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E-raamat: Progress in Artificial Economics: Computational and Agent-Based Models

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Edited by Marco Li Calzi, Edited by Lucia Milone, Edited by Paolo Pellizzari

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Sari: Lecture Notes in Economics and Mathematical Systems 645
Ilmumisaeg: 22-Aug-2010
Kirjastus: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Keel: eng
ISBN-13: 9783642139475

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Formaat: PDF+DRM
Sari: Lecture Notes in Economics and Mathematical Systems 645
Ilmumisaeg: 22-Aug-2010
Kirjastus: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Keel: eng
ISBN-13: 9783642139475

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This series reports on new developments in mathematical economics, economic theory, econometrics, operations research, and mathematical systems.

Manuscripts should be no less than 150 and preferably no more than 500 pages in length.

Artificial economics aims to provide a generative approach to understanding problems in economics and social sciences. It is based on the consistent use of agent-based models and computational techniques. It encompasses a rich variety of techniques that generalize numerical analysis, mathematical programming, and micro-simulations. The peer-reviewed contributions in this volume address applications of artificial economics to markets and trading, auctions, networks, management, industry sectors, macroeconomics, and demographics and culture.

Part I Markets and Trading

Agent's Minimal Intelligence Calibration for Realistic Market Dynamics

(12)

Iryna Veryzhenko

Olivier Brandouy

Philippe Mathieu

1 Introduction

(1)

2 Literature Review

(1)

2.1 Seminal Contribution and Initial Controversy

(1)

3 ATOM and Real World Market

(2)

4 Empirical Strategy and Results

(5)

4.1 Data Description

(1)

4.2 Calibration Elements: Agent's Behavior

(2)

4.3 One Single Stock Detailed Results

(3)

4.4 Population Statistics

(1)

5 Conclusion

(2)

References

(1)

Trading on Marginal Information

(12)

Florian Hauser

Bob Kaempff

1 Introduction

(1)

2 Market Model

(1)

3 Original Fundamental Trading Strategy

(2)

4 Modified Fundamental Trading Strategy

(5)

4.1 Definition

(1)

4.2 Optimization for one Agent

(3)

4.3 Equilibrium for two Possible Trading Strategies

(1)

5 Conclusion

(1)

References

(2)

Stylized Facts Study through a Multi-Agent Based Simulation of an Artificial Stock Market

(14)

Zahra Kodia

Lamjed Ben Said

Khaled Ghedira

1 Introduction

(1)

2 The Micro/Macro Level of the Stock Market

(6)

2.1 Trader Transaction Protocol

(2)

2.2 New Cognitive Investor's Model

(4)

2.3 Social Networks and Interactions

(1)

3 Experiments and Results

(3)

4 Conclusion

(1)

References

(4)

Part II Auctions

A Variable Bid Increment Algorithm for Reverse English Auction

(12)

Imene Brigui-Chtioui

Suzanne Pinson

1 Introduction

(1)

2 Related Works

(2)

3 Auction Protocol

(1)

4 Auction Model

(2)

4.1 Multi-Agent Reverse English Auction Architecture

(1)

4.2 Preference Model

(1)

4.3 Aggregation Model

(1)

5 Anytime Counterproposal Definition

(3)

5.1 Propositions

(1)

5.2 Properties

(1)

6 Conclusion

(1)

References

(2)

Co-evolutionary Agents in Combinatorial Sealed-bid Auctions for Spectrum Licenses Markets

(12)

Asuncion Mochon

Yago Saez

Jose Luis Gomez-Barroso

Pedro Isasi

1 Introduction

(1)

2 The Combinatorial First-Price Sealed-Bid Auction

(1)

3 The Scenarios

(1)

4 Bidding by Means of Agent-Based Co-Evolutionary Learning

(2)

5 Analysis of the Results

(2)

6 Conclusions and Future Work

(1)

References

(4)

The Effect of Transaction Costs on Artificial Continuous Double Auction Markets

(12)

Marta Posada

Cesareo Hernandez

1 Introduction

(1)

2 The Agent-Based CDA Market Model

(3)

2.1 The Institution

(1)

