Thèses : « Models of an economic agent »

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Teglio, Andrea. « From agent-based models to artificial economies ». Doctoral thesis, Universitat Jaume I, 2011. http://hdl.handle.net/10803/83303.

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The aim of this thesis is to propose and illustrate an alternative approach to economic modeling and policy design that is grounded in the innovative field of agent-based computational economics (ACE). The recent crisis pointed out the fundamental role played by macroeconomic policy design in order to preserve social welfare, and the consequent necessity of understanding the effects of coordinated policy measures on the economic system. Classic approaches to macroeconomic modeling, mainly represented by dynamic stochastic general equilibrium models, have been recently criticized for they difficulties in explaining many economic phenomena. The absence of interaction among heterogeneous agents, along with their strong rationality, are two of the main of criticisms that emerged, among others. Actually, decentralized market economies consist of large numbers of economic agents involved in local interactions and the aggregated macroeconomic trends should be considered as the result of these local interactions. The approach of agent-based computational economics consists in designing economic models able to reproduce the complicated dynamics of recurrent chains connecting agent behaviors, interaction networks, and to explain the global outcomes emerging from the bottom-up. The work presented in this thesis tries to understand the feedback between the microstructure of the economic model and the macrostructure of policy design, investigating the effects of different policy measures on agents behaviors and interactions. In particular, the attention is focused on modeling the relation between the financial and the real sides of the economy, linking the financial markets and the credit sector to the markets of goods and labor. The model complexity is increasing with the different chapters. The agent-based models presented in the first part evolve to a more complex object in the second part, becoming a sort of complete ``artificial economy''. The problems tackled in the thesis are various and go from the investigation of the equity premium puzzle, to study of the effects of classic monetary policy rules (as the Taylor rule) or to the study of the macroeconomic implications of bank's capital requirement or quantitative easing.

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Šalamon, Tomáš. « Development of Agent-based Models for Economic Simulation ». Doctoral thesis, Vysoká škola ekonomická v Praze, 2005. http://www.nusl.cz/ntk/nusl-77101.

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This thesis is about the development of agent-based models that are a method of simulation of economic processes and environments using multi-agent systems. Agent-based modeling seems to be an unappreciated approach that is expected and has a potential for a much wider application than it actually has. The purpose of thiswork is to evaluate the reasons for such situation and to offer solutions. The following were identified among the reasons for a low utilization of the method: a wide gap between theory and practice in the field, doubtful reliability of the method, lowconfidence in its results, complexity, missing methodologies, problems with suitable development frameworks, limitations of computational performance, a lack of awareness among the public and certain other problems. Agentology; (i.e. a methodology for the development of agent-based models) was proposed in this thesis in order to address issues regarding the development of agent-based models. There are six defined roles of project participants in the methodology: expert, analyst, modeler, platform specialist, programmer and tester. The design and development process consists of four phases and nine steps beginning with task formulation, conceptual modeling, and platformspecific modeling to the development of the system. For the design phases, agent modeling language for agent-based models was derived.

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Jiang, Wei. « Essays on fiscal policy in heterogeneous agent models ». Thesis, University of Glasgow, 2013. http://theses.gla.ac.uk/4148/.

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This thesis consists of three inter-related chapters designed to study the effects of fiscal policy on unemployment, the distribution of income, and social welfare in heterogeneous agent models incorporating unemployment. Each chapter employs a different setup for unemployment in a general equilibrium framework. These include models of equilibrium unemployment, right-to-manage union bargaining, and search and matching. Chapter 1 develops a model with equilibrium unemployment to study the effects of optimal taxation under commitment. Two models are explored: a model with zero economic profits and a model with non-zero economic profits due to the presence of productive public investment. We find that the optimal policy in these two models results in a different labour wedge which defines the gap between the marginal rate of substitution between labour and consumption and the marginal product of labour. In particular, the labour wedge can only be completely eliminated when the profits are absent from the model. It is further demonstrated that there exists a trade-off between efficiency and equity for the government in the model with non-zero economic profits. Chapter 2 examines the importance of imperfect competition in labour and product markets in determining the welfare effects of tax reforms assuming agent heterogeneity in capital holdings. The analysis shows that each of these market distortions, independently, results in welfare losses for at least one segment of the population after a capital tax cut and a concurrent labour tax increase. However, with both present in the model, the tax reform is Pareto improving in a realistic calibration to the UK economy. Chapter 3 extends a Mortensen-Pissarides search-and-matching framework with household heterogeneity to investigate the importance of search frictions in determining the welfare and distributional effects of tax reforms which re-allocate the tax burden from capital to labour income. The optimal tax policy under commitment is also analysed. We find that the tax reforms are Pareto improving in the long run, despite welfare losses for at least one segment of the population in the transition period. Finally, the long-run Ramsey policy implies a negative capital tax which is associated with a rise in the labour tax and a fall in the unemployment benefit.

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Silvestre, Joao Alexandre Parreira. « Agent-Based models in macroeconomics ». Doctoral thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20604.

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Doutoramento em Economia
A crise financeira de 2007/2008 desencadeou uma onda de críticas à teoria económica. Ataques baseados em quatro críticas principais: os economistas não terem previsto a maior crise desde a Grande Depressão; as autoridades deixarem formar bolhas sem controlo; o falhanço da supervisão bancária; e os modelos usados serem desfasados da realidade. No caso dos modelos, o alvo principal são os modelos DSGE (dinâmicos, estocásticos e de equilíbrio geral) e duas das suas hipóteses simplificadoras: o agente representativo e a racionalidade. As economias são realidades complexas, não-lineares e heterogéneas, e o recurso a métodos computacionais pode ser uma alternativa para ultrapassar as limitações dos modelos tradicionais. O objectivo desta tese é alargar a aplicação dos modelos de agentes em Macroeconomia com três exemplos distintos. O primeiro é um modelo de crescimento endógeno, de gerações sobrepostas, em que a decisão dos agentes sobre estudar é baseada na satisfação e na influência dos seus pares. É usado para testar os efeitos de longo prazo do paradoxo de Easterlin, que sugere que a satisfação e o rendimento não têm uma relação linear. Verifica-se que, no cenário de Easterlin, o crescimento é menor do que no cenário base onde os agentes atribuem igual importância ao rendimento absoluto e relativo. O segundo modelo visa avaliar o contágio dos defaults da dívida pública e a forma como as estratégias dos governos afetam o seu aparecimento e propagação. As simulações mostram que os países mais gastadores e com menor aversão ao risco tendem a entrar mais vezes em default e que políticas monetárias muito expansionistas podem originar fenómenos de risco moral. No terceiro modelo, estudamos o fenómeno da ‘fuga de cérebros’ e as consequências no crescimento económico. Concluímos que o efeito positivo do brain drain na acumulação de capital humano depende fortemente da probabilidade de emigrar.
The 2007/2008 financial crisis triggered a wave of criticism of the economic theory. These attacks are based in four main critics: economists had not foreseen the biggest crisis since the Great Depression; authorities let bubbles form without control; weak banking supervision; and the models used in macroeconomic policy being out of touch with reality. In the particular case of the macroeconomic models, the target are the DSGE models (dynamic, stochastic and general equilibrium) and their two simplifying hypotheses: the representative agent and rationality. Economies are complex realities, with nonlinearities and heterogeneities, and computational economics can be an advantageous alternative to overcome the shortcomings of the traditional models. The aim of this thesis is to extend the application of agent-based models to macroeconomic topics in three distinct models. The first one is an endogenous growth model, in an overlapping generations environment, in which the agents' individual decision to study is based on the satisfaction of their peers. It is used to evaluate the long-term effects of the Easterlin paradox, which states that satisfaction and income have a non-linear relation. The second model is used to study sovereign default contagion in order to assess how different government strategies affect default and propagation across countries. Simulations showed that high spending and low risk aversion levels are associated to a high prevalence of default and that monetary stimulus can create moral hazard problems. In the third model, we study the brain drain phenomenon and its economic growth effects. We conclude that beneficial brain hypothesis depend heavily on emigration probability.
info:eu-repo/semantics/publishedVersion

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Wan, Hakman Alberick. « On the agent market model of stock markets ». Thesis, University of Sunderland, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.288016.

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Banerjee, Anindya. « Information and contracts : a study of principal-agent relationships ». Thesis, University of Oxford, 1987. http://ora.ox.ac.uk/objects/uuid:62b32d23-b43f-4a1a-a4e0-8185e3104ecd.

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This thesis is concentrated broadly in the field of mathematical industrial economics and more specifically upon what is known in the literature as principal-agent relationships. It focuses on investigating the nature of optimal contracts between, say, owners of the firm and the manager appointed by them to run the affairs of the firm or yet again between the owners and the workers employed in the firm. Chapter 1 introduces by first establishing the background of the analysis and then summarising the results of the thesis. The background consists mainly of implicit contract models, both of the symmetric and asymmetric information kind, and models of moral-hazard. The results of the thesis are contained in four chapters following the introduction. Chapters 2 and 3 are concerned primarily with the use made of principal agent models in the asymmetric-information implicit contract literature. This literature attempts to explain involuntary unemployment by showing that the inefficiency generated by the asymmetry in information between the principal (firm) and the workers (agent) manifests itself in employment lower than the efficient level. We show instead that results are altered in quite striking ways depending not only on the eventual asymmetry of information but also the asymmetry prevailing, say, when the agent takes his action, but before production occurs. Chapter 4 makes the case in favour of using the first-order approach in solving principal-agent models by proposing a weakening of the sufficient conditions which make this approach valid. Such weakening extends the range of cases - given by particular configurations of utility and density functions - for which the analytical convenience of the first-order approach may be utilised. Chapter 5 uses moral-hazard models and the first-order approach to answer the specific question "Should owner-managed firms with limited liability be taxed a higher rate than similar firms with unlimited liability?". The answer is "Yes, but only under certain conditions". Chapter 6 summarises and draws together the various strands of the arguments presented in the thesis.

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Safarzynska, Karolina, Roy Brouwer et Marjan Hofkes. « Evolutionary modelling of the macro-economic impacts of catastrophic flood events ». Elsevier, 2013. http://dx.doi.org/10.1016/j.ecolecon.2013.01.016.

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This paper examines the possible contribution of evolutionary economics to macro-economic modelling of flood impacts to provide guidance for future economic risk modelling. Most macro-economic models start from a neoclassical economic perspective and focus on equilibrium outcomes, either in a static or dynamic way, and describe economic processes at a high level of aggregation. As a consequence, they typically fail to account for the complexity of social interactions and other behavioural responses of consumers and producers to disasters, which may affect the macroeconomic impacts of floods. Employing evolutionary principles and methods, such as agent-based modelling, may help to address some of the shortcomings of current macro-economic models. We explore and discuss the implications of applying consumer and producer heterogeneity, bounded rationality, network effects, social and technological learning, co-evolution and adaptive policy-making concepts into existing economic frameworks for the assessment of macro-economic impacts of floods. (authors' abstract)

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RIZZATI, MASSIMILIANO CARLO PIETRO. « Heterogeneity in Space : An Agent-based Economic Geography model ». Doctoral thesis, Università degli Studi di Milano-Bicocca, 2018. http://hdl.handle.net/10281/241299.

