scholarly journals MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL

2008 ◽  
Vol 11 (07) ◽  
pp. 717-737 ◽  
Author(s):  
HARBIR LAMBA ◽  
TIM SEAMAN
Keyword(s):  
Heterogeneous Agent ◽  
Agent Based ◽  
Agent Model ◽  
Fundamental Parameters ◽  
Market Participants ◽  
Information Stream ◽  
Momentum Trading ◽  
Real Market ◽  
Available Information ◽  
Parameter Values

We continue an investigation into a class of agent-based market models that are motivated by a psychologically-plausible form of bounded rationality. Some of the agents in an otherwise efficient hypothetical market are endowed with differing tolerances to the tension caused by being in the minority. This herding tendency may be due to purely psychological effects, momentum-trading strategies, or the rational response to perverse marketplace incentives. The resulting model has the important properties of being both very simple and insensitive to its small number of fundamental parameters. While it is most certainly a caricature market, with only boundedly rational traders and the globally available information stream being modeled directly, other market participants and effects are indirectly replicated. We show that all of the most important "stylized facts" of real market statistics are reproduced by this model. Another useful aspect of the model is that, for certain parameter values, it reduces to a standard efficient-market system. This allows us to isolate and observe the effects of particular kinds of non-rationality. To this end, we consider the effects of different asymmetries in agent behavior and show that one in particular leads to skew statistics consistent with those seen in some real financial markets.

scholarly journals Möglichkeiten und Grenzen der Analyse von Holzmärkten

2012 ◽  
Vol 163 (10) ◽  
pp. 396-400 ◽  
Author(s):  
Roland Olschewski ◽  
Oliver Thees
Keyword(s):  
State Of The Art ◽  
Agent Based Modeling ◽  
Behavioural Economics ◽  
Future Market ◽  
Individual Behaviour ◽  
Agent Based ◽  
Market Participants ◽  
Real Market ◽  
The Individual ◽  
Forest Economic

Chances and limits of the analysis of wood markets Recent approaches of behavioural economics and agent-based modeling can enhance knowledge about market processes and results and widen the focus for the assessment of future market developments by emphasising the individual behaviour of market participants and scenario techniques. In this article we resume possible contributions of the particular approaches to better describe, explain and forecast real market developments. The exposition is based on state-of-the-art knowledge and reflects insights gained during the 8th Forest Economic Seminar in autumn 2011, where researchers and practitioners presented their findings.

From Minority Games to $-Games

2018 ◽  
Author(s):  
Jorgen Vitting Andersen
Keyword(s):  
Rational Expectations ◽  
Agent Based Modeling ◽  
Heterogeneous Agent ◽  
Agent Based ◽  
Standard Methods ◽  
The Core ◽  
Minority Games ◽  
Real Market ◽  
Traditional Approaches ◽  
New Framework

This chapter argues for the use of game theory or agent-based modeling to go beyond the standard methods used in traditional approaches to finance. The theory of rational expectations is at the core of most theories of finance in use since the 1970s, but it is also very unrealistic. This chapter first introduces some very general thoughts about elements needed in a new framework for finance. Then a few concrete examples of heterogeneous agent-based models will be introduced, and several of their main results will be discussed. Finally, applications and methods to real-market data will be introduced, notably the idea of “decoupling” to explain the short-lived synchronization of investors.

scholarly journals A Novel Multi-Agent Model for Robustness with Component Failure and Malware Propagation in Wireless Sensor Networks

Sensors ◽  
2021 ◽  
Vol 21 (14) ◽  
pp. 4873
Author(s):  
Biao Xu ◽  
Minyan Lu ◽  
Hong Zhang ◽  
Cong Pan
Keyword(s):  
Wireless Sensor ◽  
Component Reliability ◽  
Agent Based ◽  
Agent Model ◽  
Cross Domain ◽  
Malware Propagation ◽  
Network Topologies ◽  
Multi Agent ◽  
Agent Characteristics ◽  
Information Domain

A wireless sensor network (WSN) is a group of sensors connected with a wireless communications infrastructure designed to monitor and send collected data to the primary server. The WSN is the cornerstone of the Internet of Things (IoT) and Industry 4.0. Robustness is an essential characteristic of WSN that enables reliable functionalities to end customers. However, existing approaches primarily focus on component reliability and malware propagation, while the robustness and security of cascading failures between the physical domain and the information domain are usually ignored. This paper proposes a cross-domain agent-based model to analyze the connectivity robustness of a system in the malware propagation process. The agent characteristics and transition rules are also described in detail. To verify the practicality of the model, three scenarios based on different network topologies are proposed. Finally, the robustness of the scenarios and the topologies are discussed.

scholarly journals Testing temporal changes in allele frequencies: a simulation approach

2010 ◽  
Vol 92 (4) ◽  
pp. 309-320 ◽  
Author(s):  
EDSON SANDOVAL-CASTELLANOS
Keyword(s):  
Molecular Data ◽  
Temporal Changes ◽  
Allele Frequencies ◽  
Small Populations ◽  
Simulation Approach ◽  
Simulation Test ◽  
Agent Based ◽  
Binomial Sampling ◽  
Molecular Databases ◽  
Parameter Values

SummaryAnalysis of the temporal variation in allele frequencies is useful for studying microevolutionary processes. However, many statistical methods routinely used to test temporal changes in allele frequencies fail to establish a proper hypothesis or have theoretical or practical limitations. Here, a Bayesian statistical test is proposed in which the distribution of the distances among sampling frequencies is approached with computer simulations, and hypergeometric sampling is considered instead of binomial sampling. To validate the test and compare its performance with other tests, agent-based model simulations were run for a variety of scenarios, and two real molecular databases were analysed. The results showed that the simulation test (ST) maintained the significance value used (α=0·05) for a vast combination of parameter values, whereas other tests were sensitive to the effect of genetic drift or binomial sampling. The differences between binomial and hypergeometric sampling were more complex than expected, and a novel effect was described. This study suggests that the ST is especially useful for studies with small populations and many alleles, as in microsatellite or sequencing molecular data.

