Agent-based economic models and econometrics

2012 ◽  
Vol 27 (2) ◽  
pp. 187-219 ◽  
Author(s):  
Shu-Heng Chen ◽  
Chia-Ling Chang ◽  
Ye-Rong Du
Keyword(s):  
Financial Markets ◽  
Agent Based Modeling ◽  
Computational Finance ◽  
Agent Based ◽  
Second Stage ◽  
The Past ◽  
Stage Development ◽  
Three Stages ◽  
The One ◽  
Two Stages

AbstractThis paper reviews the development of agent-based (computational) economics (ACE) from an econometrics viewpoint. The review comprises three stages, characterizing the past, the present, and the future of this development. The first two stages can be interpreted as an attempt to build the econometric foundation of ACE, and, through that, enrich its empirical content. The second stage may then invoke a reverse reflection on the possible agent-based foundation of econometrics. While ACE modeling has been applied to different branches of economics, the one, and probably the only one, which is able to provide evidence of this three-stage development is finance or financial economics. We will, therefore, focus our review only on the literature of agent-based computational finance, or, more specifically, the agent-based modeling of financial markets.

Signs of polichnous deformations in microstructures of carbonate rocks of the Katav-Yuryuzan zone of transpression (Southern Urals)

2020 ◽  
pp. 13-21
Author(s):  
A. V. Tevelev ◽  
A. A. Borisenko ◽  
M. I. Erokhina ◽  
S. S. Popov ◽  
I. A. Kosheleva ◽  
...  
Keyword(s):  
Simple Shear ◽  
Carbonate Rocks ◽  
Pure Shear ◽  
Southern Urals ◽  
Second Stage ◽  
The Third ◽  
The North ◽  
Third Stage ◽  
Three Stages ◽  
Two Stages

The Katav-Ivanovsk transpression zone experienced at least two stages of tectonic deformations, and the sequence of deformations was approximately the same throughout the entire zone — from the Bakal-Satka fault in the south to the Suleimsky fault in the north. Three stages of the formation of parageneses were identified. The parageneses of the first and the second stages were formed in a pure shear environment, and the paragenesis of the third stage — in a simple shear environment. There are stylolites (S1) parallel to bedding, and mineral veins (V1) in the paragenesis of the first stage. Paragenesis of the second stage combines stylolites (S2), mineral veins (V2) and intergranular cleavage (S2). In paragenesis of the third stage were distinguished schistosity (S3), milonites (S3), cataclasites, mica packets (SC-textures), and the rotation structures of porphyroblasts.

Analyzing the Influences of Passive Investment Strategies on Financial Markets via Agent-Based Modeling

2008 ◽  
pp. 224-238 ◽  
Author(s):  
Hiroshi Takahashi ◽  
Satoru Takahashi ◽  
Takao Terano
Keyword(s):  
Asset Pricing ◽  
Financial Markets ◽  
Financial Market ◽  
Investment Strategy ◽  
Agent Based Modeling ◽  
Investment Strategies ◽  
Agent Based Model ◽  
Efficient Market ◽  
Agent Based ◽  
Price Fluctuations

This chapter develops an agent-based model to analyze microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. This analysis focuses on the effects of Passive Investment Strategy in a financial market. From the extensive analyses, we have found that (1) Passive Investment Strategy is valid in a realistic efficient market, however, it could have bad influences such as instability of market and inadequate asset pricing deviations, and (2) under certain assumptions, Passive Investment Strategy and Active Investment Strategy could coexist in a Financial Market.

Agent-Based Modeling of Gates Assignment System

2012 ◽  
Vol 235 ◽  
pp. 368-372
Author(s):  
Wei Gao ◽  
Hui Min Huang
Keyword(s):  
Structure And Function ◽  
Agent Based Modeling ◽  
Agent Technology ◽  
Working Process ◽  
Flight Delays ◽  
Agent Based ◽  
Gate Assignment ◽  
Plan Making ◽  
And Function ◽  
Two Stages

The optimization of Gate Assignment System is to reduce flight delays and improve the operation efficiency of airports, due to many complex factors and vulnerably sudden situation. Through analyzing the working process of gates assignment system and the rules of Agent technology, Agent concept is introduced into Gate Assignment System and a modeling architecture of Agent-based system is put forward, as well as the structure and function of each Agent is declared and the communication and collaboration mechanism among Agents is recommended. Additionally, in the framework construction, the Agents interaction is divided into two stages, or plan making and plan implementing, in order to realize the real-time adjustment of the whole assignment system. The results could be references for other related studies.

Cytochemical and ultrastructural differences between intraspecific compatible and incompatible pollinations in Raphanus

1973 ◽  
Vol 183 (1070) ◽  
pp. 21-38 ◽  
Keyword(s):  
Pollen Tube ◽  
The Self ◽  
Self Incompatibility ◽  
Second Stage ◽  
Incompatible Pollen ◽  
Large Numbers ◽  
Third Stage ◽  
Incompatibility System ◽  
Three Stages ◽  
Two Stages

Examination of the behaviour of pollen on the style of Raphanus , following compatible and incompatible intraspecific pollinations, has revealed the self-incompatibility system in this species to be composed of at least three stages. The first, on which no information has been obtained in this study, involves the germination of the grain. The second stage concerns the ability of the pollen tube to penetrate the cuticle of the stigmatic papilla. It is possible that cutinase is deficient in incompatible pollen tubes but, in most instances, the outer layers of the stigmatic wall are penetrated. The third stage involves the interaction of substances secreted by the pollen tube with products of the stigmatic cytoplasm. The interaction is swiftly followed by the deposition, in the stigma, of a layered callosic body. This is formed immediately under the point of penetration and takes about 6 h to develop fully. Development of the pollen tube ceases as the first layers of callose are laid down. It is possible that the substances in the pollen responsible for the initiation of the second two stages are held in the tapetally synthesized tryphine, thus accounting for the sporophytic control of pollen compatibility in this species. The mature stigma contains large numbers of crystalline protein bodies, but it is not known whether they play any role in the self-incompatibility system.

TRADER SPECIES WITH DIFFERENT DECISION STRATEGIES AND PRICE DYNAMICS IN FINANCIAL MARKETS: AN AGENT-BASED MODELING PERSPECTIVE

2010 ◽  
Vol 09 (02) ◽  
pp. 327-344 ◽  
Author(s):  
WEI ZHANG ◽  
GEN LI ◽  
XIONG XIONG ◽  
YONG JIE ZHANG
Keyword(s):  
Financial Markets ◽  
Asset Price ◽  
Agent Based Modeling ◽  
Price Dynamics ◽  
Trading Behavior ◽  
Agent Based ◽  
Price Process ◽  
Trading Decisions ◽  
The Individual ◽  
Analytical Approaches

Investors with different trading strategies can be viewed as different "species" in financial markets. Since the asset price is ultimately determined by the individual trading decisions, the combination and evolution of different trader species in financial market ecology will have great impact to the price dynamics. Considering the limitations and shortcomings of traditional analytical approaches in financial economics in dealing with this issue, an agent-based computational model is introduced in this paper. With the co-existence of 3-type trader species that make different decisions based on their own beliefs and constrains, it is found that although rational speculation destabilizes the price process with the presence of positive feedback strategy, as suggested in the literature, introducing extra noise trading behavior to the market will make the price process back to a more stationary situation, meaning that the market will be healthier if more diversified trader species co-exist in the markets.

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