Related papers: A basic macroeconomic agent-based model for analyz…
In this paper we present an agent-based model (ABM) of scientific inquiry aimed at investigating how different social networks impact the efficiency of scientists in acquiring knowledge. As such, the ABM is a computational tool for tackling…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
We propose using deep reinforcement learning to solve dynamic stochastic general equilibrium models. Agents are represented by deep artificial neural networks and learn to solve their dynamic optimisation problem by interacting with the…
In this paper, simple mathematical models from Control Theory are applied to three very important economic paradigms, namely (a) minimum wages in self-regulating markets, (b) market-versus-true values and currency rates, and (c) government…
Current business cycle theory is an application of the general equilibrium theory. This paper presents the business cycle model without using general equilibrium framework. We treat agents risk assessments as their coordinates x on economic…
This paper aims to study the prediction of the bank stability index based on the Time Series Transformer model. The bank stability index is an important indicator to measure the health status and risk resistance of financial institutions.…
Taking agent-based models (ABM) closer to the data is an open challenge. This paper explicitly tackles parameter space exploration and calibration of ABMs combining supervised machine-learning and intelligent sampling to build a surrogate…
This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the…
Agent based modelling is a computational approach that aims to understand the behaviour of complex systems through simplified interactions of programmable objects in computer memory called agents. Agent based models (ABMs) are predominantly…
Economic inequality is a global challenge, intensifying disparities in education, healthcare, and social stability. Traditional systems like the U.S. federal income tax reduce inequality but lack adaptability. Although models like the Saez…
We have used agent-based modeling as our numerical method to artificially simulate a dynamic real economy where agents are rational maximizers of an objective function of Cobb-Douglas type. The economy is characterised by heterogeneous…
The long-lasting socio-economic impact of the global financial crisis has questioned the adequacy of traditional tools in explaining periods of financial distress, as well as the adequacy of the existing policy response. In particular, the…
Contemporary approaches to agent-based modeling (ABM) of social systems have traditionally emphasized rule-based behaviors, limiting their ability to capture nuanced dynamics by moving beyond predefined rules and leveraging contextual…
Market regimes is a popular topic in quantitative finance even though there is little consensus on the details of how they should be defined. They arise as a feature both in financial market prediction problems and financial market task…
In light of the growing interest in agent-based market models, we bring together several earlier works in which we considered the topic of self-consistent market modelling. Building upon the binary game structure of Challet and Zhang, we…
We present macroeconomic model that describes evolution of macroeconomic variables and macroeconomic waves on economic space. Risk ratings of economic agents play role of their coordinates on economic space. Aggregation of economic…
This paper develops a dynamic monetary model to study the (in)stability of the fractional reserve banking system. The model shows that the fractional reserve banking system can endanger stability in that equilibrium is more prone to exhibit…
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
Mechanistic simulators are an indispensable tool for epidemiology to explore the behavior of complex, dynamic infections under varying conditions and navigate uncertain environments. Agent-based models (ABMs) are an increasingly popular…