scholarly journals Modelling and Simulation of Urban Mobile Agents for Analyzing Mixed Flows in Urban Pedestrian Space

2020 ◽  
Vol 5 ◽  
Author(s):  
Toshiyuki Kaneda ◽  
Masahiro Shohmitsu ◽  
Wataru Sasabe ◽  
Yuanyuan Liu
Keyword(s):  
Obstacle Avoidance ◽  
Mobile Agents ◽  
Heterogeneous Agent ◽  
Selection Probability ◽  
Agent Model ◽  
Systems Research ◽  
Mixed Flows ◽  
Disaster Scenario ◽  
The Right ◽  
Pedestrian Space

Since the 1990s, complex systems research has been developing agent simulations to explain the phenomena observed in urban spaces. In recent years, agent-based modelling has often been employed to successfully simulate pedestrian behaviour. In such studies, explanations using pedestrian counter flow phases have appeared sporadically. Most state-of-the-art models, however, do not generally consider mobile agents other than pedestrians or counter flows in at least two directions. In this paper, we consider agents such as pedestrians, vehicles, wheelchairs, bicycles and so on in urban pedestrian space (UPS), which we call urban mobile agents (UMAs). The aim of this research is to develop a simulation platform to support urban simulation research. The models of rule-based UMAs that we have been developing are used to analyze the micro-meso behaviours of the mixed flows in UPS. The content of this class of agent includes the pedestrian agent as per the simplified agent simulation of pedestrian flow (sASPF) rules as well as the vehicle agent and bicycle agent in the UPS, including a wheelchair agent in the coming research. Using these models, we explore the following approaches: (a) theoretical analyses of phase transitions such as laminar flow formation or blockade of pedestrian counter flows, with clarification of the relationship between the degree of pedestrian global density and the bias of the diagonal stepping probability, which is the right or left selection probability of avoidance behaviour; (b) the implementation of obstacle avoidance rules in the sASPF pedestrian agent model, and their comparison with published evacuation experiment results, so as to evaluate the performance of the obstacle avoidance function; (c) the development of a vehicle agent model to simulate pedestrian-vehicle mixed flow at a crossroads assuming a disaster scenario; (d) the development of a bicycle agent model by extending sASPF rules; and (e) consideration of a conceptual framework for interaction fields representing heterogeneous agent mixed flows, including vehicle, bicycle, pedestrian and wheelchair agents.

scholarly journals xml2jupyter: Mapping parameters between XML and Jupyter widgets

2019 ◽  
Author(s):  
Randy Heiland ◽  
Daniel Mishler ◽  
Tyler Zhang ◽  
Eric Bower ◽  
Paul Macklin
Keyword(s):  
Programming Languages ◽  
Markup Language ◽  
Command Line ◽  
Graphical Interface ◽  
Web Browser ◽  
Agent Based ◽  
Mapping Parameters ◽  
Extensible Markup ◽  
Parameter Values ◽  
Python Package

AbstractJupyter Notebooks [4, 6] provide executable documents (in a variety of programming languages) that can be run in a web browser. When a notebook contains graphical widgets, it becomes an easy-to-use graphical user interface (GUI). Many scientific simulation packages use text-based configuration files to provide parameter values and run at the command line without a graphical interface. Manually editing these files to explore how different values affect a simulation can be burdensome for technical users, and impossible to use for those with other scientific backgrounds. xml2jupyter is a Python package that addresses these scientific bottlenecks. It provides a mapping between configuration files, formatted in the Extensible Markup Language (XML), and Jupyter widgets. Widgets are automatically generated from the XML file and these can, optionally, be incorporated into a larger GUI for a simulation package, and optionally hosted on cloud resources. Users modify parameter values via the widgets, and the values are written to the XML configuration file which is input to the simulation’s command-line interface. xml2jupyter has been tested using PhysiCell [1], an open source, agent-based simulator for biology, and it is being used by students for classroom and research projects. In addition, we use xml2jupyter to help create Jupyter GUIs for PhysiCell-related applications running on nanoHUB [5].

Testing Market Reaction On Stock Market Delisting In Russia

2021 ◽  
Vol 15 (3) ◽  
pp. 14-27
Author(s):  
Елена Моисеевна Рогова ◽  
Maria Belousova
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Statistical Significance ◽  
Abnormal Returns ◽  
Global Market ◽  
Public Companies ◽  
Market Participants ◽  
Study Methodology ◽  
Available Information ◽  
The Impact

This paper expands the available information on the effects of delisting in Russia, and represents a rare empirical analysis of the impact of external events on securities prices in this major global market. We seek to evaluate how stock prices of competing companies fluctuate around the dates of stock market delisting announcements and completion. We analyse stock prices as correlated with company delisting events from 2004 to 2019 on 552 companies on the Russian MOEX Exchange. The event study methodology is used to evaluate the abnormal returns of rival companies close to relevant delisting dates. These data were checked for statistical significance using the standardised Patell residual test. The results indicate a significant competitive effect on stock prices both on the dates of delisting announcement and on completion, with more significant returns close to announcement dates. These effects were found to influence the prospects not just of individual groups of companies, but of all market participants. We may conclude from our results that delisting is not an event limited in effect to only one company, but impacts the industry as a whole, temporarily changing its value. As such, it will interest both shareholders and managers of public companies, and any participants of industries in which delisting occurs.

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