Dissertations / Theses on the topic 'Heterogeneous Agents Models'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Heterogeneous Agents Models.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
Garcia, Alvarado Fernando <1991>. "Computational models of tax evasion with heterogeneous agents." Doctoral thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/19521.
Full textPfister, Alexander. "Heterogeneous trade intervals in an agent based financial market." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2003. http://epub.wu.ac.at/658/1/document.pdf.
Full textSeries: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
Oh, Jonghyeon. "Essays on Business Cycles and Dynamic Stochastic General Equilibrium Models with Heterogeneous Agents." The Ohio State University, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=osu1397790687.
Full textStavrunova, Olena. "Labor market policies in an equilibrium matching model with heterogeneous agents and on-the-job search." Diss., University of Iowa, 2007. http://ir.uiowa.edu/etd/150.
Full textDzemski, Andreas [Verfasser], and Markus [Akademischer Betreuer] Frölich. "Testing econometric models with heterogeneous agents : applications in treatment analysis and networks / Andreas Dzemski. Betreuer: Markus Frölich." Mannheim : Universitätsbibliothek Mannheim, 2015. http://d-nb.info/1074358821/34.
Full textOrmeño, Sánchez Arturo. "Essays on Inflation Expectations, Heterogeneous Agents, and the Use of Approximated Solutions in the Estimation of DSGE models." Doctoral thesis, Universitat Pompeu Fabra, 2011. http://hdl.handle.net/10803/51247.
Full textEn esta tesis analizo desvíos de tres supuestos comunes en la elaboración y estimación de modelos macroeconómicos. Estos supuestos son la Hipótesis de Expectativas Racionales (ER), el supuesto del Agente Representativo, y el uso de aproximaciones de primer orden en la estimación de los modelos de equilibrio general. En el primer capítulo determino como el empleo de datos de expectativas de inflación en la estimación de un modelo puede alterar la evaluación del supuesto de ER en comparación a un supuesto alternativo como learning. En el segundo capítulo, utilizo modelos de agentes heterogéneos para determinar la relación entre la volatilidad de los ingresos y la demanda de bienes durables. En el tercer capítulo, analizo si el uso de aproximaciones de primer orden afecta la evaluación de los determinantes de la Gran Moderación.
Merlin, Giovanni Tondin. "Essays on heterogeneous agent models with entrepreneurship." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/22066.
Full textApproved for entry into archive by Katia Menezes de Souza (katia.menezes@fgv.br) on 2018-04-26T20:49:27Z (GMT) No. of bitstreams: 1 Giovanni_Merlin_PhdThesis.pdf: 2320745 bytes, checksum: 5570b1e9282fcd00b0c9bc7c8cd2f61c (MD5)
Approved for entry into archive by Suzane Guimarães (suzane.guimaraes@fgv.br) on 2018-04-27T13:42:28Z (GMT) No. of bitstreams: 1 Giovanni_Merlin_PhdThesis.pdf: 2320745 bytes, checksum: 5570b1e9282fcd00b0c9bc7c8cd2f61c (MD5)
Made available in DSpace on 2018-04-27T13:42:29Z (GMT). No. of bitstreams: 1 Giovanni_Merlin_PhdThesis.pdf: 2320745 bytes, checksum: 5570b1e9282fcd00b0c9bc7c8cd2f61c (MD5) Previous issue date: 2018-04-12
This thesis is composed of three essays related to heterogeneous agent models with entrepreneurship. The first chapter adds aggregate uncertainty in a heterogeneous agent model with entrepreneurship and financial frictions, in order to evaluate the welfare effects of business cycles. The second chapter quantitatively assess the impact of The Brazilian Development Bank on the Brazilian economy, through subsidized credit supply. The third chapter uses a heterogeneous agent model to estimate effects of changes in the Brazilian tax composition on development and welfare.
Essa tese é composta por três ensaios cujo elemento em comum é a utilização de modelos de agentes heterogêneos com empreendedorismo. O primeiro capítulo adiciona incerteza agregada em um modelo de agentes heterogêneos com empreendedorismo e fricções financeiras, com o intuito de avaliar os efeitos de bem-estar dos ciclos de negócios. O segundo capítulo mensura os impactos do BNDES na economia Brasileira, através da oferta de crédito subsidiado. O terceiro capítulo utiliza um modelo de agentes heterogêneos para estimar os efeitos da composição tarifária no Brasil sobre o desenvolvimento e bem-estar.
