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E-raamat: Artificial Markets Modeling: Methods and Applications

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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.

This volume features contributions to agent-based computational modeling from the social sciences and computer sciences. It presents applications of methodologies and tools, focusing on the uses, requirements, and constraints of agent-based models used 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.
Part I Macroeconomic Issues
Beyond the Static Money Multiplier: In Search of a Dynamic Theory of Money
3(14)
Michele Berardi
Macroeconomic Effects of the Interest Rate Level: Growth and Fluctuations in an Economy with Bank Capital Adequacy Standards
17(16)
Gianfranco Giulioni
Monetary Policy Experiments in an Artificial Multi-Market Economy with Reservation Wages
33(14)
Marco Raberto
Andrea Teglio
Silvano Cincotti
Part II Market Mechanisms and Agents Behavior
Testing Double Auction as a Component Within a Generic Market Model Architecture
47(16)
Julien Derveeuw
Bruno Beaufils
Philippe Mathieu
Olivier Brandouy
A Conceptual Framework for the Evaluation of Agent-Based Trading and Technical Analysis
63(18)
Olivier Brandouy
Philippe Mathieu
Which Market Protocols Facilitate Fair Trading?
81(20)
Marco LiCalzi
Paolo Pellizzari
Part III Market Dynamics and Efficiency
An Artificial Economics View of the Walrasian and Marshallian Stability
101(12)
Marta Posada
Cesareo Hernandez
Adolfo Lopez-Paredes
The Performance of Option-Trading Software Agents: Initial Results
113(14)
Omar Baqueiro
Wiebe Van der Hoek
Peter McBurney
Studies on the Impact of the Option Market on the Underlying Stock Market
127(14)
Sabrina Ecca
Mario Locci
Michele Marchesi
On Rational Noise Trading and Market Impact
141(16)
Florian Hauser
Part IV Analysis of Economic and Social Networks
A Note on Symmetry in Job Contact Networks
157(14)
Andrea Mario Lavezzi
Nicola Meccheri
Innovation and Knowledge Spillovers in a Networked Industry
171(10)
Jose I. Santos
Ricardo del Olmo
Javier Pajares
Heterogeneous Agents with Local Social Influence Networks: Path Dependence and Plurality of Equilibria in the ACE Noiseless Case
181(14)
Denis Phan
Economy-Driven Shaping of Social Networks and Emerging Class Behaviors
195(14)
Philippe Caillou
Frederic Dubut
Michele Sebag
Group Effect, Productivity and Segregation Optimality
209(14)
Raul Conejeros
Miguel Vargas
The Grass is Always Greener on the Other Side of the Fence: The Effect of Misperceived Signalling in a Network Formation Process
223(14)
Simone Giansante
Alan Kirman
Sheri Markose
Paolo Pin
Part V Methodological Issues and Applications
Market Selection of Competent Venture Capitalists
237(12)
David Mas
A Binary Particle Swarm Optimization Algorithm for a Double Auction Market
249(10)
Calogero Vetro
Domenico Tegolo
Better-Reply Strategies with Bounded Recall
259
Andriy Zapechelnyuk