31,550 research outputs found
Prospects for large-scale financial systems simulation
As the 21st century unfolds, we find ourselves having to control, support, manage or otherwise cope with large-scale complex adaptive systems to an extent that is unprecedented in human history. Whether we are concerned with issues of food security, infrastructural resilience, climate change, health care, web science, security, or financial stability, we face problems that combine scale, connectivity, adaptive dynamics, and criticality. Complex systems simulation is emerging as the key scientific tool for dealing with such complex adaptive systems. Although a relatively new paradigm, it is one that has already established a track record in fields as varied as ecology (Grimm and Railsback, 2005), transport (Nagel et al., 1999), neuroscience (Markram, 2006), and ICT (Bullock and Cliff, 2004). In this report, we consider the application of simulation methodologies to financial systems, assessing the prospects for continued progress in this line of research
Spatial interactions in agent-based modeling
Agent Based Modeling (ABM) has become a widespread approach to model complex
interactions. In this chapter after briefly summarizing some features of ABM
the different approaches in modeling spatial interactions are discussed.
It is stressed that agents can interact either indirectly through a shared
environment and/or directly with each other. In such an approach, higher-order
variables such as commodity prices, population dynamics or even institutions,
are not exogenously specified but instead are seen as the results of
interactions. It is highlighted in the chapter that the understanding of
patterns emerging from such spatial interaction between agents is a key problem
as much as their description through analytical or simulation means.
The chapter reviews different approaches for modeling agents' behavior,
taking into account either explicit spatial (lattice based) structures or
networks. Some emphasis is placed on recent ABM as applied to the description
of the dynamics of the geographical distribution of economic activities, - out
of equilibrium. The Eurace@Unibi Model, an agent-based macroeconomic model with
spatial structure, is used to illustrate the potential of such an approach for
spatial policy analysis.Comment: 26 pages, 5 figures, 105 references; a chapter prepared for the book
"Complexity and Geographical Economics - Topics and Tools", P. Commendatore,
S.S. Kayam and I. Kubin, Eds. (Springer, in press, 2014
Why Money Trickles Up - Wealth & Income Distributions
This paper combines ideas from classical economics and modern finance with
the general Lotka-Volterra models of Levy & Solomon to provide straightforward
explanations of wealth and income distributions. Using a simple and realistic
economic formulation, the distributions of both wealth and income are fully
explained. Both the power tail and the log-normal like body are fully captured.
It is of note that the full distribution, including the power law tail, is
created via the use of absolutely identical agents. It is further demonstrated
that a simple scheme of compulsory saving could eliminate poverty at little
cost to the taxpayer.Comment: 45 pages of text, 36 figure
Good speciation and endogenous business cycles in a constraint satisfaction macroeconomic model
We introduce a prototype agent-based model of the macroeconomy, with
budgetary constraints at its core. The model is related to a class of
constraint satisfaction problems (CSPs), which has been thoroughly investigated
in computer science. The CSP paradigm allows us to propose an alternative
price-setting mechanism: given agents' preferences and budgets, what set of
prices satisfies the maximum number of agents? Such an approach permits the
coupling of production and output within the economy to the allowed level of
debt in a simplified framework. Within our model, we identify three different
regimes upon varying the amount of debt that each agent can accumulate before
defaulting. In presence of a very loose constraint on debt, endogenous crises
leading to waves of synchronized bankruptcies are present. In the opposite
regime of very tight debt constraining, the bankruptcy rate is extremely high
and the economy remains structure-less. In an intermediate regime, the economy
is stable with very low bankruptcy rate and no aggregate-level crises. This
third regime displays a rich phenomenology:the system spontaneously and
dynamically self-organizes in a set of cheap and expensive goods (i.e. some
kind of "speciation"), with switches triggered by random fluctuations and
feedback loops. Our analysis confirms the central role that debt levels play in
the stability of the economy. More generally, our model shows that constraints
at the individual scale can generate highly complex patterns at the aggregate
level.Comment: 14 Pages, 11 Figures. Updated Journal Referenc
Perpetual youth and endogenous labour supply: a problem and a possible solution
In the âperpetual youthâ overlapping-generations model of Blanchard and Yaari, if leisure is a ânormalâ good then some agents will have negative labour supply. We suggest a solution to this problem by using a modified version of Greenwood, Hercowitz and Huffmanâs utility function. The modification incorporates real money balances, so that the model may be used to analyse monetary as well as fiscal policy. In a Walrasian version of the economy, we show that increased government debt and increased government spending raise the interest rate and lower output, while an open-market operation to increase the money supply lowers the interest rate and raises output. JEL Classification: D91, E63Blanchard-Yaari overlapping generations, endogenous labour supply
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