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Questa Tesi vuole arricchire la letteratura della Geografia Economica indagando il caso di agenti eterogenei che operano con razionalità limitata in strutture spaziali complesse. Nel primo capitolo, propongo un modello macroeconomico Agent-based flessibile, dotato di famiglie e imprese che interagiscono su un determinato network spaziale. L'euristica delle decisioni degli agenti incorpora e riproduce le caratteristiche solitamente utilizzate nei modelli di Economia Geografica tradizionale, come trasferimenti e migrazione, commercio, e costi di trasporto. Ciò consente di verificare l'emergere e la stabilità delle configurazioni agglomerate da parte degli agenti economici. La flessibilità della struttura spaziale, che consiste in un network di posizioni fornite nella calibrazione iniziale del modello, consente di verificare i risultati sopra un'ampia varietà di strutture spaziali, potenzialmente realistiche. Nel secondo capitolo, estendo il modello precedente per l'analisi delle politiche pubbliche locali. In questo lavoro metto alla prova diverse misure di intervento locale in diversi scenari ispirati dalla teoria che si sono dimostrati difficili da affrontare in strutture dinamiche con più regioni e con agenti dalla razionalità limitata. Questi includono diverse forme di concorrenza fiscale e di spesa pubblica. Nell'estensione proposta, le posizioni vengono trattate come agenti attivi e possono impostare la riscossione delle imposte locali e l'utilizzo delle entrate in base ad euristiche adattative. Inoltre, analizzo le stesse misure su una struttura spaziale asimmetrica e realisticamente calibrata. Mentre i risultati dovrebbero essere ulteriormente affinati prima di essere considerati robusti, le politiche pubbliche investigate sembrano causare una maggiore volatilità della produzione aggregata e del tasso di disoccupazione. Cambiare la struttura spaziale influisce sui risultati.
This dissertation wants to enrich the Economic Geography literature by investigating the case of heterogeneous agents operating under bounded rationality in complex spatial structures. In the first Chapter, I propose a flexible macroeconomic Agent-based model endowed with Households and Firms interacting on a given spatial network. The agents’ decision heuristics embed and reproduce the features usually employed in mainstream Economic Geography models, as relocation, migration, trade and transportation costs. This permits to check the emergence and stability of agglomerated configurations by the economic agents. The flexibility of the spatial structure, which consists in a network of locations provided in the initial calibration of the model, allows to check the results on a wide variety of spatial environments, including realistic ones. In the second Chapter, I extend the previous model for the analysis of Local policy. In this work I test different local policy measures under different theoretically-inspired scenarios which have been proven difficult to be compared in structures with multiple regions, bounded rationality and a dynamic setting. These include different forms of tax competition and of public spending. In the proposed extension Locations are treated as active agents and can set their local tax collection and revenues usage according to adaptive heuristics. Moreover, I test the same measures on an asymmetric and realistically calibrated spatial structure. While the results should be further refined before being taken as robust, the investigated policies seem to cause enhanced volatility of aggregate production and of unemployment rate. Changing the spatial structure affects the results.

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Perry, Stanley Foster. « Distributed Economic Systems with Agents that Learn ». PDXScholar, 1992. https://pdxscholar.library.pdx.edu/open_access_etds/1271.

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Economic systems are distributed in the sense that economic agents make decisions without any central control. Prices, quantities, wealth, and market structure emerge from the interaction of agents acting in their own self interest. The concepts and language of systems science are used to define economic systems in a manner that captures and articulates the distributed nature of economic systems. Further, the systems definition permits multiple views of the economic system, and in addition, allows the agents to "step outside" the system in order to study it. Economic systems are defined in such a way that it is feasible to construct artificial economic systems, and in particular, ones that are composed of self-interested agents that operate according to principles that are prescribed by the researcher. An artificial economic system was actually constructed and tested in a computer environment. The model was verified with reference to several theoretical models such as static and adaptive expectations. The system constructed allows up to 1000 agents to interact without any central control. A computer "blackboard system" is used as the architecture for providing common information to the agents in the artificial economic system. The blackboard design successfully allows complex agents to compete and trade in an artificial economic system created by the researcher. Prices, quantities, wealth, and market structure emerge naturally in the artificial economy that depend on the characteristics and prescribed strategies of the agents in the system. After a transition period, the trading frequently produces price and quantity time series that have the characteristics of a random walk, a condition that is well known in real world markets. Three classes of producer agents were used in these artificial economic systems: optimizing agents that incorporate neural networks, satisficing agents that incorporate very simple rule-based approaches, and Stackelberg agents that have knowledge about the consumers in the system, but do not have knowledge about their competitor's strategies or intentions. Neural networks are used to model the behavior and strategies of economic agents that can be said to learn, i.e., those agents that develop general principles for adapting to changing market conditions that transfer across markets. The focus of this research was on the producers in the system. The consumption side of the economic system was represented by a set of simple consumers. An important result emerging from this research is that at least one agent out of four in these experiments with accurate knowledge about market demand increases the wealth of the system as a whole. Markets containing a single Stackelberg or neural agent produced far more wealth than markets composed only of satisficing agents. However, the agents with knowledge do not necessarily capture the highest share of the wealth. The success of individual agents depends on the agent's trading strategy, as expected, and in addition depends on the combination of agents in the system. Certain strategies appeared to be flexible while others were brittle, and were easily foiled by changing the agents in the market, or by changing the market conditions. Earlier studies attempted to use neural networks to simulate an entire economic system, but were rejected because the organizing principles of the two systems are not analogous. Additionally, neural networks were successfully tested for solving various economics problems that were not related to the simulation of economic systems. Neural networks were found to effectively solve problems with missing and redundant data that are not directly solvable with well known methods such as least squares.

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Tindall, Nathaniel W. « Analyses of sustainability goals : Applying statistical models to socio-economic and environmental data ». Diss., Georgia Institute of Technology, 2014. http://hdl.handle.net/1853/54259.

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This research investigates the environment and development issues of three stakeholders at multiple scales—global, national, regional, and local. Through the analysis of financial, social, and environmental metrics, the potential benefits and risks of each case study are estimated, and their implications are considered. In the first case study, the relationship of manufacturing and environmental performance is investigated. Over 700 facilities of a global manufacturer that produce 11 products on six continents were investigated to understand global variations and determinants of environmental performance. Water, energy, carbon dioxide emissions, and production data from these facilities were analyzed to assess environmental performance; the relationship of production composition at the individual firm and environmental performance were investigated. Location-independent environmental performance metrics were combined to provide both global and local measures of environmental performance. These models were extended to estimate future water use, energy use, and greenhouse gas emissions considering potential demand shifts. Natural resource depletion risks were investigated, and mitigation strategies related to vulnerabilities and exposure were discussed. The case study demonstrated how data from multiple facilities can be used to characterize the variability amongst facilities and to preview how changes in production may affect overall corporate environmental metrics. The developed framework adds a new approach to account for environmental performance and degradation as well as assess potential risk in locations where climate change may affect the availability of production resources (i.e., water and energy) and thus, is a tool for understanding risk and maintaining competitive advantage. The second case study was designed to address the issue of delivering affordable and sustainable energy. Energy pricing was evaluated by modeling individual energy consumption behaviors. This analysis simulated a heterogeneous set of residential households in both the urban and rural environments in order to understand demand shifts in the residential energy end-use sector due to the effects of electricity pricing. An agent-based model (ABM) was created to investigate the interactions of energy policy and individual household behaviors; the model incorporated empirical data on beliefs and perceptions of energy. The environmental beliefs, energy pricing grievances, and social networking dynamics were integrated into the ABM model structure. This model projected the aggregate residential sector electricity demand throughout the 30-year time period as well as distinguished the respective number of households who only use electricity, that use solely rely on indigenous fuels, and that incorporate both indigenous fuels and electricity. The model is one of the first characterizations of household electricity demand response and fuel transitions related to energy pricing at the individual household level, and is one of the first approaches to evaluating consumer grievance and rioting response to energy service delivery. The model framework is suggested as an innovative tool for energy policy analysis and can easily be revised to assist policy makers in other developing countries. In the final case study, a framework was developed for a broad cost-benefit and greenhouse gas evaluation of transit systems and their associated developments. A case study was developed of the Atlanta BeltLine. The net greenhouse gas emissions from the BeltLine light rail system will depend on the energy efficiency of the streetcars themselves, the greenhouse gas emissions from the electricity used to power the streetcars, the extent to which people use the BeltLine instead of driving personal vehicles, and the efficiency of their vehicles. The effects of ridership, residential densities, and housing mix on environmental performance were investigated and were used to estimate the overall system efficacy. The range of the net present value of this system was estimated considering health, congestion, per capita greenhouse gas emissions, and societal costs and benefits on a time-varying scale as well as considering the construction and operational costs. The 95% confidence interval was found with a range bounded by a potential loss of $860 million and a benefit of $2.3 billion; the mean net present value was $610 million. It is estimated that the system will generate a savings of $220 per ton of emitted CO2 with a 95% confidence interval bounded by a potential social cost of $86 cost per ton CO2 and a savings of $595 per ton CO2.

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Carro, Patiño Adrián. « Individual-based models of collective dynamics in socio-economic systems ». Doctoral thesis, Universitat de les Illes Balears, 2016. http://hdl.handle.net/10803/396311.

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The main purpose of this thesis is to contribute to the understanding of how complex collective behaviors emerge in social and economic systems. To this end, we use a combination of mathematical analysis and computational simulations along the lines of the agent- or individual-based modeling paradigm. In particular, we focus on three main topics: opinion dynamics, herding behavior in financial markets, and language competition. Opinion dynamics models focus on the processes of opinion formation within a society consisting of an ensemble of interacting individuals with diverse opinions. One of the main problems addressed by these models is whether these processes of opinion formation will eventually lead to the emergence of a consensus within the society or to the fragmentation of its constituent individuals into different opinion groups. We are interested here in situations where the particular issue under consideration allows for opinions to vary continuously, and thus opinions are modeled as real variables. In particular, we focus on a model consisting of two mechanisms or rules for the evolution of the agents' opinions: a mechanism of social influence, by which two interacting agents reach a compromise at the midpoint opinion, and a mechanism of homophily, by which two agents do only interact if their opinion difference is less than a given threshold value. In this context, we study the influence of the initial distribution of opinions in the asymptotic solution of the model. Financial time series are characterized by a number of stylized facts or non-Gaussian statistical regularities found across a wide range of markets, assets and time periods, such as volatility clustering or fat-tailed distributions of returns. A growing number of contributions based on heterogeneous interacting agents have interpreted these stylized facts as the macroscopic outcome of the diversity among the economic actors, and the interplay and connections between them. In particular, we focus here on a stochastic model of information transmission in financial markets based on a competition between pairwise copying interactions between market agents (herding behavior) and random changes of state (idiosyncratic behavior). On the one hand, we develop a generalization of this herding model accounting for the arrival of information from external sources, and study the influence of this incoming information on the market. On the other hand, we study a network-embedded version of the herding model and focus on the influence of the underlying topology of interactions on the asymptotic behavior of the system. Language competition models address the dynamics of language use in multilingual social systems due to social interactions. The main goal of these models is to distinguish between the interaction mechanisms that lead to the coexistence of different languages and those leading to the extinction of all but one of them. While traditionally conceptualized as a property of the speaker, it has been recently proposed that the use of a language can be more clearly described as a feature of the relationship between two speakers ---a link state--- than as an attribute of the speakers themselves ---a node state---. Inspired by this link-state perspective, we first develop a coevolving model that couples a majority rule dynamics of link states with the evolution of the network topology due to random rewiring of links in a local minority. Finally, we develop a model where the coupled dynamics of language use, as a property of the links between speakers, and language preference, as a property of the speakers themselves, are considered in a fixed network topology.
El propósito principal de esta tesis es el de contribuir a la comprensión del modo en el que comportamientos colectivos complejos emergen en sistemas sociales y económicos. En particular, nos centramos en tres temas principales: dinámica de opiniones, comportamiento gregario en mercados financieros y competición lingüística. Los modelos de dinámica de opiniones se centran en los procesos de formación de opiniones en el seno de una sociedad compuesta por un conjunto de individuos en interacción y con opiniones diversas. Uno de los principales problemas abordados por estos modelos es el de determinar si estos procesos de formación de opiniones llevan a la emergencia de un consenso en la sociedad, o si llevan a la segregación de los individuos en diferentes grupos. Nos interesamos aquí por situaciones en las que el asunto que se discute permite la existencia de un contínuo de opiniones y por tanto las opiniones pueden ser modeladas como variables reales. En particular, nos centramos en un modelo consistente en dos mecanismos para la evolución de las opiniones: un mecanismo de influencia social, por el cual dos agentes interaccionantes llegan a un compromiso en el punto medio entre sus opiniones, y un mecanismo de homofilia, por el cual dos agentes interaccionan únicamente si la diferencia entre sus opiniones es inferior a un cierto umbral. En este contexto, estudiamos la influencia de la distribución inicial de opiniones. Las series temporales financieras están caracterizadas por una serie de hechos estilizados o regularidades estadísticas no gaussianas observadas en un amplio rango de mercados, activos y períodos temporales, como el agrupamiento de la volatilidad o las distribuciones de retornos con colas pesadas. Un número creciente de contribuciones basadas en agentes heterogéneos en interacción han venido a ofrecer una interpretación de estos hechos estilizados como el resultado emergente de la diversidad entre actores económicos y de las interacciones y conexiones entre ellos. En particular, nos centramos aquí en un modelo estocástico de transmisión de información en mercados financieros basado en una competición entre interacciones de copia a pares entre agentes de mercado (comportamiento gregario) y cambios de estado aleatorios (comportamiento idiosincrático). Por un lado, desarrollamos una generalización de este modelo de comportamiento gregario para tener en cuenta la llegada de información desde fuentes externas y estudiamos la influencia de esta información entrante en el mercado. Por otro lado, estudiamos una versión en red del modelo de comportamiento gregario y nos centramos en la influencia de la topología subyacente en el comportamiento asintótico del sistema. Los modelos de competición lingüística abordan la dinámica del uso de lenguas en sistemas sociales multilingües debida a interacciones sociales. El principal objetivo de estos modelos es el de diferenciar entre aquellos mecanismos de interacción que llevan a la coexistencia de diferentes lenguas y aquellos que llevan a la extinción de todas menos una. Aunque tradicionalmente se ha conceptualizado como una propiedad del hablante, recientemente se ha propuesto que el uso de una lengua puede ser más claramente descrito como una propiedad de la relación entre dos hablantes ---un estado del enlace--- que como una propiedad de los hablantes ---un estado del nodo---. Inspirados por esta perspectiva, desarrollamos primero un modelo de coevolución que acopla una dinámica de estados en los enlaces basada en una regla de mayoría con la evolución de la topología de la red debida al re-enlace aleatorio de enlaces en una minoría local. Finalmente, desarrollamos un modelo en el que las dinámicas acopladas de uso de la lengua, como propiedad de los enlaces entre hablantes, y preferencia lingüística, como propiedad de los hablantes mismos, son consideradas en una topología de red fija.

