Critical Overview of Agent-Based Models for Economics

We present an overview of some representative Agent-Based Models in Economics. We discuss why and how agent-based models represent an important step in order to explain the dynamics and the statistical properties of financial markets beyond the Classical Theory of Economics. We perform a schematic analysis of several models with respect to some specific key categories such as agents' strategies, price evolution, number of agents, etc. In the conclusive part of this review we address some open questions and future perspectives and highlight the conceptual importance of some usually neglected topics, such as non-stationarity and the self-organization of financial markets.Comment: 51 pages, 9 figures, Proceedings of the School of Physics "E. Fermi", course CLXXVI, 2010, Varenn

Minimal Agent Based Model for Financial Markets II: Statistical Properties of the Linear and Multiplicative Dynamics

We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the Stylized Facts and their Self-Organization. The key elements are fundamentalist agents, chartist agents, herding dynamics and price behavior. The first two elements correspond to the competition between stability and instability tendencies in the market. The herding behavior governs the possibility of the agents to change strategy and it is a crucial element of this class of models. The linear approximation permits a simple interpretation of the model dynamics and, for many properties, it is possible to derive analytical results. The generalized non linear dynamics results to be extremely more sensible to the parameter space and much more difficult to analyze and control. The main results for the nature and Self-Organization of the Stylized Facts are, however, very similar in the two cases. The main peculiarity of the non linear dynamics is an enhancement of the fluctuations and a more marked evidence of the Stylized Facts. We will also discuss some modifications of the model to introduce more realistic elements with respect to the real markets

Minimal Agent Based Model for Financial Markets I: Origin and Self-Organization of Stylized Facts

We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main most important deviations of price time series from a Random Walk behavior. We focus on four essential ingredients: fundamentalist agents which tend to stabilize the market; chartist agents which induce destabilization; analysis of price behavior for the two strategies; herding behavior which governs the possibility of changing strategy. Bubbles and crashes correspond to situations dominated by chartists, while fundamentalists provide a long time stability (on average). The Stylized Facts are shown to correspond to an intermittent behavior which occurs only for a finite value of the number of agents N. Therefore they correspond to finite size effect which, however, can occur at different time scales. We propose a new mechanism for the Self-Organization of this state which is linked to the existence of a threshold for the agents to be active or not active. The feedback between price fluctuations and number of active agents represent a crucial element for this state of Self-Organized-Intermittency. The model can be easily generalized to consider more realistic variants

A new metrics for countries' fitness and products' complexity

Classical economic theories prescribe specialization of countries industrial production. Inspection of the country databases of exported products shows that this is not the case: successful countries are extremely diversified, in analogy with biosystems evolving in a competitive dynamical environment. The challenge is assessing quantitatively the non-monetary competitive advantage of diversification which represents the hidden potential for development and growth. Here we develop a new statistical approach based on coupled non-linear maps, whose fixed point defines a new metrics for the country Fitness and product Complexity. Weshow that a non-linear iteration is necessary to bound the complexity of products by the fitness of the less competitive countries exporting them. We show that, given the paradigm of economic complexity, the correct and simplest approach to measure the competitiveness of countries is the one presented in this work. Furthermore our metrics appears to be economically well-grounded

Three-state herding model of the financial markets

We propose a Markov jump process with the three-state herding interaction. We see our approach as an agent-based model for the financial markets. Under certain assumptions this agent-based model can be related to the stochastic description exhibiting sophisticated statistical features. Along with power-law probability density function of the absolute returns we are able to reproduce the fractured power spectral density, which is observed in the high-frequency financial market data. Given example of consistent agent-based and stochastic modeling will provide background for the further developments in the research of complex social systems.Comment: 11 pages, 3 figure

Web search queries can predict stock market volumes

We live in a computerized and networked society where many of our actions leave a digital trace and affect other people's actions. This has lead to the emergence of a new data-driven research field: mathematical methods of computer science, statistical physics and sociometry provide insights on a wide range of disciplines ranging from social science to human mobility. A recent important discovery is that search engine traffic (i.e., the number of requests submitted by users to search engines on the www) can be used to track and, in some cases, to anticipate the dynamics of social phenomena. Successful examples include unemployment levels, car and home sales, and epidemics spreading. Few recent works applied this approach to stock prices and market sentiment. However, it remains unclear if trends in financial markets can be anticipated by the collective wisdom of on-line users on the web. Here we show that daily trading volumes of stocks traded in NASDAQ-100 are correlated with daily volumes of queries related to the same stocks. In particular, query volumes anticipate in many cases peaks of trading by one day or more. Our analysis is carried out on a unique dataset of queries, submitted to an important web search engine, which enable us to investigate also the user behavior. We show that the query volume dynamics emerges from the collective but seemingly uncoordinated activity of many users. These findings contribute to the debate on the identification of early warnings of financial systemic risk, based on the activity of users of the www. © 2012 Bordino et al

