Econometrics

Download Artificial Markets Modeling by Consiglio A. (ed.) PDF

By Consiglio A. (ed.)

Agent-based computational modeling with its intrinsic multidisciplinary procedure is gaining expanding attractiveness within the social sciences, really in economics, company and finance. The method is now general to compute analytical versions numerically and attempt them for departures from theoretical assumptions, and to supply stand-alone simulation types for difficulties which are analytically intractable.This quantity is dedicated to contemporary contributions to the sphere from either the social sciences and machine sciences. It provides purposes of agent-based computational methodologies and instruments within the social sciences, focusing strongly at the makes use of, necessities and constraints of agent-based versions hired by means of social scientists. issues contain agent-based macroeconomics, the emergence of norms and conventions, the dynamics of social and monetary networks, and behavioral versions in monetary markets.

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5 Y (production) 250 200 150 100 50 0 1 100 200 300 400 500 t (time) Fig. 1. The dynamics of price and output for three different values of the monetary policy strength parameter φ. the interest rate at time t implies an increase of costs, and determines at the same time step an upward shift of the firm’s supply curve in the (Y,p) plane. Due to the fact that the aggregate demand curve at time t is not yet affected by this interest rise, the goods market clears at a higher price and at a lower quantity.

The aggregate demand is given by the sum of each household’s demand, which is modeled according to a rule of thumb proposed by Deaton (1991a,b), based on the assumption that households, if liquidity constrained, save in order to smooth consumption over time. The individual consumption rule has been adapted here to our framework. The firm borrows money from the central bank in the credit market in order to pay wages, the bank sets an the interest rate according to the policy rule. 1 Households Households take two key decisions in the model, determining the labor supply, according to their heterogeneous reservation wages, and how much to save or to consume in order to smooth consumption over time.

As we would like to compose any agents and markets models which emit or require different types of desires, we need to define a translation system to make this composition possible. Assuming that a direction is the minimum required to express an economic desire and that the maximum is a direction, a price and a quantity (which was deduced from our intensive literature investigation), it is possible to propose a first set of translators (which are called wrappers in computer science) that are required to allow communication between any agent model and any market model.

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