Sheik, Rahim Fazeer. "Essays on income distribution and heterogeneous agent models." Thesis, University of Birmingham, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.423886.
Full textJiang, Wei. "Essays on fiscal policy in heterogeneous agent models." Thesis, University of Glasgow, 2013. http://theses.gla.ac.uk/4148/.
Full textARREY-MBI, PASCAL EBOT. "VOLATILITY CLUSTERING USING A HETEROGENEOUS AGENT-BASED MODEL." Thesis, Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-24587.
Full textFeng, Zhigang. "On the Computation of Heterogeneous Agent Models and Its Applications." Scholarly Repository, 2009. http://scholarlyrepository.miami.edu/oa_dissertations/208.
Full textSchmid, Christoph Manuel. "Extreme values of Gaussian processes and a heterogeneous multi agents model." [S.l.] : [s.n.], 2002. http://www.zb.unibe.ch/download/eldiss/02schmid_c.pdf.
Full textNINKA, ENIEL. "Complexity in economics a multi-sectoral model with heterogeneous interacting agents." Doctoral thesis, Università Politecnica delle Marche, 2008. http://hdl.handle.net/11566/242433.
Full textPopp, Aaron William. "Macroeconomic Implications of Frictions in Heterogeneous Agent Economies." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1338234575.
Full textCRUCITTI, FRANCESCA. "HETEROGENEOUS FIRMS MODELS AND FINANCIAL MARKET FRICTIONS." Doctoral thesis, Università degli Studi di Milano, 2019. http://hdl.handle.net/2434/613188.
Full textManley, Matthew T. "Exitus: An Agent-Based Evacuation Simulation Model For Heterogeneous Populations." DigitalCommons@USU, 2012. https://digitalcommons.usu.edu/etd/1205.
Full textGomes, Josà Weligton FÃlix. "General equilibrium model for computable policy analysis fiscal agent heterogeneous restricted and non restricted credit." Universidade Federal do CearÃ, 2012. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9873.
Full textThis research aims to develop a computable general equilibrium model with heterogeneous agents restricted (p-type) and not restricted to credit (q-type) for policy analysis. We used data from the National Accounts (IBGE), PNAD (2009), IPEADATA, to calibrate the model according to the Brazilian economy in 2009. According to the model 11:31% of agents (p-type) generate 0:65% of the total income and are responsible for paying 0:66% of the total tax burden. While other agents (q-type) generate 99:35% of income accounting for 99:34% of the payment of the tax burden. In terms of importance of sources of income, while for p-type income transfers correspond to 55% of labor income for agents of q-type these account for only 16%, which leads to dierent choices of work and leisure between these two types of agents.
O presente trabalho tem como objetivo desenvolver um modelo de equilbrio geral comput avel com agentes heterog^eneos restritos (tipo p) e n~ao restritos ao credito (tipo q) para ns de analise de poltica. Utilizou-se dados das Contas Nacionais (IBGE), PNAD (2009), IPEADATA, para calibrar o modelo segundo a economia brasileira no ano de 2009. De acordo com o modelo, 11; 31% dos agentes (tipo p) geram 0; 65% do total da renda e s~ao responsaveis por pagar 0; 66% da carga total tributaria. Enquanto que os demais agentes (tipo q) geram 99; 35% da renda sendo responsaveis por 99; 34% do pagamento da carga tributaria. Em termos de import^ancia das fontes de rendimentos, enquanto para o tipo p rendas de transfer^encias correspondem a 55% da renda do trabalho, para agentes do tipo q estas correspondem a apenas 16%, o que provoca escolhas distintas de trabalho e lazer entre esses dois tipos de agentes.
Yang, Xiaoliang. "A heterogeneous-agent model of growth and inequality for the UK." Thesis, Cardiff University, 2017. http://orca.cf.ac.uk/110269/.
Full textKoziol, Tina. "Heterogeneous agent models to determine spillover effects in the context of quantitative easing." Doctoral thesis, Faculty of Commerce, 2019. https://hdl.handle.net/11427/31762.
Full textChoi, J. "Model checking for decision making behaviour of heterogeneous multi-agent autonomous system." Thesis, Cranfield University, 2013. http://dspace.lib.cranfield.ac.uk/handle/1826/8031.
Full textLUCCHESE, Gianfranco. "Multivariate hedonic models for heterogeneous product prices in dynamic supply chains." Doctoral thesis, Università degli studi di Bergamo, 2012. http://hdl.handle.net/10446/26713.