Mechanisms of Self-Organization and Finite Size Effects in a Minimal Agent Based Model

We present a detailed analysis of the self-organization phenomenon in which the stylized facts originate from finite size effects with respect to the number of agents considered and disappear in the limit of an infinite population. By introducing the possibility that agents can enter or leave the market depending on the behavior of the price, it is possible to show that the system self-organizes in a regime with a finite number of agents which corresponds to the stylized facts. The mechanism to enter or leave the market is based on the idea that a too stable market is unappealing for traders while the presence of price movements attracts agents to enter and speculate on the market. We show that this mechanism is also compatible with the idea that agents are scared by a noisy and risky market at shorter time scales. We also show that the mechanism for self-organization is robust with respect to variations of the exit/entry rules and that the attempt to trigger the system to self-organize in a region without stylized facts leads to an unrealistic dynamics. We study the self-organization in a specific agent based model but we believe that the basic ideas should be of general validity.Comment: 14 pages, 7 figure

Diversification versus specialization in complex ecosystems

This is the final version. Available from Public Library of Science via the DOI in this record.The authors confirm that, for approved reasons, some access restrictions apply to the data underlying the findings. The dataset to reproduce all the main findings of the article is available in the zip file enclose in the submission. The authors confirm that they recieved the permission from Bloomberg to share and publish the data attached as a Supporting Information file. The whole worldwide database is available to anyone after a paid subscription to Bloomberg services http://www.bloomberg.com/professional/.By analyzing the distribution of revenues across the production sectors of quoted firms we suggest a novel dimension that drives the firms diversification process at country level. Data show a non trivial macro regional clustering of the diversification process, which underlines the relevance of geopolitical environments in determining the microscopic dynamics of economic entities. These findings demonstrate the possibility of singling out in complex ecosystems those micro-features that emerge at macro-levels, which could be of particular relevance for decision-makers in selecting the appropriate parameters to be acted upon in order to achieve desirable results. The understanding of this micro-macro information exchange is further deepened through the introduction of a simplified dynamic model.EUItalian PNR project “CRISIS-Lab

Estimation of renal function by CKD-EPI versus MDRD in a cohort of HIV-infected patients: a cross-sectional analysis

Background: Accurately determining renal function is essential for clinical management of HIV patients. Classically, it has been evaluated by estimating glomerular filtration rate (eGFR) with the MDRD-equation, but today there is evidence that the new Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI) equation has greater diagnostic accuracy. To date, however, little information exists on patients with HIV-infection. This study aimed to evaluate eGFR by CKD-EPI vs. MDRD equations and to stratify renal function according to KDIGO guidelines. Methods: Cross-sectional, single center study including adult patients with HIV-infection. Results: Four thousand five hundred three patients with HIV-infection (864 women19%) were examined. Median age was 45 years (IQR 37-52), and median baseline creatinine was 0.93 mg/dL (IQR 0.82-1.05). A similar distribution of absolute measures of eGFR was found using both formulas (p = 0.548). Baseline median eGFR was 95.2 and 90.4 mL/min/ 1.73 m(2) for CKD-EPI and MDRD equations (p 90 mL/min/1.73 m(2)) in 73% patients and '' mild reduced GFR '' (60-89 mL/min/1.73 m(2)) in 24.3% of the patients, formerly classified as >60 mL/min/1.73 m(2) with MDRD. Conclusions: There was good correlation between CKD-EPI and MDRD. Estimating renal function using CKD-EPI equation allowed better staging of renal function and should be considered the method of choice. CKD-EPI identified a significant proportion of patients (24%) with mild reduced GFR (60-89 mL/min/1.73 m(2)).Red de SidaInstituto de Salud Carlos III, Madrid, SpainEuropean Regional Development Fund (ERDF)Univ Fed Sao Paulo, Kidney Transplant Div, Hosp Rim, Sao Paulo, BrazilUniv Barcelona, Hosp Clin IDIBAPS, Nephrol & Renal Transplantat Serv, Barcelona, SpainHosp Clin Barcelona, Biomed Diag Ctr, Core Lab, Barcelona, SpainHosp Olot, Internal Med Serv, Girona, SpainUniv Girona, Dept Med Sci, Girona, SpainUniv Barcelona, Hosp Clin IDIBAPS, Infect Dis Serv, Barcelona, SpainUniv Fed Sao Paulo, Kidney Transplant Div, Hosp Rim, Sao Paulo, BrazilRed de Sida: RD12/0017/0001Instituto de Salud Carlos III, Madrid, Spain: INT15/00168Web of Scienc