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Computational Economics: Heterogeneous Agent Modeling [Kõva köide]

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Edited by (Brandeis University, USA), Edited by (Amsterdam School of Economics, University of Amsterdam, The Netherlands)
  • Formaat: Hardback, 834 pages, kõrgus x laius: 235x191 mm, kaal: 2060 g
  • Sari: Handbooks in Economics
  • Ilmumisaeg: 19-Jun-2018
  • Kirjastus: North-Holland
  • ISBN-10: 0444641319
  • ISBN-13: 9780444641311
Teised raamatud teemal:
Computational Economics: Heterogeneous Agent ModelingSuurem pilt
  • Formaat: Hardback, 834 pages, kõrgus x laius: 235x191 mm, kaal: 2060 g
  • Sari: Handbooks in Economics
  • Ilmumisaeg: 19-Jun-2018
  • Kirjastus: North-Holland
  • ISBN-10: 0444641319
  • ISBN-13: 9780444641311
Teised raamatud teemal:
Püsilink: https://www.kriso.ee/db/9780444641311.html
Märksõnad:

Handbook of Computational Economics: Heterogeneous Agent Models, Volume Four, focuses on heterogeneous agent models, emphasizing recent advances in macroeconomics (including DSGE), finance, empirical validation and experiments, networks and related applications. Capturing the advances made since the publication of Volume Two (Tesfatsion & Judd, 2006), it provides high-level literature with sections devoted to Macroeconomics, Finance, Empirical Validation and Experiments, Networks, and other applications, including Innovation Diffusion in Heterogeneous Populations, Market Design and Electricity Markets, and a final section on Perspectives on Heterogeneity.

  • Helps readers fully understand the dynamic properties of realistically rendered economic systems
  • Emphasizes detailed specifications of structural conditions, institutional arrangements and behavioral dispositions
  • Provides broad assessments that can lead researchers to recognize new synergies and opportunities

Arvustused

"This timely and very impressive handbook volume provides in-depth survey essays on major recent developments in heterogeneous agent modeling in economics. The editors of the volume and the authors of the individual chapters are pioneers and leading researchers in this emergent area of study. The volume will be an essential resource for economists and graduate students who are working with or interested in heterogeneous agent models." --Journal of Economic Literature

Contributors xv
Introduction to the Series xix
Introduction to the Handbook of Computational Economics, Volume 4, Heterogeneous Agent Modeling xxi
PART 1 MACROECONOMICS
Chapter 1 Heterogeneous Expectations and Micro-Foundations in Macroeconomics
3(60)
William A. Branch
Bruce McGough
1 Introduction
4(4)
2 Expectations Operators and Bounded Rationality
8(12)
2.1 Expectations Operators
9(1)
2.2 The Economic Environment
10(1)
2.3 Bounded Optimality
11(8)
2.4 Aggregating Household Decision Rules
19(1)
3 Equilibria with Heterogeneous Expectations
20(7)
3.1 Extrinsic Heterogeneity
21(1)
3.2 Rationally Heterogeneous Expectations
22(2)
3.3 Intrinsic Heterogeneity
24(3)
4 Asset-Pricing Applications
27(11)
4.1 Regime-Switching Returns
27(4)
4.2 Bubbles with Rationally Heterogeneous Expectations
31(2)
4.3 Restricted Perceptions and Endogenous Fluctuations
33(4)
4.4 Related Literature