Full textPUNZO, CHIARA. "ESSAYS ON BORROWING-CONSTRAINED AGENTS IN A DSGE MODEL." Doctoral thesis, Università degli Studi di Milano, 2016. http://hdl.handle.net/2434/452068.
Full textNagoski, Emily. "An agent based model of disease diffusion in the context of heterogeneous sexual motivation." [Bloomington, Ind.] : Indiana University, 2006. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3223076.
Full text"Title from dissertation home page (viewed July 2, 2007)." Source: Dissertation Abstracts International, Volume: 67-06, Section: B, page: 3087. Advisers: David Lohrmann; Erick Janssen.
Schmerbeck, Aaron J. "Financial assets in a heterogeneous agent general equilibrium model with aggregate and idiosyncratic risk." Thesis, The Florida State University, 2014. http://pqdtopen.proquest.com/#viewpdf?dispub=3638074.
Full textThe financial economics profession has determined that identical agents in a dynamic, stochastic, general equilibrium (DSGE) model does not provide price and trading dynamics realized in financial markets. There has been quite a bit of research over the last three decades extending heterogeneity to the Lucas asset pricing framework, to address this issue. Once the assumption of homogeneous agents is relaxed, the problem becomes increasingly complex due to a state space including the wealth distribution, continuation utilities, and wealth distribution dynamics. To establish a more computationally feasible model, specical modifications have been made such as heterogeneity in idiosyncratic shocks and not risk aversion, including aggregate or idiosyncratic risk (but not both), or assuming no growth in the economy (steady state).
In this research, I will define a DSGE model with heterogeneous agents. This heterogeneity will refer to differing CRRA utilities through risk aversion. The economy will have growth due to the assumed dividend process. Agents will face idiosyncratic and aggregate shocks in a complete markets setting. The framework of the provided algorithm will enable issues to be addressed beyond homogeneous agent models.
The numerical simulation results of this model provide considerable asset price volatility and high trading volume. These results occur even in the complete markets setting, where investors are expected to fully insure. Given these dynamics from the simulations of the algorithm, I demonstrate the ability to calibrate this model to address specific financial economic issues, such as the equity premium puzzle. More importantly this exercise will assume realistic agent parameters of risk aversion and discount factors, relative to economic theory.
Merlin, Giovanni Tondin. "Spreads bancários e informalidade: efeitos redistributivos e de bem-estar em um modelo de agentes heterogêneos com escolha ocupacional." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/11524.
Full textApproved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-03-10T20:25:41Z (GMT) No. of bitstreams: 1 Spreads e Informalidade - Giovanni Merlin.pdf: 943568 bytes, checksum: 8fcba4354e975daa8939d6a2913f4c16 (MD5)
Made available in DSpace on 2014-03-10T21:18:20Z (GMT). No. of bitstreams: 1 Spreads e Informalidade - Giovanni Merlin.pdf: 943568 bytes, checksum: 8fcba4354e975daa8939d6a2913f4c16 (MD5) Previous issue date: 2014-02-21
Este trabalho busca identificar os efeitos de mudanças nos spreads bancários sobre as distribuições de renda, riqueza e consumo, bem como o bem-estar da economia. Para tal, é desenvolvido um modelo de agentes heterogêneos com mercados incompletos e escolha ocupacional, no qual a informalidade de firmas e trabalhadores é um canal de transmissão relevante. O principal resultado encontrado é que reduções no spread para pessoa jurídica aumenta a proporção de empreendedores e trabalhadores formais na economia, de forma que o tamanho do setor informal diminui. Os efeitos sobre a desigualdade, no entanto, são ambíguos, e dependerão da dinâmica salarial e das transferências do governo. Reduções no spread para pessoa física levam a uma redução nos indicadores de desigualdade, em detrimento do consumo e bem-estar agregados. Calibrando o modelo para o Brasil para 2003-2012, é possível encontrar resultados em linha com a recente queda na informalidade e no diferencial salarial entre trabalhadores formais e informais.
This work looks to identify the effects of changes in banking spreads on income, wealth and consumption distributions, as well as welfare. For this purpose, a heterogeneous-agent incomplete-market model with occupational choice is developed, in which the informality, of firms and workers, is a relevant transmission channel. The main result found is that reductions on spreads for firms leads to a higher share of formal workers and entrepreneurs in the economy, reducing the size of the informal sector. The effect on inequality, however, are ambiguous, and depends on wages dynamics and government transfers. Cuts in spreads to individuals reduce inequality indicators, at the expense of consumption and aggregate welfare. Calibrating the model for Brazil, from 2003 to 2012, is possible to find results in line with the recent fall in informality and wage gap between formal and informal workers.