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Merlin, Giovanni Tondin. « Essays on heterogeneous agent models with entrepreneurship ». reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/22066.

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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.

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Yan, Yonghe, et 嚴勇河. « A multi-agent based approach to transmission cost allocation ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B3124256X.

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Guidolin, Mariangela. « Aggregate and agent-based models for the diffusion of innovation ». Doctoral thesis, Università degli studi di Padova, 2007. http://hdl.handle.net/11577/3425003.

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Review of innovation diffusion models, with particular attention to the most famous and employed one, the Bass model. This review is necessary for introducing the research path proposed along the thesis.
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Koziol, 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.

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We develop heterogeneous agent models to investigate financial spillover effects in the context of Quantitative Easing (QE). We consider these spillover effects from two perspectives. The first perspective studies spillovers within a network of financial institutions. The aim is to understand where amplification effects occur in the event of a shock. For this purpose, we calibrate a model of fire-sale contagion to the South African banking sector. We use cross-sectional balance sheet data for 29 South African banking institutions. Fire-sale externalities are pecuniary externalities that operate through prices. They pose a threat to the financial system because they amplify price shocks across assets and thus lead to liquidation spirals. In the first step, we investigate general shock propagation scenarios to an unsecured lending portfolio of a large bank and to a marketable asset held by all banks, i.e. South African government bonds. We rank individual banks according to their contribution to systemic risk and show the importance of cash liquidity buffers in reducing risk of fire-sale occurrences. Further, we find a critical threshold parameter which, if exceeded, makes the banking system highly unstable. In the second step, we build on findings presented by Cecchetti et al. (2017) that determine a relationship between Quantitative Easing and risk-taking behavior of financial institutions in emerging markets. Assuming that QE increases banks’ leverage, we show that the fire-sale contagion channel becomes much more pronounced. The same shock to the government bond asset class leads to higher banking sector instability. The risk to banking sector losses is not linear, but rather increases exponentially with higher leverage ratios. The second perspective of the dissertation considers spillovers between financial markets in the context of QE. We contribute to the literature that investigates the portfolio balance effect associated with QE. In essence, the portfolio balance channel is the consequence of an assumed imperfect substitutability of assets. To account for this, we develop a dynamic agent-based model to study international asset price spillover. Our two-country model features heterogeneity in assets and in investor preferences. Both are crucial for a meaningful model-based impact assessment of QE because preferences for asset maturity, asset class (bonds, equities and currencies) and whether an asset is issued at home or abroad can influence the substitutability of assets, and hence the portfolio balance effect of central bank asset purchases. We implement a novel pricing mechanism that allows us to approach market clearing prices. This allows us to take advantage of the flexibility of the agent-based methodology, while keeping the model comparable to more standard equilibrium-based portfolio balance models. We calibrate the two countries in our model to the Eurozone (EZ) and a representative sample of rest-of-the-world (ROW) countries in order to estimate the international impact of the ECB’s asset purchase program announced in January 2015. For this purpose, we compile data on asset holdings of 15 374 EZ and 25 930 ROW open-end investment funds from the Morning Star Database, as well as data on investment portfolios of EZ and ROW banks from the ECB’s Statistical Warehouse and Bankscope. When simulating our model, we find a negative impact of central bank asset purchases on both domestic and foreign returns. While the effects of QE on domestic bond yields and the exchange rate are rather modest and smaller than commonly assumed in the literature, they can cause domestic stock prices increase substantially. Somewhat surprisingly, however, we find that spillovers from portfolio balancing to the rest of the world are negligible.

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Aiyegbusi, Olufemi. « The Alberta carbon market : an exploration of alternative policy options through agent-based modeling ». Thesis, Lethbridge, Alta. : University of Lethbridge, Faculty of Management, c2012, 2012. http://hdl.handle.net/10133/3434.

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Our study examines some design alternatives for a carbon market by exploring the fledgling Alberta carbon market. We attempt to evaluate the performance of these designs on the bases of trade volume, cost efficiency and stability. To achieve this we construct an empirically-calibrated but simple agent-based model, certain aspects of which we selectively modify to incorporate various design options. We make comparisons among these options based on data simulated from the ensuing family of models. We find strong evidence that in general, market design features such as source-of-credits, the scale of the market, and pricing-mechanism are very important considerations that influence the performance of the market. In addition, we find support for the notion that the level of the price cap relative to the average cost of abatement in the market matters, and beyond a threshold, higher price caps are associated with lower levels of performance.
vii, 155 leaves ; 29 cm

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Mazzotta, Matteo. « Le aste nel mercato elettrico : agent-based models e experimental economics a confronto ». Doctoral thesis, Luiss Guido Carli, 2013. http://hdl.handle.net/11385/200832.

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Con l'ondata di liberalizzazioni che ha coinvolto i paesi industrializzati dagli anni 90 in poi, monopoli verticalmente integrati si trasformano in mercati ad asta caratterizzati da due metodi alternativi di formazione del prezzo: la discriminatory price auction e la uniform price auction. Alla luce dell'impatto signicativo del meccanismo d'asta sugli esiti di mercato, l'economia mainstream si dimostra inadeguata nell'indicare quale sia il sistema più eciente in quanto la trattazione analitica del problema trascura alcune caratteristiche quali la struttura della rete e l'interazione ripetuta tra la pluralità di soggetti che operano sul mercato. I due approcci teorici discussi nel presente lavoro, experimental economics e agent based models, spostano l'asticella aldilà dei limiti incontrati dalla teoria classica e individuano delle regolarità empiriche non sempre in linea con le previsioni analitiche, ma più aderenti alla realtà osservata. L'attività del legislatore dovrebbe essere guidata anche dalle conclusioni oerte dai due approcci alternativi al problema. In questa tesi, dopo la presentazione delle due metodologie e il loro contributo al problema economico trattato, viene prima eettuato un confronto epistemologico sui metodi che caratterizzano i due approcci e poi, in ottica normativa, vengono discussi i risultati proposti.

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Naumann-Woleske, Karl. « Scenario Discovery in a Complex Economy : Exploring the Parameter space of Agent-based Models ». Electronic Thesis or Diss., Institut polytechnique de Paris, 2024. http://www.theses.fr/2024IPPAX005.

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L'économie, en ce qu’elle comporte des effets non-linéaires, une adaptabilité des agents et des dynamiques de hors-équilibre, présente des phénomènes émergents tels que des crises et des inégalités, induites par les réactions des agents et les interventions politiques.La modélisation basée sur les agents (agent based models en anglais, ou ABM) est une approche de modélisation récente en macroéconomie qui retrouve ces phénomènes en simulant une multiplicité d'agents hétérogènes en interaction.Bien que cette méthode puisse générer des phénomènes émergents, elle a souvent été critiquée comme étant une boîte noire où les mécanismes de causalité ne sont pas clairs et où il existe un ensemble trop vaste de dynamiques générées.Cette thèse propose une méthode pour aborder la question fondamentale : Quel est l'ensemble de phénomènes qualitativement différents qu'un Modèle d’Agents Macroeconomique (denoté MABM en anglais) peut générer, et qu'est-ce qui régit le passage d’un phénomène macroeconomique à un autre ?S'inspirant de la recherche en biophysique, l'idée centrale postule qu'il n'y a que quelques combinaisons critiques de paramètres qui déterminent un état spécifique du système (ou phase).En exploitant ces combinaisons avec un algorithme de gradient, steepest ascent ici, on peut efficacement découvrir l'ensemble de phénomènes différents qu'un MABM peut générer.L’intérêt de cette approche réside dans le fait qu’elle revele la révélation une structure plus simple que la complexité du MABM, ouvrant la voie à des politiques économiques efficaces qui se concentrent sur les directions pertinentes dans l’espace des paramètres.Cela suggère également que malgré la complexité d'un MABM et le nombre élevé de paramètres, l'ajustement de ces modèles ne nécessite que l'ajustement des directions pertinentes pour avoir un pouvoir prédictif.La première partie de cette thèse développe les méthodes derrière l'algorithme, mettant en évidence son efficacité sur les "Fourmis de Kirman", un modèle simple de comportement d’agents en interaction.L'algorithme est ensuite utilisé, et son efficacite demontrée, sur le MABM stylisé Mark-0 qui présente une phénoménologie riche avec un ensemble connu de phases macroscopiques. Je montre notamment comment nous pouvons récupérer les differentes phases malgré la complexité de la dynamique du modèle.La deuxième partie de cette thèse adopte en fait une approche inverse, intégrant des interactions intra-inter-agents dans des modèles macroéconomiques d'équilibre, dévoilant des phases émergentes et des crises endogènes.Ainsi, cette thèse explore le champ des ABMs, dévoilant leur potentiel dans la génération de différents scénarios qui peuvent être utilisés pour éclairer les décisions politiques dans des systèmes dynamiquement complexes
The economy, characterized by non-linearity, adaptability, and non-equilibrium dynamics, exhibits emergent phenomena, such as crises and inequalities, shaped by agents' reactions and policy interventions. Agent-based Modeling (ABM) is a recent modeling approach in macroeconomics that generates these phenomena from the ground up by simulating a multiplicity of heterogeneous interacting agents. While this method can generate emergent phenomena, it has often been critiqued as a black-box where causal mechanisms are unclear and there too vast set of generated dynamics. This thesis proposes a method to approach the fundamental question: What is the set of qualitatively different phenomena can an Macroeconomic Agent-based Model (MABM) generate, and what governs their transitions?Drawing on research in biophysics, the core idea posits that there are only a few critical parameter combinations that govern a specific outcome. Exploiting these with a gradient ascent algorithm, one can effectively uncover the set of different phenomena a MABM can recover. The significance of this approach lies in revealing a simpler structure beneath MABM complexity, paving the way for effective policies that address critical parameter directions. It also suggests that despite the complexity of an MABM and the high number of parameters, fitting these models requires only fitting critical directions to have predictive power.The first part of this thesis develops the methods behind the algorithm, highlighting its power on Kirman's Ants, a simple model of agent-herding. The algorithm is then demonstrated on the stylized Mark-0 MABM that has a rich phenomenology with a known set of phenomena. I show how we can recover this set of phenomena despite the complexity of the model's dynamics. The second part of this thesis actually adopts a reverse approach, embedding intra-agent interactions in equilibrium macroeconomic models, unveiling emergent phases and endogenous crises in these models. In its essence, this thesis navigates the intricate terrain of ABMs, unraveling their potential in generating different scenarios that can be used to inform policy decisions in dynamically complex systems

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Pin, Paolo <1974&gt. « Four multi-agents economic models : from evolutionary competition to social interaction ». Doctoral thesis, Università Ca' Foscari Venezia, 2007. http://hdl.handle.net/10579/396.

