Download or read book Agent based Financial Market Modelling with Structural Heterogeneity and the Bees Algorithm written by Deren Onay and published by . This book was released on 2010 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Economics with Heterogeneous Interacting Agents written by Alessandro Caiani and published by Springer. This book was released on 2016-09-21 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a practical guide to Agent Based economic modeling, adopting a “learning by doing” approach to help the reader master the fundamental tools needed to create and analyze Agent Based models. After providing them with a basic “toolkit” for Agent Based modeling, it present and discusses didactic models of real financial and economic systems in detail. While stressing the main features and advantages of the bottom-up perspective inherent to this approach, the book also highlights the logic and practical steps that characterize the model building procedure. A detailed description of the underlying codes, developed using R and C, is also provided. In addition, each didactic model is accompanied by exercises and applications designed to promote active learning on the part of the reader. Following the same approach, the book also presents several complementary tools required for the analysis and validation of the models, such as sensitivity experiments, calibration exercises, economic network and statistical distributions analysis. By the end of the book, the reader will have gained a deeper understanding of the Agent Based methodology and be prepared to use the fundamental techniques required to start developing their own economic models. Accordingly, “Economics with Heterogeneous Interacting Agents” will be of particular interest to graduate and postgraduate students, as well as to academic institutions and lecturers interested in including an overview of the AB approach to economic modeling in their courses.
Download or read book Agent Based Methods in Economics and Finance written by Francesco Luna and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second book on financial and economic simulations in Swarm marks the continued progress by a group of researchers to incorporate agent-based computer models as an important tool within their disci pline. It is encouraging to see such a clear example of Swarm helping to foster a community of users who rely on the Swarm framework for their own analyses. Swarm aims at legitimizing agent-based computer models as a tool for the study of complex systems. A further goal is that a common base framework will lead to the growth of user communities in specific areas of application. By providing an organizing framework to guide the development of more problem-specific structures, and by dealing with a whole range of issues that affect their fundamental correctness and their ability to be developed and reused, Swarm has sought to make the use of agent-based models a legitimate tool of scientific investigation that also meets the practical needs of investigators within a community.
Download or read book Agent Based Modeling written by Norman Ehrentreich and published by Springer Science & Business Media. This book was released on 2007-10-25 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reconciles the existence of technical trading with the Efficient Market Hypothesis. By analyzing a well-known agent-based model, the Santa Fe Institute Artificial Stock Market (SFI-ASM), it finds that when selective forces are weak, financial evolution cannot guarantee that only the fittest trading rules will survive. Its main contribution lies in the application of standard results from population genetics which have widely been neglected in the agent-based community.
Download or read book Artificial Markets Modeling written by Andrea Consiglio and published by Springer Science & Business Media. This book was released on 2007-08-16 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume features contributions to agent-based computational modeling from the social sciences and computer sciences. It presents applications of methodologies and tools, focusing on the uses, requirements, and constraints of agent-based models used by social scientists. Topics include agent-based macroeconomics, the emergence of norms and conventions, the dynamics of social and economic networks, and behavioral models in financial markets.
Download or read book Agent based Models of the Economy written by R. Boero and published by Springer. This book was released on 2015-06-16 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Agent-based models are tools that provide researchers in economic fields with unprecedented analytical capabilities. This book describes the power of agent-based models along their methodology, and it provides several examples of applications spanning from public policy evaluation to financial markets.
Download or read book Modeling Financial Markets with Heterogeneous Interacting Agents written by and published by . This book was released on 2007 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market has been extensively recognized as a complex system, where large number of heterogeneous agents contribute to price formation of asset. Interactions and adaptations of these agents form the core foundation of market operations and its resultant characteristic properties. These market agents are highly diverse in their perception of the world around them and in the way they respond to it. Various studies of statistical properties of financial markets and price fluctuations have revealed a rich set of typical characteristics knows as stylized facts. Agent-based models that can reproduce these stylized facts and explain the roots of complex dynamics of financial market have been subject of intense research in recent time. The Minority Game Model proposed by Challet and Zhang is one such model that presents a simplified paradigm of financial market. Another model proposed by Lux and Marchesi offers a different perspective to agent-based modeling, where parallels are drawn between the physical system with a large number of interacting units and financial markets. The Minority Game model succeeds to a certain extent in reproducing stylized facts and explaining behavioral foundation of it. However, in attempt to present a simplified picture of market scenario both these models make certain assumptions that dilute the heterogeneity aspect of the real market. In real world markets, agents are truly diverse in their thinking, strategy, action and analyzing ability. Due to these unrealistic assumptions, the model can be validated only with a very limited spectrum of parameters. Also, it's difficult to point out precisely which aspects of the game contribute to some of the stylized facts producible with the model. To improve on these issues, we have developed a model and a simulator based on modified minority game, which we are referring to as "adapted minority game." The main focus of our research is on improving the heterogeneity aspect of agents, their interactions, and bringing fundamental value of asset into the Minority Game model. Our model introduces fundamentalist agents into the minority game model and also allows agents to have different historical memory and time horizons. Furthermore, agents are free to switch from one trading strategy group to another to improve their chances of performing better. Reproducing the stylized facts still remains the benchmark for validating our model. Our adapted minority game succeeds to an extent in expanding the spectrum of parameters that can be used for modeling the market. Agents' interactions and adaptations have been tracked down to the basis of stylized facts. An interesting property of periodic volatility is successfully demonstrated with our model.
