Related papers: Econophysics Macroeconomic Model
This paper is concerned with a model in econophysics, the subfield of statistical physics that applies concepts from traditional physics to economics. In our model, economical agents are represented by the vertices of a connected graph and…
The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive…
A deterministic system of interacting agents is considered as a model for economic dynamics. The dynamics of the system is described by a coupled map lattice with near neighbor interactions. The evolution of each agent results from the…
Industrial symbiosis involves creating integrated cycles of by-products and waste between networks of industrial actors in order to maximize economic value, while at the same time minimizing environmental strain. In such a network, the…
Macroeconomic dynamics is typically modeled under the assumption that the economy evolves according to a single invariant law of motion. This paper shows that this assumption imposes a structural restriction. We develop Dynamic…
The aim of this work is to explore the possible types of phenomena that simple macroeconomic Agent-Based models (ABM) can reproduce. We propose a methodology, inspired by statistical physics, that characterizes a model through its 'phase…
Agent Based Modeling (ABM) has become a widespread approach to model complex interactions. In this chapter after briefly summarizing some features of ABM the different approaches in modeling spatial interactions are discussed. It is…
Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…
The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…
In this paper, we derive a kinetic description of swarming particle dynamics in an interacting multi-agent system featuring emerging leaders and followers. Agents are classically characterized by their position and velocity plus a…
Quasi-equilibrium models for aggregate variables are widely-used throughout finance and economics. The validity of such models depends crucially upon assuming that the systems' participants behave both independently and in a Markovian…
We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive,…
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provide realistic simulated price impact curves. This is possible…
The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications…
Knowing and modelling the migration phenomena and especially the social and economic consequences have a theoretical and practical importance, being related to their consequences for development, economic progress (or as appropriate,…
The institution of money can be seen as a foundational social mechanism, enabling communities to quantify collectively regulate economic processes. Money can be said, indeed, to constitute the micro-macro link in economics. This paper…
Multi-agent systems can be successfully described by kinetic models, which allow one to explore the large scale aggregate trends resulting from elementary microscopic interactions. The latter may be formalised as collision-like rules, in…
In this paper an econophysics model for the currency exchange operations with commission is proposed. With this purpose some analogies and similarities of the processes that take place in the frame of the electrochemical system made from…
Econophysics is a new area developed recently by the cooperation between economists, mathematicians and physicists. It's not a tool to predict future prices of stocks and exchange rates. It applies idea, method and models in Statistical…
We analyze the dynamics of agent--based models (ABMs) from a Markovian perspective and derive explicit statements about the possibility of linking a microscopic agent model to the dynamical processes of macroscopic observables that are…