37(1)
5 Monetary Applications
38(7)
5.1 A Monetary Search Model with Heterogeneous Expectations
39(1)
5.2 Heterogeneous Beliefs and Bargaining
40(1)
5.3 Equilibrium with Heterogeneous Beliefs
41(1)
5.4 Uncertainty and Welfare
42(2)
5.5 Related Literature
44(1)
6 DSGE Applications
45(13)
6.1 Rationally Heterogeneous Expectations and Monetary Policy Rules
45(4)
6.2 Intrinsic Heterogeneity and Monetary Policy Rules
49(4)
6.3 Heterogeneous Expectations and Liquidity Traps
53(2)
6.4 Heterogeneity and Business Cycles Amplification
55(2)
6.5 Related Literature
57(1)
7 Conclusion
58(5)
References
59(4)
Chapter 2 Agent-Based Macroeconomics
63(94)
Herbert Dawid
Domenico Delli Gatti
1 Introduction
64(7)
1.1 Complexity and Macroeconomics
67(1)
1.2 The Agent-Based Approach to Macroeconomic Modeling
68(1)
1.3 Behavior, Expectations, and Interaction Protocols
69(2)
1.4 Outline of the
Chapter
71(1)
2 Design of Agent-Based Macroeconomic Models
71(44)
2.1 Families of MABMs
71(3)
2.2 A Map of this Section
74(2)
2.3 Households
76(12)
2.4 Firms
88(22)
2.5 The Bank
110(5)
3 Comparison of Existing Agent-Based Macroeconomic Models
115(5)
4 Policy Analysis
120(16)
4.1 Fiscal Policy
121(4)
4.2 Monetary Policy
125(3)
4.3 Financial Regulation and Crisis Resolution Mechanisms
128(3)
4.4 Labor Market Policy
131(2)
4.5 Regional Growth, Convergence, and Cohesion Policy
133(2)
4.6 Taking Stock: What Is the Potential of Agent-Based Macroeconomics for Policy Analysis?
135(1)
5 Conclusions and Outlook
136(21)
Appendix A Summary of Selected Agent-Based Macroeconomic Models
137(10)
Appendix B List of Symbols
147(2)
References
149(8)
Chapter 3 Endogenous Firm Dynamics and Labor Flows via Heterogeneous Agents
157(58)
Robert Axtell
1 Introduction
158(3)
2 Dynamics of Team Production
161(11)
2.1 Equilibrium of the Team Production Game
162(6)
2.2 Stability of Nash Equilibrium, Dependence on Team Size
168(4)
3 From One Team to Six Million Firms, Computationally
172(20)
3.1 Set-up of the Computational Model Using Agents
173(2)
3.2 A Typical Realization of the Model: Agents Form Firms
175(3)
3.3 An Aggregate Steady-State Emerges: Properties
178(2)
3.4 The Steady-State Population of Firms: Sizes, Productivities, Ages, Survival Rates, Lifetimes, and Growth Rates
180(9)
3.5 The Steady-State Population of Agents: Wages Earned, Job Tenure, and Employment as a Function of Firm Size and Age
189(2)
3.6 Steady-State Job-to-Job Flows: The Labor Flow Network
191(1)
3.7 Steady-State Agent Welfare
191(1)
4 Model Variations: Sensitivity and Robustness
192(3)
5 Summary and Conclusions
195(20)
5.1 Emergence of Firms, Out of Microeconomic Equilibrium
198(1)
5.2 From Theories of the Firm to a Theory of Firms
199(2)
5.3 Economics of Computation and Computational Economics
201(1)
Appendix A Generalized Preference Specifications
202(1)
Appendix B Generalized Compensation and Nash Stability
202(2)
Appendix C Sensitivity to `Sticky' Effort Adjustment
204(1)
Appendix D Extension: Stabilizing Effect of Agent Loyalty
205(1)
Appendix E Extension: Hiring
205(1)
Appendix F Extension: Effort Monitoring and Worker Termination
206(1)
References
207(8)
Chapter 4 Heterogeneous Agents in the Macroeconomy: Reduced-Heterogeneity Representations
215(42)
Xavier Ragot