Antunes, Manuella de Oliveira. "Modelos baseados em agentes aplicados à dinâmica de preços do mercado imobiliário." Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-08062016-164014/.
Full textOne of the fundamental regulatory aspects for the housing market in Brazil are the limits for obtaining a residential mortgage loan within the Sistema Financeiro de Habitação. These limits can be defined so as to increase or reduce credit supply in this market, changing its agents behavior and, therefore, the housing market price. In this work we propose a pricing model for the brazilian housing market based on the behavior of its agents. Sellers have heterogeneous behavior and are influenced by the historical demand, while buyers behavior is determined by credit availability. The availability of credit is, in its turn, defined by the regulatory limits for obtaining a residential mortgage loan. We have verified that the Markov process which describes the market price converges to a deterministic dynamical system as the number of agents increase, and we have analyzed the behavior of this emerging system. We show which family of random variables may represent the behavior of sellers so that the system has a nontrivial equilibrium price, consistent with reality. We have also verified that the equilibrium price depends not only on the regulatory limits for obtaing a loan, but also on buyers reserve price and on sellers memory and sensitivity to changes in the demand. Sellers memory and sensitivity to changes in the demand can result in price oscillations above or below the equilibrium level, which is typical in bubble formation processes; or even in a Neimark-Sacker bifurcation, when the price has a stable oscillatory dynamics.
Berkefeld, Markus Till [Verfasser], and Frank C. [Akademischer Betreuer] Englmann. "Bank credit, inside money, and debt deflation in a continuous-time macro finance model with heterogeneous agents / Markus Till Berkefeld ; Betreuer: Frank C. Englmann." Stuttgart : Universitätsbibliothek der Universität Stuttgart, 2019. http://d-nb.info/1206184043/34.
Full textVenkatsubramanyan, Shailaja. "Discovering distributed and heterogeneous resources on the Internet: A theoretical foundation for an ontology-driven intelligent agent model. Its design, implementation and validation." Diss., The University of Arizona, 1999. http://hdl.handle.net/10150/284913.
Full textSharma, Avish. "The Impact of Monetary Policy on Homeownership." Thesis, Faculty of Arts and Social Sciences, School of Economics, 2023. https://hdl.handle.net/2123/29884.
Full textTETTAMANZI, MICHELE. "EXPECTATIONS IN MACROECONOMICS: PERSPECTIVES, LABORATORY EXPERIMENTS AND AB MODELS." Doctoral thesis, Università Cattolica del Sacro Cuore, 2017. http://hdl.handle.net/10280/36156.
Full textThe present dissertation analyses expectations in macroeconomics, contributing to the existing literature both studying the expectation formation process, and inquiring how economic dynamic is influenced by boundedly rational expectations. The first chapter presents a learn to forecast experiment in which subject are asked to form expectation regarding the future value of inflation: depending on the treatment, subjects might be exposed to a signal, which possibly aim at stabilizing economy, mimicking the non conventional monetary policy instrument called Delphic Forward Guidance. The collected data are studied trying to recover the underlying expectation formation process highlighting especially the role of credibility of the signal; moreover from the data emerges that informative Forward Guidance helps in stabilizing economy, drastically reducing the probability of deflationary spirals. The second chapter develops an agent-based model, encapsulating a boundedly rational expectation formation process, which had been extrapolated in previous experiments. Moreover benefiting from a specific aggregation procedure, we derive a model characterized by high analytical tractability, allowing hence to study the transmission mechanisms of a shock by insulating the effects due to the heterogeneity among agents and due to expectations: both the effects are sizable and help in understanding the dynamics of the economic system.
TETTAMANZI, MICHELE. "EXPECTATIONS IN MACROECONOMICS: PERSPECTIVES, LABORATORY EXPERIMENTS AND AB MODELS." Doctoral thesis, Università Cattolica del Sacro Cuore, 2017. http://hdl.handle.net/10280/36156.
