相关论文: Agent-based Model Construction In Financial Econom…

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…

We describe a bottom-up framework, based on the identification of appropriate order parameters and determination of phase diagrams, for understanding progressively refined agent-based models and simulations of financial markets. We…

This paper explores the utility of agent-based simulations in realistically modelling market structures and sheds light on the nuances of optimal dealer strategies. It underscores the contrast between conclusions drawn from probabilistic…

This methods article concerns analysing data generated from running experiments on agent based models to study industries and organisations. It demonstrates that when researchers study virtual ecologies they can and should discard…

A complex system is made up of many components with many interactions. So the design of systems such as simulation systems, cooperative systems or assistance systems includes a very accurate modelling of interactional and communicational…

Von Neuman's work on universal machines and the hardware development have allowed the simulation of dynamical systems through a large set of interacting agents. This is a bottom-up approach which tries to derive global properties of a…

Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic models allow a deeper understanding of…

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…

Background: For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However,…

This paper presents macroeconomic model that is based on parallels between macroeconomic multi-agent systems and multi-particle systems. We use risk ratings of economic agents as their coordinates on economic space. Aggregates of economic…

Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the…

The global economy is one of today's major challenges, with increasing relevance in recent decades. A frequent observation by policy makers is the lack of tools that help at least to understand, if not predict, economic crises. Currently,…

Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary pressure as entire classes of strategies…

Simultaneous reproduction of all financial stylized facts is so difficult that most existing stochastic process-based and agent-based models are unable to achieve the goal. In this study, by extending the decision-making structure of…

In the paper, the model of the society represented by a social network and the model of a multi-agent system built on the basis of this, is presented. The particular aim of the system is to predict the evolution of a society and an analysis…

Recent trends in Agent Computational Economics research, envelop a government agent in the model of the economy, whose decisions are based on learning algorithms. In this paper we try to evaluate the performance of simulated annealing in…

We introduce a novel framework for simulating macroeconomic expectations using LLM Agents. By constructing LLM Agents equipped with various functional modules, we replicate three representative survey experiments involving several…

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…

We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/ excited two state system…

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…