Agent-based methods in economics and finance : simulations in Swarm / edited by Francesco Luna and Alessandro Perrone.

Format:

Book

Contributor:

Luna, Francesco, 1963-

Perrone, Alessandro.

Series:

Advances in computational economics ; v. 17.

Advances in computational economics ; v. 17

Language:

English

Subjects (All):

Economics--Computer simulation.

Economics.

Economics--Mathematical models.

Physical Description:

xviii, 306 pages : illustrations ; 24 cm.

Place of Publication:

Boston : Kluwer Academic Publishers, [2002]

Contents:

I.1 Evolution and continuity in a competitive environment xxvii

Part I A modest proposal ...

1 Prospect for an Economics Framework for Swarm / Charlotte Bruun 3

1.2 Swarm and the Tower of Babel 4

1.3 What's in a Framework? 12

1.4 Collecting Building Blocks for a Framework for Economics 15

1.5 An Economics Framework 23

1.6 Testing our virtual framework 26

Part II New tools

2 Automated Trading Experiments with MAML / Laszlo Gulyas, Tibor Vincze 39

2.2 Agents that Negotiate 40

2.3 The Multi-Agent Modeling Language 44

2.4 Preliminary Results 55

3 VSB - Visual Swarm Builder - A Visual tool for Swarm Agent Based Environment / Alessandro Perrone, Marco Tenuti 63

3.2 The Visual Swarm Builder - A Short Overview 66

3.3 Working with VSB 67

3.4 Tutorial - Examples with VSB 76

3.5 The goal of using a tool like VSB 84

3.6 Future Works 84

4 SWIEE - a Swarm Web Interface for Experimental Economics / Riccardo Boero 87

4.2 SWIEE Basics 89

4.3 The Prisoner's Dilemma 95

4.4 Making Experiments on the Internet 103

4.5 Future Developments 105

Part III Financial applications

5 Contagion of Financial Crises un- der Local and Global Networks / Alessandra Cassar, Nigel Duffy 111

5.2 The Bank Avalanche Model 114

5.3 Financial Crises on Networks 118

5.4 Model Implementation in Swarm 121

6 Simulating Fractal Financial Markets / Marco Corazza, Alessandro Perrone 133

6.1 Introduction and motivations 134

6.2 Fractal probability laws for financial asset returns 137

6.3 Basics for a possible fractal financial economics 140

6.4 The market dynamical model 143

6.5 The agent-based approach 146

6.6 Concluding remarks and open questions 152

7 Growing Theories from the "Bottom Up". A Simple Entry-Exit Model / Domenico Delli Gatti, Mauro Gallegati, Roberto Leombruni 157

7.2 The base model 159

7.3 Simulations 170

8 Cognitive Agents Behaving in a Simple Stock Market Structure / Pietro Terna 187

8.2 "Minded" or "no minded" agents in our models 190

8.3 The artificial experiment environment 191

8.4 Basic runs: random agents only 195

8.5 Introducing other types of agents 198

8.6 Agents applying ANN estimates of future prices 203

8.7 A mixed basic case, with stop loss agents and agents applying ANN estimates 207

8.8 The structure of the CT cognitive agents 207

8.9 The behavior of the CT cognitive agents 219

Part IV Other contributions

9 Production Partnerships Formation with Heterogeneous Agents: a Simulation in Swarm / Davide Fiaschi, Nicolas Garrido, Pier Mario Pacini 231

9.2 The model 234

9.3 Simulation framework 238

9.4 Swarm implementation 240

9.5 Numerical experiments 243

Appendix Genetic Algorithms 258

A.1 Encoding 259

A.2 Selection 259

A.3 Cross-over 259

A.4 Mutation 259

A.5 Setting of the parameters in the simulations 260

10 Casino World: An Agent-based Model with Heterogeneous Risk Preferences and Adaptive Behavior / Michael Harrington, Darold Higa 263

10.2 Standard Economic Models of Human Behavior 265

10.3 A More Refined Model of Human Behavior 268

10.4 Casino World - The Basic Model 271

10.5 The Play 272

10.6 Adaptive Strategies 273

10.7 Results 274

10.8 Future Developments 277

11 Search in Artificial Labour Markets: a Simulation Study / Massimo Daniele Sapienza, Magda Fontana 283

11.2 An overview of the literature: building blocks 285

11.3 An artificial labour market: Labour Sim 286

11.4 The model 286

11.5 The Benchmark 288

11.6 The Labour Net as an artificial labour market 292

11.7 Simulations 294

11.8 Learning and skill mismatch effects 301.

Notes:

Includes bibliographical references and index.

ISBN:

0792374193

OCLC:

47849429