Full textThe present dissertation analyses expectations in macroeconomics, contributing to the existing literature both studying the expectation formation process, and inquiring how economic dynamic is influenced by boundedly rational expectations. The first chapter presents a learn to forecast experiment in which subject are asked to form expectation regarding the future value of inflation: depending on the treatment, subjects might be exposed to a signal, which possibly aim at stabilizing economy, mimicking the non conventional monetary policy instrument called Delphic Forward Guidance. The collected data are studied trying to recover the underlying expectation formation process highlighting especially the role of credibility of the signal; moreover from the data emerges that informative Forward Guidance helps in stabilizing economy, drastically reducing the probability of deflationary spirals. The second chapter develops an agent-based model, encapsulating a boundedly rational expectation formation process, which had been extrapolated in previous experiments. Moreover benefiting from a specific aggregation procedure, we derive a model characterized by high analytical tractability, allowing hence to study the transmission mechanisms of a shock by insulating the effects due to the heterogeneity among agents and due to expectations: both the effects are sizable and help in understanding the dynamics of the economic system.
Almeida, Vanda. "Income inequality and the stabilising role of the tax and transfer system in times of crisis." Thesis, Paris, EHESS, 2019. http://www.theses.fr/2019EHES0194.
Full textAggregate crises often bring tremendous economic disruptions, which may persist for many years. Understanding their consequences and how to effectively design crisis-coping policies is therefore of capital importance. The aggregate effects of crises and the stabilising role of macroeconomic policies have been significantly studied in the literature. Much less attention, however, has been given to the distributional effects of crises and even less to the possible interactions between these effects and the post-crisis evolution of aggregate outcomes. If a crisis-led increase in inequality can feedback into an anemic recovery of economic activity, then the tax and transfer system may have a role in stabilising not only the income distribution but also the macroeconomy. Understanding how the system may affect both distributional and aggregate developments in a crisis aftermath is therefore key. This thesis aims at shedding new light on these issues, using multiple methodologies and datasets both at the micro and macro level, applying both an empirical and theoretical approach.The first paper provides a detailed assessment of the evolution of income inequality and the redistributive effects of the tax and transfer system following the 2007-2008 crisis, in the US. Using a wide range of indicators, it looks at several sections of the income distribution and analyses the contribution of different components of the tax and transfer system. The second paper develops a new method to model the household disposable income distribution and decompose changes in this distribution over time, integrating both a microeconometric and microsimulation approach. It applies the method to the study of changes in the income distribution in Portugal following the 2007-2008 crisis, accounting for the effects of the crisis and of the aftermath fiscal stimulus and consolidation policies. The third paper develops a theoretical heterogeneous agents DSGE model, with both ex-ante and ex-post household heterogeneity and unemployment insurance. It presents the results of a first quantitative experiment, studying the distributional and aggregate effects of a crisis and the role of unemployment insurance in shaping these effects, under several hypothetical crisis scenarios.Several conclusions can be drawn from the results obtained in this thesis. First, aggregate crises may have substantial heterogeneous effects across the income distribution, being particularly penalising for lower income groups, and these effects may be highly persistent. Second, the tax and transfer system can crucially shape distributional developments following a crisis. A strong tax and transfer system may fully cushion a crisis-led increase in inequality, while a weak one may deepen it. Beyond the effects of automatic stabilisers, discretionary policy choices may have substantial effects. Third, not only the size but also the design of the tax and transfer system matters for its role in times of crisis. In particular, a more progressive instrument will have a higher stabilising effect than a flat one, both at the distributional and aggregate level. Fourth, policies aimed at stabilising aggregate outcomes in times of crisis may have significant "collateral" effects on the income distribution. In particular, the implementation of consolidation measures may reinforce income losses induced by the contractionary effects of the crisis and increase the heterogeneity of the effects of a crisis on households' incomes. Finally, household heterogeneity and social insurance matter for the transmission of an aggregate crisis to aggregate outcomes. A crisis will lead to a higher contraction of aggregate consumption in a world where there are both ex-ante and ex-post sources of household heterogeneity than in a world where there is only ex-post heterogeneity. Furthermore, a crisis will imply a smaller contraction of aggregate consumption in a world with social insurance than in a world without
"Essays on dynamic markets with heterogeneous agents." Thesis, 2007. http://hdl.handle.net/2152/3128.
Full textNezami, Narajabad Borghan 1979. "Essays on dynamic markets with heterogeneous agents." 2007. http://hdl.handle.net/2152/13315.
Full textSutóris, Ivan. "Essays on macroeconomic models with heterogeneous agents." Doctoral thesis, 2018. http://www.nusl.cz/ntk/nusl-387020.