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Teixeira, Henrique Oliveira. « Bank networks and firm credit : an agent based model approach ». reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/15973.

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Starting from the idea that economic systems fall into complexity theory, where its many agents interact with each other without a central control and that these interactions are able to change the future behavior of the agents and the entire system, similar to a chaotic system we increase the model of Russo et al. (2014) to carry out three experiments focusing on the interaction between Banks and Firms in an artificial economy. The first experiment is relative to Relationship Banking where, according to the literature, the interaction over time between Banks and Firms are able to produce mutual benefits, mainly due to reduction of the information asymmetry between them. The following experiment is related to information heterogeneity in the credit market, where the larger the bank, the higher their visibility in the credit market, increasing the number of consult for new loans. Finally, the third experiment is about the effects on the credit market of the heterogeneity of prices that Firms faces in the goods market.
Partindo da ideia de que os sistemas econômicos se enquadram na teoria da complexidade, onde seus inúmeros agentes interagem entre si sem um controle central e que essas interações são capazes de alterar o comportamento futuro dos agentes e de todo o sistema, semelhante a um sistema caótico, incrementamos o modelo de Russo et al. (2014) para a realização de três experimentos com foco na interação entre bancos e empresas em uma economia artificial. O primeiro experimento diz respeito a Relationship Banking onde, segundo a literatura, a interação ao longo do tempo entre bancos e empresas é capaz de produzir benefícios mútuos, principalmente devido a redução da assimetria de informação entre eles. O experimento seguinte está relacionado a assimetria de informação no mercado de crédito, onde quanto maior o banco, maior sua visibilidade no mercado de crédito, elevando na mesma proporção as consultar para novos emprestimos. Por fim, o terceiro experimento é relativo aos efeitos no mercado de crédito da heterogeneidade de preços que as empresas se deparam no mercado de bens

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Metzig, Cornelia. « A Model for a complex economic system ». Thesis, Grenoble, 2013. http://www.theses.fr/2013GRENS038/document.

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Cette thèse s'inscrit dans le cadre de systèmes complexes appliqués aux systèmes économiques. Dans cette thèse, un modèle multi-agent a été proposé, qui modélise le cycle de production. Il est consitué d'entreprises, ouvirers/foyers, et une banque, et repecte la conservation de la monnaie. Son hypothèse centrale est que les entreprises se basent sur une marge espérée pour déterminer leur production. Un scénario simple de ce modèle, ou les marges espérées sont homogènes, a été analysé dans le cadre de models de croissance stochastique. Les résultats sont la distribution de tailles d'entreprises rassemblant des lois de puissance, et leur distribution du taux de croissance de forme 'tente', ainsi qu'une dépendence de taille de la variance de la croissance. Ces résultats sont proches aux faits stylisés issus d'études empiriques. Dans un scénario plus complet, le modèle contient des caractéristiques supplémentaires: des marges espérées hétérogèges, ainsi que des paiements d'intérêts, la possibilité de faire faillite. Cela ramène le modèle aux modèles macro-économiques multi-agents. Les extensions sont décrites de façon théorique par des équations de replicateur. Les résultats nouveaux sont la distribution d'age d'entreprises actives, la distribution de leur taux de profit, la distribution de dette, des statistiques sur les faillites, et des cycles de vie caractéristiques. Tout ces résultats sont qualitativement en accord avec des résultats d'études empiriques de plusieurs pays.Le modèle proposé génère des résultats prometteurs, en respectant le principe que des résultats qui apparaissent simultanément peuvent soit etre générés par un même processus, soit par plusieurs aui qui sont compatibles
The thesis is in the field of complex systems, applied to an economic system. In this thesis, an agent-based model has been proposed to model the production cycle. It comprises firms, workers, and a bank, and respects stock-flow consistency. Its central assumption is that firms plan their production based on an expected profit margin. A simple scenario of the model, where the expected profit margin is the same for all firms, has been analyzed in the context of simple stochastic growth models. Results are a firms' size distribution close to a power law, and tent-shaped growth rate distribution, and a growth rate variance scaling with firm size. These results are close to empirically found stylized facts. In a more comprehensive version, the model contains additional features: heterogeneous profits margins, as well as interest payments and the possibility of bankruptcy. This relates the model to agent-based macroeconomic models. The extensions are described theoretically theoretically with replicator dynamics. New results are the age distribution of active firms, their profit rate distribution, debt distribution, bankruptcy statistics, as well as typical life cycles of firms, which are all qualitatively in agreement with studies of firms databases of various countries.The proposed model yields promising results by respecting the principle that jointly found results may be generated by the same process, or by several ones which are compatible

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Khezerian, Peiman. « Exploring theoretical models with an agent-based approach in two sided markets ». Thesis, Södertörns högskola, Nationalekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-32737.

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With increasing computational power and more elaborate software comes greater opportunities to complement traditional research methods with alternative methods. In this paper we argue for why the area of two-sided markets could benefit from this alternative approach and attempt to implement a theoretical model in an agent-based framework. By first replicating the theoretical findings in this framework we expand the model in increments in different directions through introducing different set of heterogeneity and behavioral limitations on our actors to see how the theoretical model develops. Only changing the model in increments found the analytical outcome to be robust for many of our changes, in this regard we have not managed to successfully take advantage of the full potential of the agent-based framework.

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Goldstein, Jonathan. « Rethinking Housing with Agent-Based Models| Models of the Housing Bubble and Crash in the Washington DC Area 1997-2009 ». Thesis, George Mason University, 2017. http://pqdtopen.proquest.com/#viewpdf?dispub=10275284.

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This dissertation presents a series of related agent-based models (ABMs) of the housing market in the Washington DC Metropolitan Statistical Area. The models investigate the causes of the housing market bubble and crash during the time period 1997-2009 and policies that could have avoided such a crisis. The work in this dissertation contributes to three research areas: understanding the underlying causes of the housing crisis, demonstrating the ability of ABMs to generate important macro phenomena, and improving ABM methodology.

Using the housing market models, I investigated counterfactual policies related to the causes of the crisis. I show that leverage and expectations are the two most prominent contributors to the bubble, but that other factors, such as interest rates, norms governing the share of income going to housing, and seller behavior all influence the bubble. I find that lending standards and refinance rules play almost no part in the bubble, contrary to some theories of the housing crisis. Towards the end of the dissertation, I pair the housing market with a model of mortgage-backed securities. I show that the increased velocity of lending made possible by securitization can increase the size of bubbles and make markets more fragile, increasing the likelihood of crashes.

The ABMs in this dissertation exploit multiple large, heterogeneous data sets and utilize behavioral rules that are more realistic than conventional neoclassical specifications to reproduce detailed housing market dynamics. Input data include loan level data, multiple listing service (MLS) records, and demographic information from a variety of sources. The ABMs exploit this data by choosing the precise areas of input distributions to use based on the context of the model. This allows the ABMs to match not only aggregate outputs, but intermediate outputs and data distributions. For example, the ABMs in this dissertation not only reproduce empirical macro phenomena, such as the shape of the house price index, but also intermediate variables (e.g., distribution of loan types, average leverage, average days on market, average ratio of sold price to original listing price) and output distributions (e.g., distribution of house prices).

Throughout the dissertation I follow several methodological principles in construction and analysis of the ABMs. First, I demonstrate the use of data to constrain the models. Next, I describe a sensitivity analysis methodology that goes beyond parametric variations, but also varies model rules in what I term a structural sensitivity analysis. I demonstrate how criticisms about ABMs with regard to their opacity, brittleness, and dependency on arbitrary modeling decisions can be resolved through such an analysis. I also describe the architectural design of the models, which makes explicit the theoretically-inspired behavioral rules, facilitating structural sensitivity analyses.

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Cole, Verlan R. Cramer Jayson L. Hollingsworth L. Scott. « Solving the principal - agent problem in Iraq economic incentives create a new model for security / ». Monterey, Calif. : Naval Postgraduate School, 2007. http://bosun.nps.edu/uhtbin/hyperion-image.exe/07Dec%5FCole%5FMBA.pdf.

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"Submitted in partial fulfillment of the requirements for the degree of Master of Business Administration from the Naval Postgraduate School, December 2007."
Advisor(s): Melese, Francois ; Laverson, Alan J. "December 2007." "MBA professional report"--Cover. Description based on title screen as viewed on January 10, 2008. Includes bibliographical references (p. 105-114). Also available in print.

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Cole, Verlan R., L. Scott Hollingsworth et Jayson L. Cramer. « Solving the principal - agent problem in Iraq : economic incentives create a new model for security ». Thesis, Monterey, California. Naval Postgraduate School, 2007. http://hdl.handle.net/10945/10189.

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MBA Professional Report
Approved for public release; distribution is unlimited
This paper offers a path for Iraqis to provide for their own security by ensuring each Iraqi citizen has a stake in Iraq's oil wealth. The hypothesis is that private, individual oil ownership provides dual incentives. First, each Iraqi citizen would have an interest in contributing to the security of Iraq's oil infrastructure and in monitoring the quality of investments, since they and their family would directly benefit. Second, if each Iraqi had the ability to convert some of their stake in Iraq's nonrenewable oil resources into renewable financial capital, then they would make entrepreneurial investments that could help diversify Iraq's economy and contribute to economic development. This report evaluates several alternatives that might be offered for consideration by Iraqi policy makers to distribute Iraq's oil wealth directly to the Iraqi people. The Alaska Permanent Fund dividend offers one potential model for Iraq. Other models explored in this study include the experience of Chad and various privatizations that took place in Eastern Europe. The advantages and disadvantages of alternative oil distribution schemes are explored in an effort to offer new insights and opportunities to policy makers. Several criteria were developed to evaluate the proposed alternatives. These criteria were an outgrowth of three main questions asked of each alternative: First, how efficiently would the model distribute oil ownership to the Iraqi people? Second, how effective is it likely to be in encouraging individuals to support increased security and stability? And finally, how effective is it likely to be in contributing to future economic development?

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Silva, Thiago Cordeiro da. « Exploiting diversity in macroeconomic modeling : a comparative study between Agent-Based and DSGE macroeconomic models / ». Araraquara, 2019. http://hdl.handle.net/11449/180819.