1 Introduction
216(2)
2 The Economic Problem and Notations
218(3)
2.1 The Model
218(2)
2.2 Equilibrium Definition and Intuition to Reduce the State Space
220(1)
3 No-Trade Equilibria
221(5)
3.1 No-Trade Equilibria with Transitory Shocks
221(3)
3.2 Preserving Time-Varying Precautionary Saving in the Linear Model
224(2)
3.3 No-Trade Equilibrium with Permanent Shocks
226(1)
4 Small-Heterogeneity Models
226(14)
4.1 Models Based on Assumptions About Labor Supply
226(6)
4.2 Models Based on Linearity in the Period Utility Function
232(3)
4.3 Models Based on a "Family" Assumption
235(4)
4.4 Assessment of Small-Heterogeneity Models
239(1)
5 Truncated-History Models
240(8)
5.1 Assumptions
241(1)
5.2 Equilibrium Structure
242(1)
5.3 Equations of the Model
243(1)
5.4 Algorithm for the Steady State
244(1)
5.5 Dynamics
245(1)
5.6 Choosing the Preference Shifters ξeN
245(1)
5.7 Numerical Example
246(2)
6 Optimal Policies
248(1)
7 Comparison with Other Approach Using Perturbation Methods
249(1)
8 Heterogeneous Expectations
250(1)
9 Concluding Remarks
251(6)
References
251(6)
PART 2 FINANCE
Chapter 5 Heterogeneous Agent Models in Finance
257(72)
Roberto Dieci
Xue-Zhong He
1 Introduction
258(5)
2 HAMs of Single Asset Market in Discrete-Time
263(13)
2.1 Market Mood and Adaptive Behavior
264(2)
2.2 Volatility Clustering: Calibration and Mechanisms
266(4)
2.3 Information Uncertainty and Trading Heterogeneity
270(4)
2.4 Switching of Agents, Fund Flows, and Leverage
274(2)
3 HAMs of Single Asset Market in Continuous-Time
276(11)
3.1 A Continuous-Time HAM with Time Delay
277(3)
3.2 Profitability of Momentum and Contrarian Strategies
280(5)
3.3 Optimal Trading with Time Series Momentum and Reversal
285(2)
4 HAMs of Multi-Asset Markets and Financial Market Interlinkages
287(14)
4.1 Stock Market Comovement and Policy Implications
287(2)
4.2 Heterogeneous Beliefs and Evolutionary CAPM
289(7)
4.3 Interacting Stock Market and Foreign Exchange Market
296(5)
5 HAMs and House Price Dynamics
301(12)
5.1 An Equilibrium Framework with Heterogeneous Investors
302(8)
5.2 Disequilibrium Price Adjustments
310(3)
6 HAMs and Market Microstructure
313(4)
6.1 Stylized Facts in Limit Order Markets
314(2)
6.2 Information and Learning in Limit Order Market
316(1)
6.3 High Frequency Trading
316(1)
6.4 HAMs and Microstructure Regulation
317(1)
7 Conclusion and Future Research
317(12)
References
320(9)
Chapter 6 Models of Financial Stability and Their Application in Stress Tests
329(64)
Christoph Aymanns
J. Doyne Farmer
Alissa M. Kleinnijenhuis
Thorn Wetzer
1 Introduction
330(4)
2 Two Approaches to Modeling Systemic Risk
334(1)
3 A View of the Financial System
335(4)
3.1 Balance Sheet Composition
336(1)
3.2 Balance Sheet Dynamics
337(2)
4 Leverage and Endogenous Dynamics in a Financial System
339(8)
4.1 Leverage and Balance Sheet Mechanics
339(1)
4.2 Leverage Constraints and Margin Calls
339(3)
4.3 Procyclical Leverage and Leverage Cycles
342(5)
5 Contagion in Financial Networks
347(10)
5.1 Financial Linkages and Channels of Contagion
347(3)
5.2 Counterparty Loss Contagion
350(3)
5.3 Overlapping Portfolio Contagion
353(3)
5.4 Funding Liquidity Contagion
356(1)
5.5 Interaction of Contagion Channels
356(1)
6 From Models to Policy: Stress Tests
357(3)