Full textYAMANA, Kazufumi, and 一史 山名. "STUDIES ON EMPIRICAL ANALYSIS OF MACROECONOMIC MODELS WITH HETEROGENEOUS AGENTS." Thesis, 2016. https://doi.org/10.15057/28171.
Full textCARRARO, ALESSANDRO. "Three essays on price instability and agents' behaviour." Doctoral thesis, 2015. http://hdl.handle.net/2158/1015667.
Full textTSAI, JIUE-CHENG. "Income Distribution in a Heterogeneous Agents Model." 2004. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-0907200420575400.
Full textTSAI, JIUE-CHENG, and 蔡爵丞. "Income Distribution in a Heterogeneous Agents Model." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/96721378959425899926.
Full text國立臺灣大學
經濟學研究所
92
This paper builds up a general equilibrium model to examine the distribution of income. We consider income disparity from the perspective of heterogeneous productivity. Inequality deteriorates if high-skilled agents become more productive than low-skilled agents. In addition, the substitutability between heterogeneous labor also affects the equilibrium. The increase of substitutability worsens the income inequality. We also analyze the government policies that aim to alleviate the inequality. From the production perspective, lump-sum tax or inheritance tax system is better than proportional wage tax system. We finally extend the model to a multi-agent case. Our analysis indicates that as the “middle class” becomes more productive, the income inequality reduces.
Pereira, Nuno André Mendes. "The effects of monetary policy shocks on consumption: a decomposition of the transmission channels for Portuguese households." Master's thesis, 2021. http://hdl.handle.net/10362/127194.
Full textLiao, Chung-Chih, and 廖崇智. "Essays on Heterogeneous-Agent Models of Financial Markets." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/wcydwj.
Full text國立臺灣大學
國際企業學研究所
105
Traditional economics achieved fruitful results in constructions of economic theories through modeling methods such as representative agent, Homo economicus and rational expectations. The advantages of such kind of methods are the ease in mathematical deduction and analysis, the existence of a certain degree of explanatory ability of the real-world economic phenomenon, and the provision of critical insights to the modelers. However, continuous ignorance of the bounded rationality and heterogeneity and learning and adapting behaviors of human beings in the modeling process will lead to the lacking of essential elements of economic models including interactions, coordination and environment feedbacks. These types of models run short in explaining, for example, anomalies in financial markets. Recently, paradigm shifts have emerged in economics and finance, where models with heterogeneous-agent models with boundedly rational agents have become mainstream in discussing how behaviors of learning, adapting, interacting and coordinating produce macro phenomena similar to that in the real world. Here we adopt three different types of heterogeneous-agent models to model and analyze financial markets, which are the analytical approach, the empirically based approach and the simulation approach. In the first essay, we introduce informed rational speculators, momentum traders and contrarian traders into a simple stock market model and use analytical approach to analyze how trading behaviors of each kind of traders affect stock prices, and also analyze the profitability of the three types of heterogeneous traders under different sets of parameters. In the second essay we consider a stock market with two stocks existing. We use empirical data from Taiwan Stock Exchange (TWSE) and let electronics sector index TRI and non-finance non-electronics sub-index TRI represent two different styles of stocks, and we use a modeling method of empirically based adaptive be- lief system to observe the evolution of market fractions of fundamental traders, technical traders and switchers, and look into the possible relationship between style investing behaviors and sector rotation. In the third essay we use the AIE-ASM software to simulate an artificial stock market, in which GP-based heterogeneous autonomous traders exist. We observe the stock price-volume relation in the artificial stock market and compare that to the real stock market, and finally look into the micro-macro relation between individual trading behaviors and the macro phenomena in the artificial stock market.
"Overlapping Generations Model with Heterogeneous Agents and Consumption Externalities." 2016. http://repository.lib.cuhk.edu.hk/en/item/cuhk-1292528.
Full textLin, Fang-chi, and 林芳綺. "Fuzzy Optimal Compensation Contract Design Model for heterogeneous Agents." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/99192538732306316709.
