Economics with Heterogeneous Interacting Agents : A Practical Guide to Agent-Based Modeling.
Caiani, Alessandro.
Economics with Heterogeneous Interacting Agents : A Practical Guide to Agent-Based Modeling. - 1st ed. - 1 online resource (219 pages) - New Economic Windows Series . - New Economic Windows Series .
Intro -- Foreword -- Contents -- Contributors -- Introduction -- 1 Getting Started: The Aggregation Conundrums and Basic Toolkits of Agent Based Modeling -- 1.1 Understanding Heterogeneity and Interaction in Economic Models -- 1.1.1 Aggregate Models with Boundlessly Rational Agents -- 1.1.2 The Aggregation Problem -- 1.1.3 The Standard Approach and the Aggregation Problem -- 1.1.4 A Didactic Example Comparing ABM with the Standard Approach -- 1.1.5 Behavioral Rules and Aggregation in ABM -- 1.1.6 Aggregation in ABM with Network Effects -- 1.2 Basic Macroeconomic Agent Based Tools -- 1.2.1 Macroeconomic Building Blocks -- 1.2.2 Expectations -- 1.2.3 Production and Credit -- 1.2.4 Innovation -- 1.2.5 Consumption -- 1.2.6 Government and Central Bank -- 1.2.7 Exit and Enter -- 1.3 Basic Financial Agent Based Tools -- 1.3.1 Financial Building Blocks -- 1.3.2 Microfoundations and Behavioural Rules -- 1.3.3 Market Microstructure -- 2 A Simple Model of Business Fluctuations with Heterogeneous Interacting Agents and Credit Networks -- 2.1 Getting Started: Implementing a Toy Model -- 2.1.1 Model Theoretical Setup -- 2.1.2 Implementing the Model Using R -- 2.1.3 Simulating the Model -- 2.1.4 Some Variations -- 2.1.5 Multiple Simulations -- 2.1.6 A Large Computational Experiment -- 2.1.7 Sensitivity Analysis -- 2.1.8 A Policy Experiment -- 2.2 Going Further: Heterogeneous Agents and Credit Networks -- 2.2.1 Model Setup -- 2.2.2 Implementing the Model with R -- 2.2.3 Implementing the Model in R -- 2.2.4 Sensitivity -- 2.2.5 Policy Experiment -- 2.2.6 Network Analysis -- 2.2.7 Network Statistics -- 2.3 A Calibration Experiment -- 2.4 Exercise -- 3 Modeling Financial Markets in an Agent-Based Framework -- 3.1 Introduction -- 3.2 The Model -- 3.2.1 The Market Microstructure -- 3.2.2 The Communication Network. 3.3 Implementing the Financial Model: Preliminary Steps -- 3.4 Order of Events in the Simplified Financial Model -- 3.5 Implementing the Model in C -- 3.5.1 Basic Structure of a C Source Code -- 3.6 Implementing the C Source Code -- 3.6.1 Introduction -- 3.6.2 Initialize Variables -- 3.6.3 The Matrix Functions -- 3.6.4 The Trade Function -- 3.6.5 The Check_Book Function -- 3.7 Simulations and Results -- 3.7.1 Returns and Volatility -- 3.7.2 Book and Order Flows -- 3.7.3 Discussion: The Network Analysis -- 3.8 Exercises -- 3.9 Appendix: Hill Estimator -- 3.10 Appendix: Modified R/S and Long Memory -- 4 Heavy-Tailed Distributions for Agent-Based Economic Modelling -- 4.1 Introduction -- 4.2 Heavy-Tailed Distributions -- 4.3 Power-Law Distributions -- 4.3.1 Some Basic Definitions and Properties -- 4.3.2 Recognizing Power-Law Distributions -- 4.3.3 Estimating Power-Law Distributional Parameters -- 4.3.4 Testing a Set of Data for Power-Law Distribution -- 4.3.5 Models of Generation of Power-Law Distributions -- 4.4 The Laplace Distribution -- 4.5 Exercise -- Conclusion -- References -- Index.