6.1 What Are Stress Tests?
357(1)
6.2 A Brief History of Stress Tests
358(2)
7 Microprudential Stress Tests
360(7)
7.1 Microprudential Stress Tests of Banks
360(1)
7.2 Microprudential Stress Test of Non-Banks
361(4)
7.3 Strengths and Weaknesses of Current Microprudential Stress Tests
365(2)
8 Macroprudential Stress Tests
367(15)
8.1 Three Macroprudential Stress Tests
368(4)
8.2 Comparing and Evaluating Macroprudential Stress Tests: Five Building Blocks
372(6)
8.3 The Calibration Challenge
378(2)
8.4 Strengths and Weaknesses of the Current Macroprudential Stress Tests
380(2)
9 The Future of System-Wide Stress Tests
382(3)
10 Conclusion
385(8)
References
385(8)
Chapter 7 Agent-Based Models for Market Impact and Volatility
393(44)
Jean-Philippe Bouchaud
1 Introduction
394(2)
2 The Statistics of Price Changes: A Short Overview
396(5)
2.1 Bachelier's First Law
396(1)
2.2 Signature Plots
396(1)
2.3 High-Frequency Noise
397(1)
2.4 Volatility Signature Plots for Real Price Series
397(1)
2.5 Heavy Tails
398(1)
2.6 Volatility Clustering
399(1)
2.7 Activity Clustering
399(1)
2.8 Long Memory in the Order Flow
400(1)
2.9 Summary
400(1)
3 The Square-Root Impact Law
401(4)
3.1 Introduction
401(1)
3.2 Empirical Evidence
402(1)
3.3 A Very Surprising Law
402(2)
3.4 Theoretical Ideas
404(1)
4 The Santa-Fe "Zero-Intelligence" Model
405(7)
4.1 Model Definition
405(1)
4.2 Basic Intuition
406(2)
4.3 Simulation Results
408(4)
5 An Improved Model for the Dynamics of Liquidity
412(5)
5.1 Introduction
412(2)
5.2 Super-Diffusion vs. Sub-Diffusion
414(1)
5.3 The Concave Impact of Meta-Orders
415(2)
6 Walrasian Auctions and the Square-Root Law
417(9)
6.1 A Dynamic Theory for Supply and Demand
417(4)
6.2 Infrequent Auctions
421(2)
6.3 High Frequency Auctions
423(2)
6.4 From Linear to Square-Root Impact
425(1)
6.5 Summary and Conclusions
426(1)
7 The Information Content of Prices
426(5)
7.1 The Efficient Market View
427(1)
7.2 Order-Flow Driven Prices
428(3)
8 Conclusions and Open Problems
431(6)
Acknowledgments
432(1)
References
432(5)
Chapter 8 Empirical Validation of Agent-Based Models
437(54)
Thomas Lux
Remco C.J. Zwinkels
1 Introduction
438(3)
2 Estimation of Agent-Based Models in Other Fields
441(4)
2.1 Sociology
441(2)
2.2 Biology
443(1)
2.3 Other Fields
444(1)
3 Reduced Form Models
445(10)
3.1 Choice of Dependent Variable
446(2)
3.2 Identification
448(2)
3.3 Switching Mechanism
450(3)
3.4 Fundamental Value Estimate
453(2)
4 Estimation Methods
455(19)
4.1 Maximum Likelihood
455(2)
4.2 Moment-Based Estimators
457(5)
4.3 Agent-Based Models as Latent Variable Models and Related Estimators
462(12)
5 Applications of Agent-Based Models
474(6)
5.1 Micro-Level Applications
475(1)
5.2 Market-Level Applications
476(2)
5.3 Applications in Macroeconomics
478(2)
6 Conclusion
480(11)
References
482(9)
PART 3 EXPERIMENTS
Chapter 9 Heterogeneous Agent Modeling: Experimental Evidence
491(50)
Jasmina Arifovic
John Duffy
1 Introduction
491(3)
2 Heterogeneity and Bounded Rationality in Decision Making
494(22)
2.1 Group Decisions on Provision of a Public Good
494(6)
2.2 Intertemporal Optimization
500(4)
2.3 Expectation Formation
504(9)
2.4 Learning to Forecast vs. Learning to Optimize Experimental Designs
513(2)
2.5 Adaptive Versus Eductive Learning
515(1)
3 Heterogeneity and Monetary Policy
516(10)
3.1 New Keynesian Experiments
517(6)
3.2 New Keynesian Experiments at the Zero Lower Bound
523(3)