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Orientador: Mario Augusto Bertella
Banca: Alexandre Sartoris Neto
Banca: Roseli da Silva
Resumo: A modelagem macroeconômica tem estado sob intenso escrutínio desde a Crise Financeira de 2007-2008, quando graves deficiências foram expostas na metodologia DSGE. Embora muitas dessas críticas tenham sido injustas ou desinformadas, elas enfatizaram a necessidade de considerar formas alternativas de modelagem macroeconômica e aprimorar abordagens estabelecidas, a fim de torná-las mais úteis para a compreensão de um mundo em recessão. Nesse sentido, argumentamos que explorar a diversidade na modelagem macroeconômica pode beneficiar a profissão e produzir resultados importantes em relação à formulação de políticas macroeconômicas. Uma maneira de explorar a diversidade na macroeconomia é investigar sistematicamente tanto os modelos DSGE quanto os modelos baseados em agentes, revelando suas forças e limitações relativas, e combinando essas duas abordagens diferentes, a fim de que possamos aprender uma com a outra e talvez produzir um modelo híbrido. Este trabalho dá o primeiro passo rumo a esse desafio. Acreditamos que uma abordagem interdisciplinar pode ajudar não só toda a agenda da pesquisa macroeconômica, mas também beneficiar a sociedade como um todo, permitindo a implementação de medidas políticas mais eficazes e aumentando a capacidade dos economistas em modelar a heterogeneidade social em um mundo complexo e em constante evolução.
Abstract: Macroeconomic modelling has been under intense scrutiny since the Financial Crisis of 2007-2008, when serious shortcomings were exposed in the DSGE methodology. Although many of these criticisms were unfair or uninformed, they did highlight the need of considering alternative forms of macroeconomic modelling and enhancing established approaches in order to make them more useful for understanding a world in recession. In this sense, we argue that exploiting diversity in macroeconomic modelling can benefit the profession and yield more fruitful developments regarding the formulation of macroeconomic policy. One way of exploring diversity in macroeconomics is by investigating systematically both the DSGE and the Agent-Based models, revealing their relative strengths and limitations, and combining these two different approaches, so that we can explore what one can learn from the other and perhaps yield a hybrid model. This work takes the first step towards this ultimate achievement. We believe that an interdisciplinary approach may help not only the entire macroeconomic research agenda, but also benefit society as a whole, allowing the implementation of more effective policy measures and by increasing the ability of economists to model social heterogeneity in a complex-evolving world.
Mestre

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ERCOLI, ROBERTO. « Three Essays on Income Distribution and Economic Growth ». Doctoral thesis, Università Politecnica delle Marche, 2018. http://hdl.handle.net/11566/260235.

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Oggetto della tesi è lo studio della relazione tra distribuzione del reddito e crescita economica. La tesi è composta da tre capitoli. Il primo capitolo è una rassegna della la letteratura teorica e empirica. Nel secondo capitolo viene proposto un modello analitico che estende il modello post-keynesiano distinguendo i lavoratori in due gruppi: quelli qualificati e quelli non qualificati. Mentre i primi godono di un aumento della produttività grazie all'accumulazione di conoscenza e riescono a contrattare salari maggiori, i secondi non riescono a beneficiarne. Risultato del modello è che una accumulazione della conoscenza più veloce, finanziata attraverso un aumento della pressione fiscale, può generare effetti diversi sulla crescita della produzione e sulla disuguaglianza all'interno della classe dei lavoratori a seconda della relazione dei parametri del modello stesso. Nel terzo capitolo l'accezione di distribuzione del reddito passa da quella funzionale a quella personale. La metodologia usata è quella della simulazione ad agenti arricchita dal rispetto dei vincoli della modellazione “Stock-Flow consistent”. Peculiarità del modello sono la sua natura intergenerazionale e la divisione della popolazione in tre possibili classi sociali: lavoratori qualificati, lavoratori qualificati e capitalisti-puri con la possibilità per ogni individuo di poter passare da una classe all'altra durante la simulazione. Fra gli altri risultati già noti in letteratura emerge la bassa mobilità fra le generazioni sia considerata come livelli di reddito sia come classe sociale di appartenenza. Inoltre una analisi di sensitività mostra come una maggiore progressività del sistema di tassazione genera un aumento del livello della produzione.
Subject of the thesis is the study of the relationship between income distribution and economic growth. The thesis consists of three chapters. The first chapter is a review of the theoretical and empirical literature. In the second chapter an analytical model is proposed. The purpose is to extend the Post-Keynesian model distinguishing the workers in two groups: the qualified ones and the unqualified ones. While the former enjoy an increase in productivity thanks to the accumulation of knowledge and succeed in bargaining higher wages, the latter are not able to benefit from it. The result of the model is that a faster accumulation of knowledge, financed through an increase in the taxation, can generate different effects on the growth and on the inequality within the working class depending on the model parameters relationship. In the third chapter the meaning of income distribution goes from the functional sense to the personal one. The methodology used is Agent-based modelling enriched by compliance with the constraints of the "Stock- Flow consistent" modelling. Peculiarities of the model are its intergenerational nature and the division of the population into three possible social classes: skilled workers, unskilled ones and pure capitalist with the possibility for each individual to move from a class to another during the simulation. Among the other results already known in the literature, main result is a low mobility between generations both considering income level and the social class of belonging. Furthermore, a sensitivity analysis shows that greater progressivity of the taxation system generates an increase in the level of production.

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Queiroz, Marco Aurélio Lima de. « Business competition dynamics : agent-based modeling simulations of firms in search of economic performance ». reponame:Repositório Institucional do FGV, 2010. http://hdl.handle.net/10438/8170.

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The intent of this work is to explore dynamics of business competition through agentbased modeling simulations of firms searching for performance in markets configured as fitness landscapes. Building upon a growing number of studies in management science that utilizes simulation methods and analogies to Kauffman´s model of biological evolution, we developed a computer model to emulate competition and observe whether different search methods matter, under varied conditions. This study also explores potential explanations for the persistence of above and below average performances of firms under competition.
A intenção deste trabalho é explorar dinâmicas de competição por meio de “simulação baseada em agentes”. Apoiando-se em um crescente número de estudos no campo da estratégia e teoria das organizações que utilizam métodos de simulação, desenvolveu-se um modelo computacional para simular situações de competição entre empresas e observar a eficiência relativa dos métodos de busca de melhoria de desempenho teorizados. O estudo também explora possíveis explicações para a persistência de desempenho superior ou inferior das empresas, associados às condições de vantagem ou desvantagem competitiva

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Choi, Chung Ho. « Patient journey shortening using a multi-agent approach ». HKBU Institutional Repository, 2010. http://repository.hkbu.edu.hk/etd_ra/1228.

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KRACHKOVSKAYA, INNA. « The regulation of financial derivates : an agent-based model approach ». Doctoral thesis, Università degli Studi di Cagliari, 2015. http://hdl.handle.net/11584/266822.

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In 2007-08, the world experienced the greatest financial crisis since 1929, which turned – in the following years – in one of the deepest and most prolonged periods of economic stagnation of modern history. While there were multiple conditions that originated the so-called Great Financial Crisis, a general consensus emerged that financial derivatives played an important role in the outbreak of the crisis and in posing a credible threat that the entire global financial system could melt down. As a reaction, several countries in the world and international organizations agreed on a policy response to reformulate the global architecture for the regulation of the financial system, including the financial derivatives industry. Yet, the fundamental question of whether the contemporary system of derivatives regulation can effectively shield the financial system from sources of systemic risk is still undecided, for reasons that especially relate to the complexity of the networked structure of the financial derivatives industry. As a way to contribute to tackle this issue, this work aims to investigate whether an important component part of the present system of financial derivatives regulation – namely, Central Counterparts (CCPs) Clearing Houses – provide a more resilient financial system. The research question is addressed through a simulation approach based on an agent-based modeling of the financial derivatives industry. The results of the simulation show that the introduction of a CCP improves the resilience of the simulated financial derivatives industry, although it does not completely shield the financial system from disruptions that may especially depend from the degree of interconnectedness of financial operators and the magnitude of defaults. In sum, this work offers some methodological guidance for enriching the repertoire of tools at disposal of financial regulatory authorities in anticipating the consequences of interventions in the financial industry.

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LUCCHESE, 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.

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Identifying parameters for state-space models in high dimensioned cases requires a complex methodology. We offer an example of application for hedonic prices and the hyper-parameter estimation for dynamic supply chains. An algorithm is created based on the Kalman filter-smoother and Expectation-Maximization procerures. Stopping rules for the algorithm are analyzed and compared. We detected the best stopping rule for our environment. In this way, the hedonic prices estimated can be used for any decision process. The thesis point to an application in forecast analysis for product prices. Accurate forecasting of market price developments is essential in achieving superior market performance. Especially in oligopolistic markets for durable consumer products a robust understanding of selling prices is important, as it drives pricing behavior as well as procurement, inventory and production decisions. Moreover, a supply chain perspective is indispensable for pricing forecasts since companies not only compete for product sales but also for limited resources. The thesis explores the use of dynamic multivariate hedonics-based pricing models that explicitly model selling prices with the market valuation of constituting parts. The model is applied to TAC SCM, a supply-chain trading agent competition. To find unknown component prices series we apply the Kalman filter technique to smooth and forecast implicit prices using the EM algorithm. Finally, we present results of our analysis to establish the viability of this method.

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Lemoy, Rémi. « The City as a Complex System. Statistical Physics and Agent-Based Simulations on Urban Models ». Phd thesis, Université Lumière - Lyon II, 2011. http://tel.archives-ouvertes.fr/tel-00634588.

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Social and natural sciences share an interest for collective phenomena, which constitute an important part of the domain of complex systems. This thesis focuses on the study of urban systems, using analytical tools inspired by statistical physics, and also simulations, in particular agent-based models. A first analytical resolution of a Schelling spatial segregation model is presented, using a statistical physics framework linking individual and collective dynamics. This framework shows that utility or welfare in socio-economic models corresponds to a chemical potential in physics, a correspondence which is applied to a urban housing model. The housing market is further studied with a parsimonious price formation model. The implementation of an agent-based model, which reproduces the results of the standard urban economics (AMM) model, provides a second point of view on urban systems and the interaction between transport and land use. The simulations give results also when analytical resolution is lacking. The model is used to study the economic, environmental and social outcomes of having an amenity in the urban area and of polycentric cities. With two income groups, this work provides insights on the different urban social structures in North American and European cities for instance.

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CRUCITTI, FRANCESCA. « HETEROGENEOUS FIRMS MODELS AND FINANCIAL MARKET FRICTIONS ». Doctoral thesis, Università degli Studi di Milano, 2019. http://hdl.handle.net/2434/613188.

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The common thread in this thesis is represented by general equilibrium models with heterogeneous firms. Initiated by Huggett (1993) and Aiyagari (1994), a strand of general equilibrium literature characterized by the distribution of heterogeneous individuals has been developed. In recent years, the introduction of heterogeneity in macroeconomics increased exponentially. The thesis is developed in this context. The first chapter provides a methodological analysis. It examines the importance of the modelization choice of the idiosyncratic productivity process of individuals. The second chapter proposes a theoretical model which can be able to reconcile four important facts shared by most of the advanced economies around the world: declining labor share of income, rising capital misallocation, low total factor productivity growth and the declining relative price of investment goods.

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Barney, Bradley John. « Accounting for Additional Heterogeneity : A Theoretic Extension of an Extant Economic Model ». BYU ScholarsArchive, 2007. https://scholarsarchive.byu.edu/etd/1223.

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The assumption in economics of a representative agent is often made. However, it is a very rigid assumption. Hall and Jones (2004b) presented an economic model that essentially provided for a representative agent for each age group in determining the group's health level function. Our work seeks to extend their theoretical version of the model by allowing for two representative agents for each age—one for each of “Healthy” and “Sick” risk-factor groups—to allow for additional heterogeneity in the populace. The approach to include even more risk-factor groups is also briefly discussed. While our “extended” theoretical model is not applied directly to relevant data, several techniques that could be applicable were the relevant data to be obtained are demonstrated on other data sets. This includes examples of using linear classification, fitting baseline-category logit models, and running the genetic algorithm.

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Steiglechner, Peter. « A Spatially Explicit Agent-Based Model of Human-Resource Interaction on Easter Island ». Thesis, KTH, Numerisk analys, NA, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-277730.

