Artificial markets modeling : methods and applications - download pdf or read online

By Andrea Consiglio

ISBN-10: 3540731342

ISBN-13: 9783540731344

ISBN-10: 3540731350

ISBN-13: 9783540731351

This quantity gains contributions to agent-based computational modeling from the social sciences and machine sciences. It provides functions of methodologies and instruments, targeting the makes use of, specifications, and constraints of agent-based versions utilized by social scientists. themes contain agent-based macroeconomics, the emergence of norms and conventions, the dynamics of social and monetary networks, and behavioral types in monetary markets.

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Additional resources for Artificial markets modeling : methods and applications

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Raberto, S. M. Focardi, and M. Marchesi. Agent-based simulation of a financial market. Physica A, 299:320–328, 2001. M. Raberto, S. M. Focardi, and M. Marchesi. Traders’ long-run wealth in an artificial financial market. Computational Economics, 22:255–272, 2003. M. Raberto, S. Cincotti, C. M. Focardi, and M. Marchesi. Price formation in an artificial market: limit order book versus matching of supply and demand. Nonlinear Dynamics and Heterogenous Interacting Agents, 2005. , the management of financial portfolios using chartism or moving average indicators for instance) generally focuses on single “signals” giving the opportunity to buy or sell a financial commodity frequently a well diversified portfolio (see the extensive survey of Park and Irwin, 2004).

1, we identified that agents emit trading desires to the market, which are then interpreted according to market model trading rules. These desires, in artificial markets as well as on real ones, are defined by a composition of the three following characteristics: a direction, a price and a quantity. Obviously, the direction is the minimal requirement in order to get a valid desire (emitting a desire to a market without saying if one wants to buy or sell makes no sense). The two others desires properties (price and quantity) are optional according to the agent or market model.

Figure 1 points out the presence of price spikes and simultaneous falls of production; they occur when 3 Monetary Policy Experiments in an AMM Economy 41 the economy reaches its full capacity. In that case, the firm can not hire more workers to increase production and profits. Thus, obeying to its profits maximizing behavior, it has to rise the price. Consequently, consumers’ demand is depressed and this reduces the market clearing output of the economy. Furthermore, the price rise reduces the real wage and therefore the labor supply, which is a binding production factor when the economy is running at its full capacity.

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Artificial markets modeling : methods and applications by Andrea Consiglio


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