4 Heterogeneity in Equilibrium Selection
526(9)
4.1 Bank Runs
527(4)
4.2 Adoption of a New Payment System
531(4)
5 Conclusion
535(6)
References
536(5)
Chapter 10 Levels of Reasoning in Keynesian Beauty Contests: A Generative Framework
541(96)
Felix Mauersberger
Rosemarie Nagel
1 Introduction
543(4)
2 An Overview of Experimental Economics
547(15)
2.1 Experimental Economics Areas with Archetypal Games and Markets
547(10)
2.2 New Questions and Areas Since the Late 90s
557(2)
2.3 Boundedly Rational Models
559(3)
3 The Keynesian Beauty Contest: A Generative Framework for Archetypal Games in Economics
562(20)
3.1 The Beauty Contest as a Canonical Formulation
563(4)
3.2 Continuous Strategy Space
567(6)
3.3 Discrete Strategy Space and Multiplicity
573(6)
3.4 Other Dimensions
579(3)
4 Behavioral Regularities in BC-Experiments and Level-k
582(30)
4.1 The Basic BC Experiment
583(12)
4.2 De-Framing the Rules to (De-)Anchor Beliefs
595(8)
4.3 Multiple Equilibria (BC Game with b = 1)
603(6)
4.4 Auction in the Laboratory and the Field
609(1)
4.5 Other Games with Discrete Strategy Spaces
610(2)
5 Elicitation Methods
612(8)
5.1 Strategy (Vector) Method
613(2)
5.2 Response Time (RT)
615(1)
5.3 Mouselab, Eye-Tracking
616(1)
5.4 Continuous Time Decision-Making
616(1)
5.5 Written Comments, Chats, and Other Communication Tools, Team Decisions
616(1)
5.6 Asking for Guesses
617(1)
5.7 Personal Characteristics and Training
617(1)
5.8 Neuroeconomics
618(2)
6 Discussion
620(17)
References
623(14)
PART 4 NETWORKS
Chapter 11 Empirical Analyses of Networks in Finance
637(50)
Giulia Iori
Rosario N. Mantegna
1 Introduction
638(2)
2 A Brief Historical Perspective About the Use of Network Science in Economics and Finance
640(1)
3 Network Approaches to Financial Stability: The Interbank Market
641(16)
3.1 Interbank Networks Connectivity and Contagion: Theoretical Contributions
642(3)
3.2 The Structure of National Interbank Networks
645(2)
3.3 Multilayer Networks
647(1)
3.4 Financial Regulations and Network Control
648(3)
3.5 Stress-Test Scenario Analysis
651(1)
3.6 Network Reconstruction
651(3)
3.7 Econometrics Systemic Risk Measures
654(1)
3.8 Location Advantages in Interbank Networks
654(3)
4 Networks and Information Filtering
657(9)
4.1 Proximity Based Networks
657(4)
4.2 Association Networks
661(2)
4.3 Statistically Validated Networks
663(3)
5 Indirect Channels of Contagion
666(3)
5.1 Overlapping Portfolios and Feedback Effects
666(2)
5.2 Financial Sector and the Real Economy
668(1)
6 Concluding Remarks
669(18)
Acknowledgments
671(1)
Appendix A Basic Concepts in Network Science
671(4)
Appendix B Econometrics Systemic Risk Measure
675(1)
References
676(11)
Chapter 12 Heterogeneity and Networks
687(28)
Sanjeev Goyal
1 Introduction and Overview
687(1)
2 Networks: Terminology
688(3)
3 The Theory of Network Formation
691(2)
4 Networks and Individual Behavior
693(9)
4.1 Local Interactions
693(3)
4.2 Trading in Networks
696(6)
5 Combining Actions and Link Formation
702(8)
5.1 The Law of the Few
703(3)
5.2 Intermediation Rents and Network Formation
706(4)
5.3 Related Work
710(1)
6 Concluding Remarks
710(5)
References
711(4)
PART 5 OTHER APPLICATIONS
Chapter 13 Electric Power Markets in Transition: Agent-Based Modeling Tools for Transactive Energy Support
715(54)
Leigh Tesfatsion
1 Introduction
716(7)
1.1 Background Motivation
716(5)
1.2
Chapter Scope
721(2)
2 Agent-Based Computational Economics: Overview