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The history of Easter Island, with its cultural and ecological mysteries, has attracted the interests of archaeologists, anthropologists, ecologists, and economists alike. Despite the great scientific efforts, uncertainties in the available archaeological and palynological data leave a number of critical issues unsolved and open to debate. The maximum size reached by the human population before the arrival of Europeans and the temporal dynamics of deforestation are some of the aspects still fraught with controversies. By providing a quantitative workbench for testing hypotheses and scenarios, mathematical models are a valuable complement to the observational-based approaches generally used to reconstruct the history of the island. Previous modelling studies, however, have shown a number of shortcomings in the case of Easter Island, especially when they take no account of the stochastic nature of population growth in a temporally and spatially varying environment. Here, I present a new stochastic, Agent-Based Model characterised by (1) realistic physical geography of the island and other environmental constraints (2) individual agent decision-making processes, (3) non-ergodicity of agent behaviour and environment, and (4) randomised agent-environment interactions. I use the model and the best available data to determine plausible spatial and temporal patterns of deforestation and other socioecological features of Easter Island prior to the European contact. I further identify some non-trivial connections between microscopic decisions or constraints (like local confinement of agents' actions or their adaptation strategy to environmental degradation) and macroscopic behaviour of the system that can not easily be neglected in a discussion about the history of Easter Island before European contact.
Påsköns historia har, med dess kulturella och ekologiska mysterier, väckt intressen hos arkeologer, antropologer, ekologer och ekonomer. Trots de stora vetenskapliga ansträngningarna lämnar osäkerheten i de tillgängliga arkeologiska och palynologiska data ett antal kritiska frågor olösta och öppna för debatt. Den maximala storleken som den mänskliga befolkningen nådde före européernas ankomst, och avskogningens tidsmässiga dynamik, är några av de aspekter som fortfarande är fyllda med kontroverser. Genom att tillhandahålla en kvantitativ arbetsbänk för att testa hypoteser och scenarier är matematiska modeller ett värdefullt komplement till de observationsbaserade metoder som vanligtvis används för att rekonstruera öns historia. Tidigare modelleringsstudier har emellertid visat ett antal brister i fallet med Påskön, särskilt när de inte tar hänsyn till den stokastiska karaktären av befolkningsökningen i en tillfällig och rumsligt varierande miljö. Här presenters en ny stokastisk, agentbaserad modell som kännetecknas av (1) realistisk fysisk geografi av ön och andra miljömässiga begränsningar, (2) individuella beslutsprocesser av agenter, (3) icke-ergodicitet av agentens beteende och miljö och (4) randomiserade agent-miljöinteraktioner. Modellen används tillsammans med de bästa tillgängliga data för att bestämma rimliga rumsliga och temporära mönster av avskogning och andra socioekologiska egenskaper på Påskön före européers ankoms. Vidare identifieras några icke-triviala förbindelser mellan mikroskopiska beslut eller begränsningar (till exempel lokal inneslutning av agentens handlingar eller deras anpassningsstrategi till miljöförstöring) och makroskopiskt beteende hos systemet som inte lätt kan försummas i en diskussion om påsköns historia före europeisk kontakt.

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Erazo, Jairo Daniel Chamorro Chamorro. « An agent-based model for lighting technology adoption in the residential sector : integration of social, technological and economic factors ». Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/100/100132/tde-02032017-225727/.

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The implementation of energy policies oriented to incentive the adoption of efficient lighting technologies in the residential sector requires analytic tools able to describe the market conditions necessary for a successful penetration of the innovations. This article describes, using an agent-based model, the relationship between the micro behaviors of householder\'s adoption of lighting technologies and the aggregated macro patterns of diffusion in the Brazilian residential sector. The model also studies the dynamic between the interaction network parameters and the emerging diffusion characteristics in different economic scenarios for energy and technologic prices
A implementação de políticas públicas orientadas a incentivar a adopção de tecnologias de iluminação mais eficientes no setor residencial precisa de ferramentas analíticas capazes de descrever assertivamente as condições de mercado necessárias para uma penetração exitosa destas inovações. Este documento descreve, utilizando modelagem baseado em agentes, a relação entre os micro comportamentos dos usuários ao adotar as tecnologias de iluminação e as macro tendências agregadas de difusão no setor residencial brasileiro. O modelo também estuda a dinâmica existente entre a relação dos parâmetros das redes de interação e as caraterísticas emergentes no processo de difusão em diferentes cenários econômicos para os custos energéticos e tecnológicos.

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ZENEZINI, GIOVANNI. « A new evaluation approach to City Logistics projects A business-oriented Agent-Based model ». Doctoral thesis, Politecnico di Torino, 2018. http://hdl.handle.net/11583/2710999.

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Supplying goods to urban areas is a fundamental economic process because the majority of the world population lives and buys goods in cities. Freight distribu-tion activities in urban areas account for roughly 40% of supply chain costs and 60% of supply chain CO2 emissions. Moreover, surging e-commerce trends shape the urban freight transportation arena, increasing its complexity and the pressure on private actors. Thus, urban freight transportation activities generate negative externalities, but are relevant to a great amount of enterprises that compose the economic and social fabric. In this context, City Logistics (CL) emerged as a comprehensive concept driv-ing solutions to reduce negative externalities while interfering as little as possible with private actors’ operations and profitability. CL scholars and practitioners are facing several issues arising from e-commerce and population growth. In particu-lar, logistics service providers are called to optimize their operations in order to increase the speed of delivery. At the same time however, CL is dealing with technological and systemic innovation that might enhance optimization capabili-ties and network usage. As a response to the changing environment and within the mandate of CL paradigm, local authorities and private actors have invested on a wide range of initiatives. The variety of approaches adopted and stakeholders involved, at multiple governmental levels, are responsible for a mixed landscape of CL experiences across different regional contexts. Furthermore, despite their relatively large dif-fusion, CL initiatives often fail in taking up after a first pilot implementation, unable to reach paying customers after public subsidies are removed. Therefore, un-derstanding the major business aspects that underline the reasons for adopting CL initiative by private stakeholders is key to a more long-term vision on CL implementation and assessment. Previous research has given little attention to understanding the commercial and business aspects of CL projects before actually designing and implementing them, even though CL scholars have ascertained that evaluation methodologies need to encompass all aspects relevant issues for CL schemes. Several methodol-ogies have been proposed since the inception of CL with the evaluation objective in mind. However, they fall short in different ways. For instance, qualitative methods adopt a short-term feasibility approach to CL evaluation, and the subjec-tive evaluation of quantitative outcomes may potentially influence the ranking between different alternatives. On the other hand, modelling techniques need high quality data to simulate traffic flows and consumers’ demand, but fail short to ad-dress other important decision-making factors related to the business model of stakeholders. Research opportunities therefore lie in mixing the advantages of quantitative and qualitative approaches to include stakeholders in quantitative ex-ante evaluation of CL projects. My thesis will try to answer to the following research questions. -Research question 1: What is the state-of-art of CL projects modelling and evaluation meth-ods/frameworks? -Research question 2: How can an integrated qualitative-quantitative framework for CL evaluation be conceived? -Research question 3: How can a new evaluation framework effectively integrate a business-oriented view of CL systems? The first objective of this thesis is to highlight advantages and disadvantages of assessment methodologies with respect to the integration of the business mo-tives of CL actors into non-project specific, a long-term view on CL project as-sessment. The second objective of this work is to define a theoretical framework for designing and assessing CL projects business models on a qualitative level. To this end, CL systems are here compared to business ecosystems, which are a network of interrelated business entities. In the framework, CL actors can play multi-ple roles, and their decisions are based on their objectives, information, and con-straints. The business model of a business entity within the system is the set of the roles it plays, the business and operative relationships formed with other business entities, and the monetary and intangible values exchanged through these relationships. New quantitative methods are needed for a more sound representation of the patterns emerging from the different behaviours of agents. Hence, the third objective is to build an agent-model proposal for modelling, simulating and ultimately evaluating CL projects business model. In agent-based modelling, each actor can be modelled as an agent possessing objectives and decision-making attributes. Agents act autonomously and their interactions are defined formally by means of ontologies and model narratives built as a representation of real-life system. Finally, an experiment design will be constructed to provide insights on an ex-isting case study related to the introduction of automated parcel locker station. Two CL ecosystem configurations are modelled together in order to simulate the decision to adopt a new logistics service by potential customers. Then, the effect of the decision regarding the allocation of marketing and R&D budget is also evaluated. From the simulation runs, it becomes clear that the outcome for each ecosystem configuration in terms of profits and customers is strongly influenced by the decisions taken within the other configuration. In summary, this thesis provides a first modelling and simulation tool for as-sessing the implications of business model decisions within specific CL business ecosystems. For instance, the strategic decision to adopt a service proposed by a CL company is associated with the evaluation of intangible benefits offered by such company. Moreover, the modelling tool highlights the links between such strategic decisions and the operative ones, such as vehicle routing or inventory policies. Therefore, it proves that qualitative approaches can be used to integrate all stakeholders, while quantitative modelling provide a simulation environment to test long-term effects of different scenarios. However, this study has some limita-tions. For instance, more strategic decisions should be included in the model to investigate endogeneity stemming from agents’ actions. Furthermore, the implica-tion on the business ecosystem of the value of information are not assessed. Finally, the scope of the computational experiment should be widened to include a per-formance evaluation phase, which would then lead to more decision-making by the agents. Further research is aimed at using the tools developed in the thesis to understand how to drive retailers to change their attitude towards CL by under-standing and designing value proposition that might appeal to them. Moreover, the implications of the entrance of new CL players one traditional ones’ business model need to be explored more deeply from the strategic perspective of power relations.

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Li, Qian. « Evaluation of Parking Guidance Information System with Multi-agent Based Simulation ». 京都大学 (Kyoto University), 2014. http://hdl.handle.net/2433/188568.

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Boto, Joaquim Paulo da Silva. « Desenvolvimento de Modelos Baseados em Agentes : Plataforma Aplicacional ». Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2962.

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Mestrado Gestão de Sistemas de Informação
Apesar de a experimentação ser o método mais utilizado em muitas áreas científicas, nem sempre é possível recorrer a esse método nas áreas das Ciências Sociais ou das Ciências Económicas. Uma alternativa é a simulação computacional, em que se recorre a um programa de computador para representar um modelo do fenómeno a estudar, aplicando as abstracções e conceitos considerados relevantes e apropriados, tem-se vindo a tornar um instrumento cada vez mais utilizado e útil na pesquisa científica. Ao longo dos últimos anos, um dos métodos de simulação computacional que tem tido maior desenvolvimento é o desenvolvimento de Modelos Baseado em Agentes: este consiste num sistema computacional que simula as acções das entidades intervenientes no fenómeno a estudar, e as interacções dessas entidades entre si e com o ambiente em que se encontram localizadas, tendo em vista a confirmação de hipóteses teóricas que contribuam para explicar o fenómeno estudado. Em linhas gerais, o tema proposto para este Trabalho de Fim de Mestrado é a criação de uma plataforma aplicacional para a criação de Modelos Baseados em Agentes, contemplando os requisitos gerais deste tipo de simulação computacional, e avaliar as vantagens e desvantagens desta plataforma. Esta dissertação começará por enquadrar teórica e historicamente a simulação computacional no âmbito das Ciências Sociais, para em seguida identificar os aspectos fundamentais e específicos dos Modelos Baseados em Agentes. Sucessivamente, será concebida a arquitectura da plataforma aplicacional, considerando os requisitos gerias que se podem associar à criação de Modelos Baseados em Agentes e será efectuada a sua implementação; a plataforma será depois utilizada para a construção de vários modelos, de modo a verificar a conveniência da sua utilização para construção de alguns dos modelos mais frequentes referidos na literatura. Por fim, serão indicadas as várias possíveis evoluções e ampliações à plataforma criada, no sentido de a tornar mais completa, tanto sobre o ponto de vista das funcionalidades contempladas como do ponto de vista da sua versatilidade, e são avaliadas as vantagens e desvantagens da sua utilização. Assim, em linhas gerais, a metodologia seguida no desenvolvimento deste trabalho será constituída pelas seguintes seis etapas principais: Adquirir e consolidar o conhecimento sobre a modelização de fenómenos sociais baseada em agentes; Especificar os principais requisitos que deverão ser contemplados pela plataforma e identificar a arquitectura mais apropriada; Construir a plataforma; Verificar a plataforma, utilizando-a para construir alguns Modelos Baseados em Agentes de referência descritos na literatura; Identificar possíveis evoluções e extensões tendo em vista obter funcionalidade adicional e uma maior versatilidade da plataforma desenvolvida; Avaliar as vantagens e desvantagens da utilização da plataforma desenvolvida.
Despite the experimental method being the most widely used method in many scientific areas, is not always possible to use this method in the areas of Social Sciences or Economics Sciences. An alternative is the computer simulation, where a computer program is used to represent a model of the phenomenon to study, applying the abstractions and concepts considered relevant and appropriate, has been used as a key instrument in research. During the last years, one of the methods of computer simulation which has had significant development is the so called Agent-Based Models method: this method is based on computational systems that simulate the actions of the entities involved in the phenomena to study, and the interactions of these entities among themselves and with the environments where they are located, in order to explain the phenomenon studied. The theme proposed for this master thesis is to create an application platform for creating agent-based models covering the general requirements of this type of computer simulation, and to evaluate advantages and drawbacks in its use. The thesis will begin by describing, historically and theoretically, computer simulation as applied to social sciences, to then identify the basic and specific aspects of Agent-Based Models. Then, the application platform architecture will be designed, considering the general requirements that may involved in the creation of Agent-Based Models and its implementation will be carried out; finally, the platform will be used to build several models in order to verify the appropriateness of their use for building some of the models most frequently mentioned in literature. At the end, the various possible developments and extensions to the platform in order to make it more complete (considering functionality and versatility) will be described and the advantages and drawbacks of its use will be evaluated as well. Thus, in general, the methodology applied in developing this master thesis will pursue the subsequent six main steps: Acquire and consolidate knowledge on social phenomena models based on agents; Identify key issues to be addressed by the platform and identify the most appropriate architecture options; Design and implement the platform; Check the platform, using it to build some agent-based models described in the literature; Identify possible developments and extensions in order to obtain additional functionality and versatility; Evaluate the platform advantages and drawbacks.