9783319440583
Management science.
Electronic books.
HB172.5
Economics with Heterogeneous Interacting Agents : A Practical Guide to Agent-Based Modeling. - 1st ed. - 1 online resource (219 pages) - New Economic Windows Series . - New Economic Windows Series .
Intro -- Foreword -- Contents -- Contributors -- Introduction -- 1 Getting Started: The Aggregation Conundrums and Basic Toolkits of Agent Based Modeling -- 1.1 Understanding Heterogeneity and Interaction in Economic Models -- 1.1.1 Aggregate Models with Boundlessly Rational Agents -- 1.1.2 The Aggregation Problem -- 1.1.3 The Standard Approach and the Aggregation Problem -- 1.1.4 A Didactic Example Comparing ABM with the Standard Approach -- 1.1.5 Behavioral Rules and Aggregation in ABM -- 1.1.6 Aggregation in ABM with Network Effects -- 1.2 Basic Macroeconomic Agent Based Tools -- 1.2.1 Macroeconomic Building Blocks -- 1.2.2 Expectations -- 1.2.3 Production and Credit -- 1.2.4 Innovation -- 1.2.5 Consumption -- 1.2.6 Government and Central Bank -- 1.2.7 Exit and Enter -- 1.3 Basic Financial Agent Based Tools -- 1.3.1 Financial Building Blocks -- 1.3.2 Microfoundations and Behavioural Rules -- 1.3.3 Market Microstructure -- 2 A Simple Model of Business Fluctuations with Heterogeneous Interacting Agents and Credit Networks -- 2.1 Getting Started: Implementing a Toy Model -- 2.1.1 Model Theoretical Setup -- 2.1.2 Implementing the Model Using R -- 2.1.3 Simulating the Model -- 2.1.4 Some Variations -- 2.1.5 Multiple Simulations -- 2.1.6 A Large Computational Experiment -- 2.1.7 Sensitivity Analysis -- 2.1.8 A Policy Experiment -- 2.2 Going Further: Heterogeneous Agents and Credit Networks -- 2.2.1 Model Setup -- 2.2.2 Implementing the Model with R -- 2.2.3 Implementing the Model in R -- 2.2.4 Sensitivity -- 2.2.5 Policy Experiment -- 2.2.6 Network Analysis -- 2.2.7 Network Statistics -- 2.3 A Calibration Experiment -- 2.4 Exercise -- 3 Modeling Financial Markets in an Agent-Based Framework -- 3.1 Introduction -- 3.2 The Model -- 3.2.1 The Market Microstructure -- 3.2.2 The Communication Network. 3.3 Implementing the Financial Model: Preliminary Steps -- 3.4 Order of Events in the Simplified Financial Model -- 3.5 Implementing the Model in C -- 3.5.1 Basic Structure of a C Source Code -- 3.6 Implementing the C Source Code -- 3.6.1 Introduction -- 3.6.2 Initialize Variables -- 3.6.3 The Matrix Functions -- 3.6.4 The Trade Function -- 3.6.5 The Check_Book Function -- 3.7 Simulations and Results -- 3.7.1 Returns and Volatility -- 3.7.2 Book and Order Flows -- 3.7.3 Discussion: The Network Analysis -- 3.8 Exercises -- 3.9 Appendix: Hill Estimator -- 3.10 Appendix: Modified R/S and Long Memory -- 4 Heavy-Tailed Distributions for Agent-Based Economic Modelling -- 4.1 Introduction -- 4.2 Heavy-Tailed Distributions -- 4.3 Power-Law Distributions -- 4.3.1 Some Basic Definitions and Properties -- 4.3.2 Recognizing Power-Law Distributions -- 4.3.3 Estimating Power-Law Distributional Parameters -- 4.3.4 Testing a Set of Data for Power-Law Distribution -- 4.3.5 Models of Generation of Power-Law Distributions -- 4.4 The Laplace Distribution -- 4.5 Exercise -- Conclusion -- References -- Index.
9783319440583
Management science.
Electronic books.
HB172.5