723(10)
2.1 ACE Modeling Principles
723(5)
2.2 ACE Objectives and Scope
728(1)
2.3 Enabling Comprehensive Empirical Validation
729(2)
2.4 Avoiding Premature Jumps to Policy Implementation
731(1)
2.5 Towards Standardized Presentation Protocols for ACE Policy Models
732(1)
3 Early ACE Research on Electric Power Systems
733(2)
4 Transactive Energy Systems Research: Overview
735(2)
5 ACE Support for TES Research on Demand Response
737(18)
5.1 Overview
737(4)
5.2 ACE Demand Response Study Undertaken with the IRW Test Bed
741(8)
5.3 PowerMatcher: A TES Architecture for Distribution Systems
749(6)
6 ACE Support for TES Research on Contract Design
755(6)
6.1 Overview
755(1)
6.2 ACE Support for TES Contract Design: Illustrative Example
756(5)
7 Conclusion
761(8)
Acknowledgments
761(1)
References
761(8)
PART 6 PERSPECTIVES ON HETEROGENEITY
Chapter 14 Modeling a Heterogeneous World
769(28)
Richard Bookstaber
Alan Kirman
1 Heterogeneity and Standard Economics
771(3)
2 Heterogeneity in Microeconomics: Fish Markets
774(10)
3 Heterogeneity in Financial Markets: The Implications of a Volatility Shock
784(3)
3.1 The Interaction of Heterogeneous Agents: Market Volatility Shocks
786(1)
4 Heterogeneity in the Macro-Financial System
787(4)
4.1 The Interaction of Heterogeneous Agents: A Case Study of Bear Stearns
790(1)
5 Conclusion
791(6)
References
793(4)
Index 797
Cars Hommes is one of the pioneers in complexity economics. His work on nonlinear complex economic systems challenges the traditional neoclassical paradigm of the representative rational agent in economics. In a rational world the economy is characterized by an average agent (consumer, producer, investor, etc.), who is a perfect optimizer with rational expectations about the future. Hommes' work develops an alternative complexity paradigm based on agent-based behavioral complexity models.He has published more than 100 articles in leading international journals and book chapters and he is the author and editor of four books. He has been Editor of the Journal of Economic Dynamics and Control (2002-2012) and is the president elect of the international Society of Computational Economics. Blake LeBaron has a Ph.D. in Economics from the University of Chicago. He is the Abram L. and Thelma Sachar Chair of International Economics at the International Business School, Brandeis University. He is a Research Associate at the National Bureau of Economic Research, and was a Sloan Fellow. LeBaron also served as director of the Economics Program at The Santa Fe Institute in 1993. LeBaron's research has concentrated on the issue of nonlinear behavior of financial and macroeconomic time series. He has been influential both in the statistical detection of nonlinearities and in describing their qualitative behavior in many series. LeBaron's current interests are in understanding the quantitative dynamics of interacting systems of adaptive agents and how these systems replicate observed real world phenomenon. Also, LeBaron is interested in understanding some of the observed behavioral characteristics of traders in financial markets. This behavior includes strategies such as technical analysis and portfolio optimization, along with policy questions such as foreign exchange intervention. In general, he seeks to find out the empirical implications of learning and adaptation as applied to finance and macroeconomics.