2.2 The Environment

(1)

2.3 Agent's Behavior

(1)

3 The Experiments

(1)

4 Measures and Main Results

(2)

4.1 Market Efficiency

(1)

4.2 Price Convergence

(1)

5 Conclusions

(2)

References

(3)

Part III Networks

The Rise and Fall of Trust Networks

(12)

Kartik Anand

Prasanna Gai

Matteo Marsili

1 Introduction

(3)

2 The Model

(2)

2.1 Foreclosure Game

(1)

3 Results

(3)

4 Discussion

(1)

5 Appendix: The Algorithm

(2)

References

(1)

Simulations on Correlated Behavior and Social Learning

(12)

Andrea Blasco

Paolo Pin

1 Introduction

(2)

2 The Model

(1)

3 Simulations on Networks

(5)

4 Discussion

(1)

Appendix

(1)

References

(2)

Technology Shocks and Trade in a Network

101

(14)

Davoud Taghawi-Nejad

1 Introduction

101

(1)

2 The Model

102

(7)

2.1 Agents

102

(1)

2.2 Rounds and Agents' Actions

103

(6)

3 Analysis of the Agent-Based Model

109

(2)

3.1 Business Cycles

110

(1)

4 Growth in a Non-Growth Model

111

(1)

5 Conclusion

111

(1)

References

112

(3)

Part IV Management

The (Beneficial) Role of Informational Imperfections in Enhancing Organisational Performance

115

(12)

Friederike Wall

1 Introduction

115

(1)

2 Model

116

(4)

2.1 Organisational Structure

117

(1)

2.2 Informational Imperfections

118

(2)

3 Results

120

(1)

4 Interpretation

121

(4)

5 Conclusion

125

(1)

References

125

(2)

Social Interactions and Innovation: Simulation Based on an Agent-Based Modular Economy

127

(12)

Bin-Tzong Chie

Shu-Heng Chen

1 Introduction: The Purpose of this Study

127

(1)

2 Foundation of the Work

128

(2)

3 Simulation Design

130

(2)

4 Simulation Results

132

(5)

4.1 Competitiveness Dynamics: A Macroscopic View

132

(1)

4.2 Competitiveness Dynamics: A Microscopic View

133

(1)

4.3 Competitiveness Dynamics: A Mesoscopic View

134

(2)

4.4 Other Performance Criteria

136

(1)

5 Concluding Remarks

137

(1)

References

138

(1)

Threshold Rule and Scaling Behavior in a Multi-Agent Supply Chain

139

(14)

Valerio Lacagnina

Davide Provenzano

1 Introduction

139

(2)

2 The Model

141

(4)

2.1 The Network Structure

141

(2)

2.2 Capital Flows

143

(1)

2.3 From Bankruptcy to Rebirth

144

(1)

3 Simulation Results

145

(3)

3.1 Parameters Choice

145

(1)

3.2 Firm Size Distribution

145

(3)

4 Conclusions

148

(2)

References

150

(3)

Part V Industry Sectors

Information and Search on the Housing Market: An Agent-Based Model

153

(12)

John McBreen

Florence Goffette-Nagot

Pablo Jensen

1 Introduction

154

(1)

2 Model

155

(2)

3 Results

157

(6)

3.1 Landlords' Information Level

158

(2)

3.2 Dynamically Varying the Discount Rate

160

(3)

4 Conclusion

163

(1)

5 Appendix: Initialisation

164

(1)

References

164

(1)

Adaptation of Investments in the Pharmaceutical Industry

165

(12)

Tino Schutte

1 Introduction

165

(1)

2 Modeling product market competition

166

(5)

2.1 Modeling the Supply Side

167

(2)

2.2 Modeling the Demand Side

169

(1)

2.3 Statistical Variables

170

(1)

2.4 Model Validation

170

(1)

3 Simulating Investment Adjustments

171

(4)

3.1 Success of Strategies: Innovative Firms

173

(1)

3.2 Success of Strategies: Imitative Firms

174

(1)

4 Conclusions

175

(1)

References

176

(1)