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Bianchi, F. « THE SOCIAL FROM THE ECONOMIC : THE EMERGENCE OF SOLIDARITY WITHIN NETWORKS OF ECONOMIC EXCHANGE ». Doctoral thesis, Università degli Studi di Milano, 2017. http://hdl.handle.net/2434/491473.

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In this dissertation, we attempted to contribute to the discussion about the link between the economic and the social. More specifically, we addressed the debate on the consequences of economically-oriented interaction on social relations. Sociological studies have mostly focused on understanding the opposite direction, i.e., the effect of social relations on economic outcomes. Conversely, our work was motivated by the idea that the consequences of the economic on the social is crucial for social sciences and society in general. First, we reviewed the literature on solidarity and exchange relations in sociology and the behavioural sciences. The chapter aimed to elaborate a theoretical framework and working hypotheses for the following chapters. We proposed a definition of solidarity at the behavioural level and various empirical contributions have been examined. Next, we conducted an empirical study on the link between professional collaboration and social support relations. In this work, certain hypotheses were tested on a group of independent professionals sharing a ’coworking’ space. Here, we found that solidarity can emerge as a by-product of economic exchange among strangers if they are allowed to select each other for collaboration and develop trust relations. The following chapter presents an extensive literature review of the use of Agent-Based Models (ABM) for sociological research. Given the key role of this methodology in this dissertation, the chapter aims to provide a comprehensive account of the contributions to sociology given by applications of ABM computer simulations. Moreover, a classification of these contributions is proposed according to the various methodological approaches to ABM in social research. The aim of the chapter is to review ABM as a possible means to overcome some limitations of the study presented before. Then, the final study applies computer simulation to analyze cohesion and integration of a social support network from economic exchange. In this chapter, an ABM of the mechanisms observed in the previous empirical study is presented. The model is used to simulate the effect of competition and resource distribution on social support networks. The aim of this work is to explore the effects of different environmental conditions and overcome the context-specific properties of empirical data. We argue that competition over most attractive collaborators can undermine the emergence of a cohesive social support network. Yet, this detrimental effect can be avoided if we assume that poor-resource actors are more eager to ask others for support, therefore generating a cohesive and more integrated social support network. Finally, we drew some conclusions in the last chapter.

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Ding, Deng. « An integrated modeling framework of socio-economic, biophysical, and hydrological processes in Midwest landscapes : remote sensing data, agro-hydrological model, and agent-based model ». Diss., University of Iowa, 2014. https://ir.uiowa.edu/etd/1840.

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Intensive human-environment interactions are taking place in Midwestern agricultural systems. An integrated modeling framework is suitable for predicting dynamics of key variables of the socio-economic, biophysical, hydrological processes as well as exploring the potential transitions of system states in response to changes of the driving factors. The purpose of this dissertation is to address issues concerning the interacting processes and consequent changes in land use, water balance, and water quality using an integrated modeling framework. This dissertation is composed of three studies in the same agricultural watershed, the Clear Creek watershed in East-Central Iowa. In the first study, a parsimonious hydrologic model, the Threshold-Exceedance-Lagrangian Model (TELM), is further developed into RS-TELM (Remote Sensing TELM) to integrate remote sensing vegetation data for estimating evapotranspiration. The goodness of fit of RS-TELM is comparable to a well-calibrated SWAT (Soil and Water Assessment Tool) and even slightly superior in capturing intra-seasonal variability of stream flow. The integration of RS LAI (Leaf Area Index) data improves the model's performance especially over the agriculture dominated landscapes. The input of rainfall datasets with spatially explicit information plays a critical role in increasing the model's goodness of fit. In the second study, an agent-based model is developed to simulate farmers' decisions on crop type and fertilizer application in response to commodity and biofuel crop prices. The comparison between simulated crop land percentage and crop rotations with satellite-based land cover data suggest that farmers may be underestimating the effects that continuous corn production has on yields (yield drag). The simulation results given alternative market scenarios based on a survey of agricultural land owners and operators in the Clear Creek Watershed show that, farmers see cellulosic biofuel feedstock production in the form of perennial grasses or corn stover as a more risky enterprise than their current crop production systems, likely because of market and production risks and lock in effects. As a result farmers do not follow a simple farm-profit maximization rule. In the third study, the consequent water quantity and quality change of the potential land use transitions given alternative biofuel crop market scenarios is explored in a case study in the Clear Creek watershed. A computer program is developed to implement the loose-coupling strategy to couple an agent-based land use model with SWAT. The simulation results show that watershed-scale water quantity (water yield and runoff) and quality variables (sediment and nutrient loads) decrease in values as switchgrass price increases. However, negligence of farmers risk aversions towards biofuel crop adoption would cause overestimation of the impacts of switchgrass price on water quantity and quality.

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Papa, Gianluca. « Essays on econometrics of panel data and treatment models ». Doctoral thesis, Universite Libre de Bruxelles, 2013. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209408.

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In this thesis, I apply the sophisticated tools made available by the econometrics of panel data and treatment models to a range of different issues. In the first Chapter, an ECM model is used to test on the existence of financing constraints in firms’ investment and R&D, taken a proxy for the efficiency of market institutions and governance rules in different countries. In the second chapter we test an agency model linking pay-performance contracts of CEOS to the financial situation of a firm by using a UK panel data. In the third chapter I use a sophisticated treatment model to evaluate the effectiveness of Italian public subsidies to R&D. Finally, in the fourth chapter I try to evaluate the efficiency of Italian regional systems of public healthcare by controlling for socio-economic factors and quality of healthcare in a composite model using panel data estimation and efficient frontier techniques.

The first Chapter analyzes the investment behavior of a sample of R&D intensive firms which are quoted on the stock market from USA, UK and Japan for the period 1990-1998. By using an error correction model we test the elasticity of investment and R&D to cash flow in these countries to see by which measure different market institutions and corporate governance rules affects the cost of external financing. Contrary to previous studies, we find significant differences in the sensitivity to cash flow of the two types of investment, with R&D expenditure being much less sensitive than ordinary investment. This is not surprising given the more long-term nature of R&D expenditures. For what concerns the comparison between the different systems/countries, the USA stock markets confirms as the most efficient market providing outside financing at a much lower cost compared to other markets, especially for young, smaller firms.

The second Chapter is a joint work with Biagio Speciale. It uses the data on a panel of quoted UK firms over the period 1995–2002 to study the effects of financial leverage on managerial compensation. The change in the investors’ expectations that caused the recent collapse of the stock market tech bubble is a perfect example of natural experiment that has been used as a source of plausibly exogenous variation in the firm’s debt. The estimates show that pay-for-performance sensitivity is increasing in financial leverage, with the exception of the 10% most levered firms, giving rise at the end to a non-linear (inverted U-shape) relationship between the two variables. The chapter includes also a theoretical model accounting for this relationship where an higher leverage increases both the expected returns and the expected variance of investment returns: the first effect (determining increased pay-performance sensitivity) prevails for low leverage values and the second effect (determining decreased pay-performance sensitivity) prevails for high leverage values.

The third Chapter undertakes an empirical estimation of the additionality of public funding on both the propensity to initiate R&D activity and the intensity of R&D spending of Italian enterprises for the period 1998-2000, using data from the Third Community Innovation Survey and from firms' financial accounts. The chosen methodology (Endogenous Switching Type II-Tobit) takes into account the possibility that decisions about both starting an R&D activity (sample selection effect) and applying for/obtaining public funding (essential heterogeneity) are influenced by private knowledge of enterprises' idiosyncratic propensities in R&D spending. The present analysis shows that both these effects are indeed important and that they contribute to explain most of the additionality found with less sophisticated models.

The fourth Chapter investigates the underlying causes of variability of public health expenditure per capita (SSPC henceforth) between Italian regions. A fixed-effect panel data estimate on the SSPC (for the period 1997-2006) is used in the first part of the paper to account for regional differences in terms of physical, demographic, socio-economic characteristics and in terms of other variables that affect demand and supply of health services. In the second part, we take the ‘adjusted’ SSPC and proceed to estimate an "efficient production function" of the quality of health services through Data Envelopment Analysis. This procedure allows us to separate the share of expenditure used for the improvement of the quality from the one that can be traced only to an inefficient use of financial resources. A comparison of regional SSPC after factoring out the socio-economic factors and the quality of healthcare shows that big differences still remain and are even exacerbated, signalling big pockets of inefficiency and correspondingly a huge potential for cost savings. Finally, a preliminary analysis shows a positive correlation between the efficiency of regional public spending in healthcare and the level of social capital.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

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Jochem, Patrick. « A CO2 emission trading scheme for German road transport assessing the impacts using a meso economic model with multi-agent attributes ». Baden-Baden Nomos, 2009. http://d-nb.info/996210792/04.

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REISSL, SEVERIN DAVID. « La formazione delle aspettative modelli macroeconomici basati su agenti ». Doctoral thesis, Università Cattolica del Sacro Cuore, 2020. http://hdl.handle.net/10280/87444.

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L'obbiettivo di questa tesi è di investigare il ruolo della formazione delle aspettative nei modelli macroeconomici basati su agenti e stock-flussi coerenti. Mentre ci sono stati notevoli passi avanti nello sviluppo di tali modelli, la ricerca sulla formazione e sul ruolo delle aspettative in essi rimane ancora poco sviluppato. La tesi è composta da tre articoli, ognuno dei quali si focalizza sulla formazione delle aspettative in un settore economico speci co e presenta una serie di esperimenti riguardanti la variazione dei meccanismi di formazione delle aspetta- tive, dinamiche di opinioni e sentimenti, così come le applicazioni delle politiche economiche. La tesi dimostra l'influenza potenzialmente forte delle aspettative dei agenti sulla volatilità macroeconomica e mostra che, dipendendo dalla loro speci cazione e l'ambiente economico, le aspettative possono essere sia un elemento stabilizzante che un elemento destabilizzante. Inoltre, attraverso l'ampia gamma di esperimenti politici condotti, serve a sottolineare il ruolo importante delle politiche stabilizzanti nei sistemi che esibiscono fluttuazioni endogene, e il capitolo 4 in particolare mette in evidenza la potenziale dipendenza dell'efficacia delle politiche economiche dalle aspettative. Allo stesso tempo, alcuni dei risultati ottenuti avvertono che nei sistemi complessi, gli interventi politici devono essere calibrati attentamente affinché non diventino essi stessi fonte di instabilità.
The purpose of this thesis is to investigate the role of expectations formation in agent-based and stock-flow consistent macroeconomic models. While there have been considerable advances in the development of such models, research on the formation and role of beliefs and expectations within them remains underdeveloped. The thesis consists of three papers, each of which focuses on expectations formation in one particular economic sector and presents a range of experiments concerning the variation of expectations formation mechanisms, belief and sentiment dynamics, as well as policy applications. The thesis demonstrates the potentially strong influence of agents' expectations on macroeconomic volatility and shows that depending on their specification as well as the economic environment, expectations can be both a stabilising and destabilising factor. Moreover, through the wide range of policy experiments conducted, it serves to emphasise the important role of stabilisation policies in systems exhibiting endogenous fluctuations and chapter 4 in particular highlights the potential dependence of policy effectiveness on expectations. At the same time, some of the obtained results caution that in complex systems, policy interventions must be carefully calibrated lest they themselves become a source of instability.

