Artificial Markets Modeling: Methods and Applications

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Andrea Consiglio
Springer Science & Business Media, Aug 16, 2007 - Business & Economics - 279 pages
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Agent-based computational modeling with its intrinsic multidisciplinary approach is gaining increasing recognition in the social sciences, particularly in economics, business and finance. The methodology is now widely used to compute analytical models numerically and test them for departures from theoretical assumptions, and to provide stand-alone simulation models for problems that are analytically intractable.This volume is devoted to recent contributions to the field from both the social sciences and computer sciences. It presents applications of agent-based computational methodologies and tools in the social sciences, focusing strongly on the uses, requirements and constraints of agent-based models employed by social scientists. Topics include agent-based macroeconomics, the emergence of norms and conventions, the dynamics of social and economic networks, and behavioral models in financial markets.

 

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Contents

Macroeconomic Issues
2
Beyond the Static Money Multiplier In Search of a Dynamic Theory of Money Michele Berardi
3
Macroeconomic Effects of the Interest Rate LevelGrowth and Fluctuations in an Economy with Bank Capital Adequacy Standards Gianfranco Giulioni
17
Monetary Policy Experiments in an Artificial MultiMarket Economy with Reservation Wages Marco Raberto Andrea Teglio and Silvano Cincotti
33
Market Mechanisms and Agents Behavior
45
Testing Double Auction as a Component Within a Generic Market Model Architecture Julien Derveeuw Bruno Beaufils Philippe Mathieu and Olivier ...
46
A Conceptual Framework for the Evaluation of AgentBased Trading and Technical Analysis Olivier Brandouy and Philippe Mathieu
63
Which Market Protocols Facilitate Fair Trading? Marco LiCalzi and Paolo Pellizzari
80
Analysis of Economic and Social Networks
154
A Note on Symmetry in Job Contact Networks Andrea Mario Lavezzi and Nicola Meccheri
157
Innovation and Knowledge Spillovers in a Networked Industry Jose I Santos Ricardo del Olmoand Javier Pajares
170
Heterogeneous Agents with Local Social Influence Networks Path Dependence and Plurality of Equilibria in the ACE Noiseless Case Denis Phan
181
EconomyDriven Shaping of Social Networks and Emerging Class Behaviors Philippe Caillou Frederic Dubut and Michele Sebag
195
Group Effect Productivity and Segregation Optimality Raul Conejeros and Miguel Vargas
209
The Grass is Always Greener on the Other Side of the Fence The Effect of Misperceived Signalling in a Network Formation Process Simone Giansant...
223
Methodological Issues and Applications
235

Market Dynamics and Efficiency
98
An Artificial Economics View of the Walrasian and Marshallian Stability Marta Posada Cesareo Hernandez and Adolfo LopezParedes
99
The Performance of OptionTrading Software Agents Initial Results Omar Baqueiro Wiebe Van der Hoek and Peter McBurney
113
Studies on the Impact of the Option Market on the Underlying Stock Market Sabrina Ecca Mario Locci and Michele Marchesi
126
On Rational Noise Trading and Market Impact Florian Hauser
141
Market Selection of Competent Venture Capitalists David Mas
236
A Binary Particle Swarm Optimization Algorithm for a Double Auction Market Calogero Vetro and Domenico Tegolo
249
BetterReply Strategies with Bounded Recall Andriy Zapechelnyuk
259
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