Related papers: Robust Mathematical Formulation and Probabilistic …
We extend Kirman's model by introducing variable event time scale. The proposed flexible time scale is equivalent to the variable trading activity observed in financial markets. Stochastic version of the extended Kirman's agent based model…
The existence of stylized facts in financial data has been documented in many studies. In the past decade the modeling of financial markets by agent-based computational economic market models has become a frequently used modeling approach.…
An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class of agents rebalance their portfolios in an operational way…
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…
Experiments in predator-prey systems show the emergence of long-term cycles. Deterministic model typically fails in capturing these behaviors, which emerge from the microscopic interplay of individual based dynamics and stochastic effects.…
Agent-based models, particularly those applied to financial markets, demonstrate the ability to produce realistic, simulated system dynamics, comparable to those observed in empirical investigations. Despite this, they remain fairly…
We present our approach to the problem of how an agent, within an economic Multi-Agent System, can determine when it should behave strategically (i.e. learn and use models of other agents), and when it should act as a simple price-taker. We…
Recent advances in computing power and the potential to make more realistic assumptions due to increased flexibility have led to the increased prevalence of simulation models in economics. While models of this class, and particularly…
Kinetic exchange models have been successful in explaining the shape of the income/wealth distribution in the economies. However, such models usually make some ad-hoc assumptions when it comes to determining the savings factor. Here, we…
Agent-based computational economics (ACE) - while adopted comparably widely in other domains of managerial science - is a rather novel paradigm for management accounting research (MAR). This paper provides an overview of opportunities and…
An agent-based model (ABM) is a computational model in which the local interactions of autonomous agents with each other and with their environment give rise to global properties within a given domain. As the detail and complexity of these…
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is derived starting from the…
Multi-state models are frequently applied for representing processes evolving through a discrete set of state. Important classes of multi-state models arise when transitions between states may depend on the time since entry into the current…
Advances in computing power and data availability have led to growing sophistication in mechanistic mathematical models of social dynamics. Increasingly these models are used to inform real-world policy decision-making, often with…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for Agent-Based Computational Economic Market…
We explore the application of uncertainty quantification methods to agent-based models (ABMs) using a simple sheep and wolf predator-prey model. This work serves as a tutorial on how techniques like emulation can be powerful tools in this…
Simulation serves as a third way of doing science, in contrast to both induction and deduction. The web based modeling may considerably facilitate the execution of simulations by other people. We present examples of agent-based and…
This paper proposes a framework in which agents are constrained to use simple models to forecast economic variables and characterizes the resulting biases. It considers agents who can only entertain state-space models with no more than d…
This essay discusses the advantages of a probabilistic agent-based approach to questions in theoretical economics, from the nature of economic agents, to the nature of the equilibria supported by their interactions. One idea we propose is…