Full text逢甲大學
會計所
94
The aim of this paper is to formulate optimal compensation contract between principals who can not observe agents’ efforts. In fact, principals go to sign a contract with agents under uncertain circumstances; traditional linear programming can not completely describe problems that arise. To that end, this study applies “convergent, acceptable gray zone test” of Acceptable Max-Min Delphi Method-AMMDM to verify agents’ efforts, along with combined fuzzy theory and Fuzzy Delphi Linear Programming Model-FDLPM (Wu, Hsiao and Lin, 2000). Based on maximum agent utility, we assemble a Fuzzy Optimal Compensation Contract Design Model-FOCCDM. This model considers how fuzziness and heterogeneous agents could level information asymmetry and moral hazard. We arrive at the conclusion that: 1.When principals can not judge tolerance limits of agents’ opportunity utility (W) given by other organizations in the market as convergent and acceptable. The contract which they go to sign is not inspire. The contract will not encourage agents to make more effort, such that it is a dysfunctional contract. It will cause agents take less effort. 2.If forecast the tolerance limits of agents’ opportunity utility is convergent and acceptable, principals give appropriate rewards that inspire agents to put forth the same effort at satisfying agents’ expected utility. 3.If principals mistakenly increase compensation. In other words, with forecast reasonably, principals only give appropriate compensation; agents will accept the contract in fulfilling expected utility.
Kang, Tae-Jin. "Three essays on asset pricing model with heterogeneous agents." 1991. http://catalog.hathitrust.org/api/volumes/oclc/25495855.html.
Full textTypescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references (leaf 73).
Li, Ya Ying, and 李雅瀅. "The Magnet Effect of Price Limits:The Heterogeneous Agents Model." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/56196362744759963173.
Full text長庚大學
工商管理學系
101
In order to restraining over volatile stock price, the authorities concerned implement price limits resulted in volatility spillover, delayed price discovery, and magnet effect in Taiwan stock market. Using five-minute quotes on high-tech corporations of Taiwan 50 index as our example, this study will incorporate into variables related to magnet effect into two-type heterogeneous agent model proposed by Brock and Hommes (1998) can investigate the behaviors of heterogeneous agent and their historical performances in price limits. The findings suggest that heterogeneous agent model has more significant than separate general regression model.
Liou, Siou Chen, and 劉修辰. "Heterogeneous Agent-Based Model of Multilateral Foreign Exchange Markets." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/92821099826448724313.
Full text長庚大學
工商管理學系
102
In this study, an agent-based model is applied to the exchange rate market, get rid of past literature observe only a single investment strategy of the foreign exchange market phenomenon, this study will examine the market increased to two, namely the yen / dollar exchange rate market and the yuan / dollar exchange rate market. In this study, agents are divided into two categories, fundamentalist and chartist, of which fundamentalist such as is the study of the two markets, so our study then add variables into triangular arbitrage to let an agent-based model is more complete. Empirical aspects, the use of an agent-based model parameter estimation, and to estimate the parameters of an agent's behavior was observed and market dynamics. By analyzing the results, both in the yen / dollar exchange rate market or yuan / dollar exchange rate market, the use of chartist analysis strategy than the majority.
Wu, Ping-Husn, and 吳秉勳. "Performance Comparison of Direct Communication Models between Two Heterogeneous Agent Systems." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/81934997358594667756.
Full text中原大學
工業工程研究所
96
Many agent systems have been studied to evaluate the system ability of assisting information systems with quick response to requirements, however, most of the studies emphasized on the function of agents within the information systems. This thesis considers the communication ability of agents with other agents in heterogeneous systems. This research proposed two different communication architectures based on two distributed object communication models, Java RMI and CORBA/Java. The processes of developing communication applications in these two architectures were discussed and these architectures were suitable for agent systems supporting Java technology. Two agent systems, JADE and AgentBuilder, were applied to test the validity of the communication architectures, and two kinds of experiments were conducted to measure the individual performance of sending messages and files in these two agent systems. In first experiment, communication model and primitive data type were defined as independent variables. In second experiment, communication model, number of clients, data size and buffer size were defined as independent variables. Communication time was defined as dependent variable. In the first experiment, only communication model is significant and for the performance of sending messages RMI is better. In the second experiment, all independent variables are significant, and the performance of RMI is better in transferring files. The communication architecture based on RMI is recommended for data communication between JADE and AgentBuilder in practical applications.
Kolasa, Aleksandra. "Makroekonomiczne skutki przemiany edukacyjnej i demograficznej w Polsce." Doctoral thesis, 2017. https://depotuw.ceon.pl/handle/item/2321.
