Model pogodbe zasnovan na kompleksnim mrežama

undergraduate thesis

• Title (english): Complex network model of bargaining
• Author: Tena Perak
• Mentor: Zvonko Kostanjčar (mentor)
• Committee member: Zvonko Kostanjčar (predsjednik povjerenstva)
• Committee member: Dražen Jurišić (član povjerenstva)
• Committee member: Ana Sović Kržić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Electrical Engineering and Computing; Zagreb
• Defense date and country: 2015-07-13, Croatia
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Computing

Abstract

Pojave nekolicine slomova tržišta u posljednjih 100 godina, čije su posljedice na tržište bile devastirajuće, motiv je raznih radova i modela kojima je cilj predvidjeti gibanje cijene indeksa u budućnosti, odnosno predviđanje trenutka sljedećeg sloma. Ovaj rad opisuje model pogodbe zasnovan na kompleksnim mrežama agenata, gdje agenti strane ponude surađuju s agentima na strani potražnje, ali se agenti na istim stranama tržišta međusobno natječu. Stvaranje nakupina konkurentnih agenata direktno utječe na proces pogodbe koji će stvoriti bubble te izazvati njegovo „pucanje“, tj. slom. Proces pogodbe je uz to pogonjen i iznosom intrinzične (fundamentalne) vrijednosti indeksa izračunatom prema dinamičkom modelu slobodnog novčanog toka. Pokazuje se da je neposredno prije sloma tržišta razina nesigurnosti agenata na strani ponude puno viša u odnosu na agente potražnje. Ova spoznaja mogla bi se koristiti kao indikator pojave sljedećeg velikog pada.

Abstract (english)

Occurrences of market crashes in the last 100 years with devastating consequences motivated many researches for developing models which goal was to predict the next market crash. Here, a bargaining model based on agent-based complex networks is presented. Idea is that the agents on opposite sides of the market cooperate with each other, while agents belonging to the same side compete mutually. Emergence of clustering within network directly affects the bargaining outcome which strongly influences market dynamics, producing bubbles followed by crashes. Agents bargain over the intrinsic (fundamental) value of a financial index estimated by dynamic free cash flow model. The model shows that immediately before market crashes, there is a high level of insecurity present on the supply side, opposed to low levels of demand agents. This could be used for predicting the occurrence of a next market crash.

• Keywords: kompleksne mreže; problem pogodbe; model zasnovan na agentima; slom tržišta
• Keywords (english): complex networks; bargaining problem; agent-based model; market crash
• Language: croatian
• URN:NBN: urn:nbn:hr:168:312437
• Study programme: Title: Computing; Study programme type: university; Study level: undergraduate; Academic / professional title: sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva (sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Closed access
• Created on: 2018-02-06 11:10:48