Artificial Markets Modeling: Methods and Applications by Andrea Consiglio

By Andrea Consiglio

Agent-based computational modeling with its intrinsic multidisciplinary technique is gaining expanding acceptance within the social sciences, fairly in economics, enterprise and finance. The technique is now wide-spread to compute analytical versions numerically and try out them for departures from theoretical assumptions, and to supply stand-alone simulation types for difficulties which are analytically intractable.This quantity is dedicated to contemporary contributions to the sector from either the social sciences and machine sciences. It provides functions of agent-based computational methodologies and instruments within the social sciences, focusing strongly at the makes use of, specifications and constraints of agent-based types hired by way of social scientists. issues contain agent-based macroeconomics, the emergence of norms and conventions, the dynamics of social and financial networks, and behavioral versions in monetary markets.

Show description

Read or Download Artificial Markets Modeling: Methods and Applications PDF

Best econometrics books

Long Memory in Economics

While utilising the statistical thought of lengthy diversity based (LRD) strategies to economics, the powerful complexity of macroeconomic and fiscal variables, in comparison to normal LRD methods, turns into obvious. to be able to get a greater realizing of the behaviour of a few monetary variables, the publication assembles 3 diverse strands of lengthy reminiscence research: statistical literature at the houses of, and checks for, LRD techniques; mathematical literature at the stochastic tactics concerned; versions from financial conception offering believable micro foundations for the occurence of lengthy reminiscence in economics.

The Theory and Practice of Econometrics, Second Edition (Wiley Series in Probability and Statistics)

This commonly established graduate-level textbook covers the most important types and statistical instruments at the moment utilized in the perform of econometrics. It examines the classical, the choice idea, and the Bayesian techniques, and comprises fabric on unmarried equation and simultaneous equation econometric versions. contains an intensive reference record for every subject.

The Reciprocal Modular Brain in Economics and Politics: Shaping the Rational and Moral Basis of Organization, Exchange, and Choice

The current paintings is an extension of my doctoral thesis performed at Stanford within the early Nineteen Seventies. in a single transparent feel it responds to the decision for consilience by means of Edward O. Wilson. I believe Wilson that there's a urgent want within the sciences this day for the unification of the social with the usual sciences.

Analogies and Theories: Formal Models of Reasoning

The publication describes formal versions of reasoning which are aimed toward shooting the best way that financial brokers, and selection makers more often than not take into consideration their setting and make predictions in response to their previous adventure. the point of interest is on analogies (case-based reasoning) and basic theories (rule-based reasoning), and at the interplay among them, in addition to among them and Bayesian reasoning.

Additional info for Artificial Markets Modeling: Methods and Applications

Sample text

Fig. 2. The average score of our chartist signal, in terms of Hit Rate is here of 52%. This score may vary significantly over sub samples of time, and to some extent, it is hard to say that this 52% score is better than what a pure random rule would do. Nevertheless, we can still hypothesize that a subset of rules (whatever these rules are) in the infinite space of possible rules actually performs well. question 2: Assuming the M M A90−10 signal has been selected by a trader, would she be able to obtain a good performance implementing it in a basic strategy 3 ?

The policy strength parameter φ weights the importance of the output gap in the interest rate setting. , φ > 0, gives rise to an higher inflation rate and lower output growth in the short run, but it is able to contain output negative fluctuations and to significatively reduces the volatility of prices and output in the long run. 3). 2 shows how reservation wages affect the labor market dynamics and therefore the output level of the economy. 1. The reservation wages are heterogeneous among households R .

The theory proposes accordingly a rule-of thumb as an approximation of the usual intertemporal maximization problem for the determination of the consumption path. The rule-of-thumb has been modified in order to take into account price inflation and is based on the comparison between the current income and past income stream realized in the last time window T i . Let i the quantity of cash at the i-th household disposal us define as Xt−1 3 Monetary Policy Experiments in an AMM Economy 37 before its consumption choice cit at period t.

Download PDF sample

Rated 4.47 of 5 – based on 46 votes