An Agent-Based Information Management Model of the Chinese Pig Sector

177

(14)

Sjoukje A. Osinga

Mark R. Kramer

Gert Jan Hofstede

Omid Roozmand

Adrie J.M. Beulens

1 Introduction and Background Literature

177

(2)

2 Problem Definition

179

(2)

3 Methodology

181

(2)

4 Simulation Experiments and Results

183

(4)

5 Conclusions and Discussion

187

(1)

References

187

(4)

Part VI Macroeconomics

Wealth Distribution Evolution in an Agent-Based Computational Economy

191

(12)

Victor Romanov

Dmitry Yakovlev

Anna Lelchuk

1 Introduction

191

(1)

2 Equilibrium Wealth Distribution Models

192

(2)

3 Model Architecture

194

(2)

4 Agent Job Placement

196

(1)

5 Customer Behavior

197

(1)

6 Stock Market Functioning

198

(1)

7 Enterprise Investment Strategy

199

(1)

8 Results

199

(2)

References

201

(2)

Endogenous Credit Dynamics as Source of Business Cycles in the EURACE Model

203

(12)

Andrea Teglio

Marco Raberto

Silvano Cincotti

1 Introduction

203

(2)

2 The Model

205

(3)

2.1 Goods and Labor Markets

205

(2)

2.2 Credit and Financial Markets

207

(1)

3 Results

208

(4)

4 Concluding Remarks

212

(1)

References

213

(2)

Reinforcement Learning of Heterogeneous Private Agents in a Macroeconomic Policy Game

215

(14)

Mahdi Hemmati

Masoud Nili

Nasser Sadati

1 Introduction

215

(2)

2 Inflation-Unemployment Game with Heterogeneous Agents

217

(3)

2.1 The Model with Homogeneous Agents

217

(1)

2.2 Incorporation of Heterogeneous Agents

218

(2)

3 Modeling of Learning Private Agents

220

(3)

3.1 Why Reinforcement Learning?

220

(1)

3.2 Overview of Reinforcement Learning

221

(1)

3.3 Structure of our RL Agents

222

(1)

4 Simulation Results

223

(1)

5 Conclusion

224

(1)

References

225

(4)

Part VII Demographics and Culture

Towards an Agent-Based Model of the Economic Development Process: The Dynamics of the Fertility Rate

229

(12)

Gianfranco Giulioni

Edgardo Bucciarelli

1 Introduction

229

(2)

2 The Evolution of the Total Fertility Rate in Developed Countries

231

(1)

3 The Household's Problem

232

(3)

3.1 Analytical Insights

232

(2)

3.2 Numerical Investigation

234

(1)

4 The Agent-Based Model

235

(2)

5 Conclusions

237

(2)

References

239

(2)

An Agent-Supported Simulation of Labour and Financial Markets for Migration Processes

241

(12)

Nancy Ruiz

Vicente Botti

Adriana Giret

Vicente Julian

Oscar Alvarado

Victor Perez

Rosa M. Rodriguez

1 Introduction

242

(1)

2 Labour and Financial Market Models

243

(2)

2.1 Labour Market

244

(1)

2.2 Financial Market

245

(1)

3 Agent-Supported Simulation Architecture

245

(3)

3.1 Agent-Supported Labour Market

246

(1)

3.2 Agent-Supported Financial Market

247

(1)

4 ARGOS: An Agent-based Demonstrator

248

(1)

5 Experimentation

249

(2)

6 Conclusions

251

(1)

References

252

(1)

Sensitivity Analysis of an Agent-Based Model of Culture's Consequences for Trade

253

Saskia L.G.E. Burgers

Gert Jan Hofstede

Catholijn M. Jonker

Tim Verwaart

1 Introduction

253

(2)

2 Trading Agents with Cultural Background

255

(1)

3 Sensitivity Analysis Approach

256

(2)

4 Results

258

(5)

4.1 Probability that Transactions Occur

258

(2)

4.2 Sensitivity Analysis

260

(2)

4.3 Differences between Cultures

262

(1)

4.4 Aggregate and Individual Level

263

(1)

5 Conclusion

263

(1)

References

264

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