Download or read book Agent Based Models in Economics written by Domenico Delli Gatti and published by Cambridge University Press. This book was released on 2018-03-22 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: In contrast to mainstream economics, complexity theory conceives the economy as a complex system of heterogeneous interacting agents characterised by limited information and bounded rationality. Agent Based Models (ABMs) are the analytical and computational tools developed by the proponents of this emerging methodology. Aimed at students and scholars of contemporary economics, this book includes a comprehensive toolkit for agent-based computational economics, now quickly becoming the new way to study evolving economic systems. Leading scholars in the field explain how ABMs can be applied fruitfully to many real-world economic examples and represent a great advancement over mainstream approaches. The essays discuss the methodological bases of agent-based approaches and demonstrate step-by-step how to build, simulate and analyse ABMs and how to validate their outputs empirically using the data. They also present a wide set of applications of these models to key economic topics, including the business cycle, labour markets, and economic growth.
Download or read book Complex Agent Based Models written by Mauro Gallegati and published by Springer. This book was released on 2018-09-19 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a thorough introduction to the highly promising complex agent-based approach to economics, in which agent-based models (ABMs) are used to represent economic systems as complex and evolving systems composed of heterogeneous agents of limited rationality who interact with each other, generating the system’s emergent properties in the process. This approach represents a response to the limitations of the dominant theory in economics, which does not consider the possibility of a major crisis, and to the inability of dynamic stochastic general equilibrium theory to generate empirically falsifiable propositions. In the new perspective, the focus is on identifying the elements of instability rather than the triggering event. As the theory of complexity demonstrates, the interactions of heterogeneous agents produce non-linearity: this puts an end to the age of certainties. With ABMs, the methodology is “from the bottom up”. The individual parameters and their distribution are estimated, and then evaluated to verify whether aggregate regularities emerge on the whole. In short, not only micro, but also meso and macro empirical validation are employed. Moreover, it shows that the mantra of growth should be supplanted by the concept of a growth. Given its depth of coverage, the book will enable students at the undergraduate and Master’s level to gain a firm grasp of this important emerging approach. “This book is flower blossomed by one of the two greatest Italian economists.” Bruce Greenwald, Columbia University “The author’s - the ABM prophet’s - thoughts on economics have been at the forefront of the world. Without a firm belief in and dedication to human society, it is impossible to write such a book. This is a work of high academic value, which can help readers quickly understand the history and current situation of complex economic theory. In particular, we can understand the basic viewpoints, academic status, advantages and shortcomings of various schools of economic theory.” Jie Wu, Guangzhou Milestone Software Co., China
Download or read book Agent based Modelling for Financial Markets with Heterogeneous Agents written by Yu Wang and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Agent Based Models for Economic Policy Advice written by Blake LeBaron and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-11-21 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: This special issue of the Journal of Economics and Statistics is devoted to the use of agent-based models for economic policy advice. It presents a collection of research papers in different fields of applications. Special emphasis is laid on discussing the potential and possible limitations of agent-based models for economic policy advice. The editorial provides an overview on the role of agent-based modeling in economic policy referring also to the papers presented. Furthermore, it highlights the strength of the approach, i.e., the explicit microfoundation and the modeling of heterogenous agents. Finally, we also report on current limitations of the method with regard to economic policy advice and point at some areas deserving further research.
Download or read book Asset Market Dynamics of Heterogeneous Agent Models with Learning written by Yuanying Guan and published by . This book was released on 2011 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: The standard Lucas asset pricing model makes two common assumptions of homogeneous agents and rational expectations equilibrium. However, these assumptions are unrealistic for real financial markets. In this work, we relax these assumptions and establish a Lucas type agent-based asset pricing model. We create an artificial economy with a single risky asset and populate it with heterogeneous, boundedly rational, utility maximizing, infinitely lived and forward looking agents. We restrict agents' information by allowing them to use only available information when they make optimal choices. With independent, identically distributed market returns, agents are able to compute their policy functions and the equilibrium pricing function with Duffie's method (Duffie, 1988) without perfect information about the market. When agents are out of equilibrium, they simultaneously compute their policy functions with predictive pricing functions and use adaptive learning schemes to learn the motion of the correct pricing function. Agents are able to learn the correct equilibrium pricing function with certain risk and learning parameters. In some other cases, the market price has excess volatility and the trading volume is very high. Simulations of the market behavior show rich dynamics, including a whole cascade from period doubling bifurcations to chaos. We apply the full families theory (De Melo and Van Strien, 1993) to prove that the rich dynamics do not come from numerical errors but are embedded in the structure of our dynamical system.
