Artificial Markets Modeling: Methods and Applications (Lecture Notes in Economics and Mathematical Systems)

✍ Scribed by Andrea Consiglio

• Year: 2007
• Tongue: English
• Leaves: 292
• Edition: 1
• Category: Library

✦ Synopsis

Agent-based computational modeling with its intrinsic multidisciplinary approach is gaining increasing recognition in the social sciences, particularly in economics, business and finance. The methodology is now widely used to compute analytical models numerically and test them for departures from theoretical assumptions, and to provide stand-alone simulation models for problems that are analytically intractable.This volume is devoted to recent contributions to the field from both the social sciences and computer sciences. It presents applications of agent-based computational methodologies and tools in the social sciences, focusing strongly on the uses, requirements and constraints of agent-based models employed by social scientists. Topics include agent-based macroeconomics, the emergence of norms and conventions, the dynamics of social and economic networks, and behavioral models in financial markets.

✦ Table of Contents

Artificial Markets Modeling......Page 3
Front Cover......Page 1
Preface......Page 5
Contents......Page 8
List of Contributors......Page 11
Part I
Macroeconomic Issues......Page 14
1
Beyond the Static Money Multiplier: In Search
of a Dynamic Theory of Money......Page 16
2
Macroeconomic Effects of the Interest Rate
Level: Growth and Fluctuations in an Economy
with Bank Capital Adequacy Standards......Page 30
3
Monetary Policy Experiments in an Artificial
Multi-Market Economy with Reservation
Wages......Page 46
Part II
Market Mechanisms and Agents Behavior......Page 58
4
Testing Double Auction as a Component
Within a Generic Market Model Architecture......Page 60
5
A Conceptual Framework for the Evaluation of
Agent-Based Trading and Technical Analysis......Page 76
6
Which Market Protocols Facilitate Fair
Trading?......Page 94
Part III
Market Dynamics and Efficiency......Page 112
7
An Artificial Economics View of the Walrasian
and Marshallian Stability......Page 114
8
The Performance of Option–Trading Software
Agents: Initial Results......Page 126
9
Studies on the Impact of the Option Market on
the Underlying Stock Market......Page 140
10
On Rational Noise Trading and Market Impact......Page 154
Part IV
Analysis of Economic and Social Networks......Page 168
11
A Note on Symmetry in Job Contact Networks......Page 170
12
Innovation and Knowledge Spillovers in a
Networked Industry......Page 184
13
Heterogeneous Agents with Local Social
Influence Networks: Path Dependence and
Plurality of Equilibria in the ACE Noiseless
Case......Page 194
14
Economy-Driven Shaping of Social Networks
and Emerging Class Behaviors......Page 208
15
Group Effect, Productivity and Segregation
Optimality......Page 222
16
The Grass is Always Greener on the Other
Side of the Fence: The Effect of Misperceived
Signalling in a Network Formation Process......Page 236
Part V
Methodological Issues and Applications......Page 248
17
Market Selection of Competent Venture
Capitalists......Page 250
18
A Binary Particle Swarm Optimization
Algorithm for a Double Auction Market......Page 262
19
Better-Reply Strategies with Bounded Recall......Page 272
List of Lecture Notes in Economics
and Mathematical Systems from Vol 513 - 602......Page 291

✦ Subjects

Финансово-экономические дисциплины;Математические методы и моделирование в экономике;