Related papers: Econophysics Macroeconomic Model
Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…
Multi-agent approach has become popular in computer science and technology. However, the conventional models of multi-agent and multicomponent systems implicitly or explicitly assume existence of absolute time or even do not include time in…
Large Language Models (LLMs) open new possibilities for constructing realistic and interpretable macroeconomic simulations. We present SimCity, a multi-agent framework that leverages LLMs to model an interpretable macroeconomic system with…
An agent-based computational economical toy model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The…
Standard macroeconomic models assume that households are rational in the sense that they are perfect utility maximizers, and explain economic dynamics in terms of shocks that drive the economy away from the stead-state. Here we build on a…
Agents buy and sell services. All services are of equal quality. Buyers choose sellers at random. Monetary and fiscal policies are imposed by a central bank and a central government. Credit is supplied by a commercial banking system.…
In recent years, individual-based/agent-based modeling has been applied to study a wide range of applications, ranging from engineering problems to phenomena in sociology, economics and biology. Simulating such agent-based models over…
In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet…
Physics and economics are two disciplines that share the common challenge of linking microscopic and macroscopic behaviors. However, while physics is based on collective dynamics, economics is based on individual choices. This conceptual…
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
We consider the relationship between economic activity and intervention, including monetary and fiscal policy, using a universal dynamic framework. Central bank policies are designed for growth without excess inflation. However,…
In this paper, we discuss the passage to hydrodynamic equations for kinetic models of opinion formation. The considered kinetic models feature an opinion density depending on an additional microscopic variable, identified with the personal…
We propose a model for co-evolving ecosystems that takes into account two levels of description of an organism, for instance genotype and phenotype. Performance at the macroscopic level forces mutations at the microscopic level. These, in…
We seek to utilize the nonextensive statistics to the microscopic modeling of the interacting many-investor dynamics that drive the price changes in a market. The statistics of price changes are known to be fit well by the Students-T and…
We discuss several models of the dynamics of interacting populations. The models are constructed by nonlinear differential equations and have two sets of parameters: growth rates and coefficients of interaction between populations. We…
In this work we study the individual strategies carried out by agents undergoing transactions in wealth exchange models. We analyze the role of risk propensity in the behavior of the agents and find a critical risk, such that agents with…
Macroeconomic indexes are of high importance for banks: many risk-control decisions utilize these indexes. A typical workflow of these indexes evaluation is costly and protracted, with a lag between the actual date and available index being…
Unlike the classical kinetic theory of rarefied gases, where microscopic interactions among gas molecules are described as binary collisions, the modelling of socio-economic phenomena in a multi-agent system naturally requires to consider,…
Wealth transactions are central to economic activity, and their particularities shape macroeconomic outcomes. We propose an agent-based model to investigate how homophily influences economic inequality. The model simulates wealth exchanges…
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By…