Download or read book Leverage and Evolving Heterogeneous Beliefs in a Simple Agent Based Financial Market written by Edoardo Gaffeo and published by . This book was released on 2018 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent research has acknowledged the crucial role of financial intermediaries' balance sheet variables - namely, wealth and leverage - in the dynamics of asset prices. In this paper we use a prototypical “small-type” artificial financial market model with heterogeneous interacting traders to pin down how asset prices are affected by the complex interaction between balance sheet constraints and the endogenous evolution of trading rules.
Download or read book An Agent Based Financial Simulation for Use by Researchers written by Roy Hayes and published by . This book was released on 2014 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regulators and policy makers, facing a complicated, fast-paced and quickly evolving marketplace, require new tools and decision aides to inform policy. Agent-based models, which are capable of capturing the organization of exchanges, intricacies of market mechanisms, and the heterogeneity of market participants, offer a powerful method for understanding the financial marketplace. To this end, we have worked to develop a flexible and adaptable agent-based model of financial markets that can be extended and applied to interesting policy questions. This paper presents the implementation of this model. In addition, it provides a small case study that demonstrates the possible uses of the model. The source code of the simulation has also been released and is available for use.
Download or read book Agent based Modelling and Market Microstructure written by Jing Yang and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis advances the literature by applying agent-based simulation to market microstructure issues. Although most of the agent-based literature focuses only on generating market dynamics that best resemble those in the real world, a trading structure is presumed to be a Walrasian auction in most of the published literature. This thesis argues that the institutional details of trading are relevant, and need to be reflected when modeling agent behavior in trading models. Chapter 2 compares the convergence property in a double-auction market versus a Walrasian market. This chapter constructs an artificial equity market in which agents trade a risky asset that pays a stochastic dividend each period. In some of the experiments, market dynamics under double-auction converge to the Rational Expectation Equilibrium. However, this convergence is sensitive to deviations from rationality. In experiments where we introduce noise trading, convergence becomes unattainable. Minimal rationality is not sufficient to generate convergence in a double-auction market when the market price is endogenous. Chapter 3 constructs a three-stage model of a dealership market. After trading with the customer, the dealer chooses between trading in a quote-driven inter-dealer market or in an order-driven brokered inter-dealer market. We show that the dealers choice of inter dealer markets depends on the number of dealers available to make the market. This condition determines which inter-dealer market will prevail. We also demonstrate the conditions for the existence of the equilibrium number of dealers that enter the market making industry. At equilibrium, an increase in risk-aversion, the volatility of the customer order flow and asset shifts inter-dealer trading from the direct market to the broker. Moreover, customers are better off when dealers have a choice between two inter-dealer trading venues. Building on this theoretical framework, an agent-based simulation is employed to investigate the welfare effects of heterogeneous dealers under different transparency regimes. Chapter 4 examines the factors that affect liquidity-motivated investors preference between a dealership market and a limit-order book market. This study builds on the theoretical market microstructure literature and uses an agent-based computational approach that allows us to examine the equilibrium properties of models that are richer than the extant literature in terms of the heterogeneity of trading and customer attributes. We find that an increase in the thickness of the market, correlated customer order flow and a decrease in the number of dealers cause a rise in the probability of an order book system prevailing. We also find that large-size customer orders and an increase in the degree of dealer heterogeneity are more likely to shift trades to a dealership system.
Download or read book Artificial Economics written by Philippe Mathieu and published by Springer Science & Business Media. This book was released on 2005-12-17 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Agent-based Computational Economics (ACE) is a new discipline of economics, largely grounded on concepts like evolution, auto-organisation and emergence: it intensively uses computer simulations as well as artificial intelligence, mostly based on multi-agents systems. The purpose of this book is to give an up-to date view of the scientific production in the fields of Agent-based Computational Economics (mainly in Market Finance and Game Theory). Based on communications given at AE'2005 (Lille, USTL, France), this book offers a wide panorama of recent advances in ACE (both theoretical and methodological) that will interest academics as well as practitioners.
Download or read book Complexity in Financial Markets written by Matthieu Cristelli and published by Springer. This book was released on 2015-08-25 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tools 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.