Full textPopulation aging has recently received a great deal of attention. This process, driven by a permanent decline in fertility and systematically falling mortality rates, can now be observed in a number of economies, including most of developed countries. Its economic consequences are expected to be significant. First of all, an increase in the old-age dependency ratio (the ratio of dependents to the working-age population) negatively affects public finance, raising concerns about fiscal sustainability and making pension system reforms inevitable for an increasing number of countries. Second, as individual household characteristics, such as productivity or propensity to save, vary over the life-cycle, changes in the age structure of the population affect many macroeconomic variables, including aggregate production, consumption and domestic assets. As population aging also influences the level of public debt and the real interest rate, it is important for the monetary policy decisions. Finally, demographic transition has redistributive consequences, i.e. it affects income, consumption and assets inequalities. The challenges related to population aging are very valid for the Polish economy. Similarly to other developed countries, demographic projections for Poland assume falling trends in mortality rates for the next decades. In addition, the Polish fertility rate has significantly declined and is currently well below the replacement level. The observed decrease in births was accompanied by a rising share of students among young high-school graduates, which translated into an increase in well-educated young workers. Since education is positively correlated with productivity, the educational transition should have a positive impact on output per capita and thus help mitigate negative effects of demographic change. The main objective of this study is to examine the macroeconomic consequences of lower fertility and educational change in Poland, with a particular emphasis on their distributional effects. To this end, a general equilibrium model with heterogeneous agents and incomplete financial markets was developed and calibrated. This class of models allows to study general equilibrium effects, such as adjustments in relative prices or fiscal consequences of individual decisions, in an economy populated by a large number of households in different age cohorts. So far, population aging in Poland has not been analyzed using this approach, making this study the first study to estimate the expected changes in inequality between Polish households within a general equilibrium framework. Additionally, although a decline in fertility and an increase in educational attainment often occur simultaneously, research that quantifies their macroeconomic effects is very scarce. In this study, the same model is used to examine the impact of changes in education, a decrease in the fertility rate, and the total impact of both processes, which ensures comparability of the results for each of these scenarios. For an analysis like this, it is essential to correctly model the life-cycle income and consumption patterns. This study uses household-level data from the Polish Consumer Budget Survey and obtains the following results. First, the average household income and its variance stop growing relatively early in the life cycle. Second, the shape of the empirical variance profile indicates less persistence of an individual income process in Poland compared to that observed in developed economies for which such evidence is available, which is mainly the United States. Third, past earnings affect current income more strongly in the group of more educated individuals. The model simulations show that the process of population aging and educational change that is currently occurring in Poland will have a significant impact on the Polish economy and economic situation of households. In general, the positive effect of increased productivity due to educational change should more than offset the negative consequences of falling fertility on GDP per capita. However, if one also takes into account higher average life expectancy, the net effect becomes clearly negative. As a result of all of these changes, an increase in the pension contribution rate will be needed to keep the replacement rate unchanged, which will lower consumption of both educated and less educated individuals. Demographic and educational transition will also increase income inequality, while the distribution of assets will become slightly more equal.
Huang, Po-Fu, and 黃柏富. "Application of the Heterogeneous Agent Model: the Case of the Taiwanese Stock Market." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/33061649269527333039.
Full text國立中山大學
財務管理學系研究所
100
Taiwanese stock market. The results suggest that there exist two heterogeneous agents in Taiwanese stock market, α-investors behaving as long-term contrarian and β-investor behaving as short-term momentum traders. To depict in detail the practical financial market, this research empirically tests HAM with different fundamental values (measured by the moving average price in different rolling windows) across different investment frequencies (daily, weekly and monthly). The result suggests that α-investors (fundamentalists) expect prices to deviate from the short-term moving average but mean revert to long-term moving average. Beta investors (chartists) act as momentum traders in daily and monthly frequency, but short-term contrarian in weekly frequency. In addition, this study tests whether the parameters in HAM can explain some characteristics of crashes and bubbles. The result suggests that there are different investor behaviors in Asian, Dotcom, and Subprime crashes. By comparing the parameters (α, β, and γ) of each individual stock, the study finds that stocks with contrarian α-investors and short-term momentum β-investors acting as short-term momentum traders have more volatile price pattern. As to crashes and individual stock volatility, the result suggests that sudden crashes (abrupt price decline) tend to occur in the stocks with short-term momentum traders, and while general crash (longterm economic cycle) tend to occur in the stocks with long-term contrarian investors. Stocks with larger Gamma, proxy for uncertainty, tends to have general crash only when α-investors acting as contrarian and β-investors acting as momentum traders.
Kukačka, Jiří. "Behaviorální změny v modelu s heterogenními agenty." Master's thesis, 2011. http://www.nusl.cz/ntk/nusl-298568.
Full text