strong> time he has given mediscussing different aspects of research and finance, and life at large. A man of solidreading, he has shared <strong>with</strong> me his clear visi<strong>on</strong> of research methodology.I must also express special thanks to my mo<strong>the</strong>r, Dr. Shiu-Pang Almberg, everfull of encouragement, for making time to proofread this material.OM AB has provided me <strong>with</strong> <strong>the</strong> financial means and facilities needed for <strong>the</strong>project.Finally, and most of all, I stand in great gratitude to life itself. I cannot pretendthat I have been happy and relaxed all way through, but <strong>the</strong>re has been peace and asense of meaning accompanying my work. My wish is that <strong>the</strong> work I do – I have <strong>the</strong>acti<strong>on</strong> itself in mind and not its results – <strong>on</strong>e day will become an utter celebrati<strong>on</strong> oflife. Kahlil Gibran has expressed this state of being beautifully in <strong>the</strong> novel ‘TheProphet’. A ploughman asks <strong>the</strong> prophet to speak to <strong>the</strong> crowd of work, and he says:“You work that you may keep pace <strong>with</strong> <strong>the</strong> earth and <strong>the</strong> soul of <strong>the</strong> earth.For to be idle is to become a stranger unto <strong>the</strong> seas<strong>on</strong>s, and to step out oflife’s processi<strong>on</strong> that marches in majesty and proud submissi<strong>on</strong> towards <strong>the</strong>infinite.When you work you are a flute through whose heart <strong>the</strong> whispering of <strong>the</strong>hours turns to music.”These words have stuck to me. ‘When you work you are a flute through whose heart<strong>the</strong> whispering of <strong>the</strong> hours turns to music.’ [Gibran, 1923, p.13].References[Black, 1976] F. Black. Studies of stock price volatility changes. Proceedings of <strong>the</strong>1976 American Statistical Associati<strong>on</strong>, Business and Ec<strong>on</strong>omical Statistics Secti<strong>on</strong>,177.[Bloomfield et al, 2000] Robert Bloomfield, Robert Libby, Mark W. Nels<strong>on</strong>.Underreacti<strong>on</strong>s, overreacti<strong>on</strong>s and moderated c<strong>on</strong>fidence. Journal of FINANCIALMARKETS, 3:113-137, 2000.21
[Blume and Easley, 1990] L. Blume, D. Easley. Evoluti<strong>on</strong> and market behavior.Journal of Ec<strong>on</strong>omic Theory, 1990.[Boman et al, 2001a] Magnus Boman, David Lybäck, Stefan Johanss<strong>on</strong>. Parr<strong>on</strong>dostrategies for artificial traders. World Scientific, March 2001.[Boman, 2001] Magnus Boman. <strong>Trading</strong> <strong>Agents</strong>. AgentLink News. 6:15-17, 2001,http://www.agentlink.org , 2001-10-17.[Bouchaud et al, 2000] Jean-Philippe Bouchaud, Andrew Matacz, Marc Potters. Theleverage effect in financial markets: retarded volatility and market panic.http://www.arxiv.org/list/c<strong>on</strong>d-mat/0101?100 , 2000-09-25.[Chang, 2001] Kenneth Chang. New Age Bidding: Against Computers, HumansUsually Lose. The New York Times, January 2001.[Egeberg et al, 1986] S<strong>on</strong>ja Egeberg, John Halse, Espen Jerlang, Ann J. J<strong>on</strong>assen,Suzanne Ringsted, Bir<strong>the</strong> Wedel-Brandt. Utvecklingspsykologiska Teorier, chapter 6:Abraham Maslow och den humanistiska psykologin. Munksgaard, 1986, In Swedish.[Graham-Rowe, 2001] Duncan Graham-Rowe. Robots beat human commoditytraders. http://www.newscientist.com/news/news.jsp?id=ns99991131 , 2001-08-30.[Harmer and Abbott, 1999] Gregory P. Harmer, Derek Abbott. Losing strategies canwin by Parr<strong>on</strong>do’s paradox. NATURE, Volume 402, December 1999.[Haw, 2001] Mark Haw. phenomena: <strong>Stock</strong>brokers may act like sheep.http://www.nature.com/nsu/010104/010104-1.html , 2001-03-14.[LeBar<strong>on</strong>, 1998] Blake LeBar<strong>on</strong>. Agent Based Computati<strong>on</strong>al Finance: SuggestedReadings and Early Research. Journal of Ec<strong>on</strong>omic Dynamics and C<strong>on</strong>trol. Volume24, 2000.[Lux, 1995] Thomas Lux. Herd behaviour, Bubbles and Crashes. Ec<strong>on</strong>omic Journal.105:881 – 896, 1995.[Marsili et al, 1988] Matteo Marsili, Sergei Maslov, Yi-Cheng Zhang. Dynamicaloptimizati<strong>on</strong> <strong>the</strong>ory of a diversified portfolio. Physica A 253:403-418. 1988.[Maslov et al, 1998] Sergei Maslov, Yi-Cheng Zhang. Optimal investment strategyfor risky assets. Internati<strong>on</strong>al Journal of Theoretical and Applied Finance. 1(3):377-387, 1998.[Mirowski, 1989] Philip Mirowski. More Heat than Light: Ec<strong>on</strong>omics as socialphysics. Physics as nature’s ec<strong>on</strong>omics. Cambridge University Press, NewYork,1989.[Osborne, 1977] M.F.M. Osborne. The <strong>Stock</strong> market and Finance from a Physicist’sviewpoint. Crossgar Press, Minneapolis, West Lake of <strong>the</strong> Isles Parkway, 1977.22
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