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REISSL, SEVERIN DAVID. « La formazione delle aspettative modelli macroeconomici basati su agenti ». Doctoral thesis, Università Cattolica del Sacro Cuore, 2020. http://hdl.handle.net/10280/87444.

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L'obbiettivo di questa tesi è di investigare il ruolo della formazione delle aspettative nei modelli macroeconomici basati su agenti e stock-flussi coerenti. Mentre ci sono stati notevoli passi avanti nello sviluppo di tali modelli, la ricerca sulla formazione e sul ruolo delle aspettative in essi rimane ancora poco sviluppato. La tesi è composta da tre articoli, ognuno dei quali si focalizza sulla formazione delle aspettative in un settore economico speci co e presenta una serie di esperimenti riguardanti la variazione dei meccanismi di formazione delle aspetta- tive, dinamiche di opinioni e sentimenti, così come le applicazioni delle politiche economiche. La tesi dimostra l'influenza potenzialmente forte delle aspettative dei agenti sulla volatilità macroeconomica e mostra che, dipendendo dalla loro speci cazione e l'ambiente economico, le aspettative possono essere sia un elemento stabilizzante che un elemento destabilizzante. Inoltre, attraverso l'ampia gamma di esperimenti politici condotti, serve a sottolineare il ruolo importante delle politiche stabilizzanti nei sistemi che esibiscono fluttuazioni endogene, e il capitolo 4 in particolare mette in evidenza la potenziale dipendenza dell'efficacia delle politiche economiche dalle aspettative. Allo stesso tempo, alcuni dei risultati ottenuti avvertono che nei sistemi complessi, gli interventi politici devono essere calibrati attentamente affinché non diventino essi stessi fonte di instabilità.
The purpose of this thesis is to investigate the role of expectations formation in agent-based and stock-flow consistent macroeconomic models. While there have been considerable advances in the development of such models, research on the formation and role of beliefs and expectations within them remains underdeveloped. The thesis consists of three papers, each of which focuses on expectations formation in one particular economic sector and presents a range of experiments concerning the variation of expectations formation mechanisms, belief and sentiment dynamics, as well as policy applications. The thesis demonstrates the potentially strong influence of agents' expectations on macroeconomic volatility and shows that depending on their specification as well as the economic environment, expectations can be both a stabilising and destabilising factor. Moreover, through the wide range of policy experiments conducted, it serves to emphasise the important role of stabilisation policies in systems exhibiting endogenous fluctuations and chapter 4 in particular highlights the potential dependence of policy effectiveness on expectations. At the same time, some of the obtained results caution that in complex systems, policy interventions must be carefully calibrated lest they themselves become a source of instability.

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Jochem, Patrick. « A CO 2 emission trading scheme for German road transport : assessing the impacts using a meso economic model with multi-agent attributes / ». Baden-Baden : Nomos, 2009. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=018655861&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Bevilacqua, Sara. « New biologically inspired models towards understanding the Italian Power Exchange market ». Master's thesis, Alma Mater Studiorum - Università di Bologna, 2018. http://amslaurea.unibo.it/15036/.

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Questa tesi tratta l’estensione di un modello ad agenti per la simulazione e lo studio del mercato elettrico Italiano. Nel modello, gli agenti, che rappresentano le compagnie energetiche presenti nel mercato Italiano, competono tra loro con l’obiettivo di avere il più alto profitto. Ogni agente determina la propria strategia attraverso un algoritmo genetico, che opera su una popolazione di strategie. Questo modello presenta però due limitazioni: (1) agli impianti di produzione di un agente, situati nella stessa zona geografica e aventi in comune la tecnologia di produzione, viene applicata la stessa strategia; (2) per la corretta evoluzione delle popolazioni private, gli agenti si scambiano informazioni circa la loro scelta strategica. Con questa tesi vogliamo dimostrare, prima di tutto, che il rilassamento delle ipotesi del primo punto non peggiora la qualità dei risultati. Successivamente, vogliamo testare l’efficacia dell’algoritmo genetico, applicando e testando algoritmi alternativi, quali l’ottimizzazione Monte Carlo e l’algoritmo Particle Swarm Optimization. La seconda parte del lavoro si focalizza sull’introduzione di agenti intelligenti che siano capaci di aggiornare due popolazioni, una composta dalle strategie dei concorrenti e l’altra con le proprie strategie. In questo modo, gli agenti non devono più condividere le proprie scelte strategiche, ma cercano di fare previsioni sui concorrenti, come nel mondo reale, e reagire di conseguenza, avvalendosi di tecniche di adversarial reasoning. Vogliamo infine mostrare i risultati che si ottengono con questa ultima estensione.

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Berger, Luiz Marcelo. « Um modelo baseado em agentes para estudo das propriedades emergentes decorrentes da aplicação da lei penal ». reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2008. http://hdl.handle.net/10183/13831.

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O presente estudo busca desenvolver um modelo baseado em agentes para estudar em ambiente simulado baseado em sistemas computacionais as propriedades emergentes decorrentes da aplicação e execução da lei penal. Os modelos baseados em agentes têm-se revelado uma alternativa bastante promissora no estudo de sistemas complexos onde a grande quantidade de variáveis dinâmicas e interagentes tornam impossível o uso de técnicas puramente analíticas para a sua abordagem. Especialmente considerando que normas legais penais feitas para regular a conduta das pessoas em sociedade devem durar, a dimensão tempo acaba recebendo uma considerável relevância, o que incentiva ainda mais o uso de sistemas multiagentes, particularmente propícios nestes casos. Buscou-se construir um modelo no qual fosse possível analisar qualquer lei de natureza penal, quaisquer que fossem suas características e a quem estivesse destinada. Chegou-se, para tanto, no construto Cidadão- Estado-Oportunidade-Ambiente, que definem precisamente os contornos de qualquer conduta criminosa e que foram modelados em ambiente mutiagente. Para construir os fundamentos do comportamento dos agentes foram utilizados especialmente os referenciais teóricos de Shavell e Polinsky (2000, 2004), Becker (1968), Cohen e Felson (1979) e Clarke(1995), sem deixar de agregar outras contribuições teóricas, ainda que em escala menor. O construto, no entanto, permite que quaisquer contribuições e análises teóricas de atributos do comportamento dos agentes propostos possam ser utilizadas, uma vez que a sua generalidade permite que qualquer forma de conduta possa ser modelada. Para criar o simulador, foi utilizado o ambiente NetLogo 3.1.4 (WILENSKY,1999), cuja especial capacidade de tratar fenômenos que se desenvolvem ao longo do tempo se revelou de extrema valia e praticidade, demonstrando o potencial surgimento de propriedades imprevisíveis sob outras condições. Os testes realizados para aferir a aderência do modelo, usando distribuições de freqüência onde as médias e os desvios-padrão eram controlados, mostraram que o comportamento dos agentes em ambiente dinâmico segue perfeitamente os conceitos teóricos utilizados como referencial, especialmente no que diz respeito ao comportamento do agente cidadão, modelado segundo os conceitos estabelecidos por Becker (1968). Restou demonstrado pela simulação que a percepção de possibilidade de punição tem impacto considerável no comportamento dos agentes diante da possibilidade de delito, assim como o somatório dos custos envolvidos é grandemente influenciado pelo tipo de delito cometido, ou seja, a dimensão monetária do dano, pela estrutura de custos da justiça e pelos meios de arrecadação destes recursos utilizados pelo estado, conforme afirmam Shavell e Polinsky(2000). Para realizar os testes foram construídas tabelas de valores utilizando a técnica 2k fatorial, descrita em detalhes em Law e Kelton (1982), onde cada um dos fatores de impacto foi desdobrado em valores dinâmicos compatíveis com o sistema real no qual o modelo foi baseado. O teste 2k fatorial é especialmente prático no sentido de aferir a aderência do modelo de simulação aos referenciais teóricos, pois permite grande flexibilidade ao analista na formulação de cenários, pois quaisquer combinações possíveis podem ser testadas, dependendo apenas do foco de interesse da pesquisa. Foram realizados também experimentos de simulação com o objetivo de verificar o comportamento do modelo ao atingir estado estacionário. Os testes de validação e os experimentos de simulação apresentaram resultados semelhantes.
Agent based models are considered a milestone in social sciences research mainly because it´s random behavior allows a variety of analysis that were impossible to make due to complexity constraints. The term complexity usually derives from a large number of interacting and dynamic variables which cannot be considered singularly, in order to keep the whole system attributes intact. For that matter, a systemic approach of analysis is required not only to keep this information within the framework of the system, but also to get the emergent properties that come along with the interaction, not observable singling out one or another factor. Considering these very specific characteristics an agent based model, or multiagent system turns to be a more suitable analysis than analytic counterparts due to its very particular capability to deal simultaneously with a large number of random variables. This research work develops an agent based model to study the emergent properties due to public enforcement of criminal law. In order to build a model of criminal behavior suitable to the project, well known theories about crime were taken in consideration, including Shavell and Polinsky (2000), Shavell (2004), Becker (1968), Cohen and Felson(1979) and Clarke (1995). The construct derived from the analysis is a model based on three interacting agents and the environment, namely: citizen-opportunity-state-environment (offender-victim-public enforcement of law-environment). These interacting agents have the ability to define the boundaries of any given offence, regardless the kind, being capable to cope with from a simple misdemeanor (e.g. a traffic violation) to a felony (e.g. a capital murder). Particularly, the citizen-agent behavior has been modeled according to Becker’s (1968) Crime and Punishment seminal work. These remarks explains why originally the term citizen has been used in first place, and not offender. Rational Choice theory says that anyone can be an offender, depending on certain conditions. The State performance regarding its economic impact in terms of the public enforcement of criminal law is seen through the lenses of Shavell and Polinsky’s theory (2000). The opportunity and environment agents’ behavior are mainly based on Cohen and Felson’s Routine Activity Theory (1979) and Clarke’s Rational Choice Theory (1995). The model was implemented using NetLogo 3.1.4 platform (WILENSKY,1999). The simulation program provides a wide range of dynamic options making it very easy to perform any kind of test in order to assess the behavior of a given criminal rule in its dynamic operation. Validation and experimental tests were performed. The resulting responses were very consistent with the theoretical basis on which de model was based on.

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Kolb, Jakob J. « Heuristic Decision Making in World Earth Models ». Doctoral thesis, Humboldt-Universität zu Berlin, 2020. http://dx.doi.org/10.18452/22147.

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Die Dynamik des Erdsystems im Anthropozän wird durch eine zunehmende Verschränkung von Prozessen auf physikalischer und ökologischer sowie auf sozioökonomischer Ebene bestimmt. Wenn Modelle als Entscheidungshilfen in diesem Umfeld nützlich sein sollen, müssen sie diese komplexen Rückkopplungen ebenso berücksichtigen wie die inhärent emergenten und heterogenen Qualitäten gesellschaftlicher Dynamik. Diese Arbeit schlägt vor, den Menschen als begrenzten rationalen Entscheidungsträger zu modellieren, die (soziales) Lernen nutzen, um Entscheidungsheuristiken zu erwerben, die in einer gegebenen Umgebung gut funktionieren. Dies wird in einem Wirtschaftsmodell mit zwei Sektoren veranschaulicht, in dem ein Sektor eine fossile Ressource für die wirtschaftliche Produktion verwendet und die Haushalte ihre Investitionsentscheidungen in der zuvor beschriebenen Weise treffen. In der Modellökonomie können individuelle Entscheidungsfindung und soziale Dynamik die CO 2 Emissionen nicht auf ein Niveau begrenzen, das eine globale Erwärmung über 1,5◦C verhindert. Eine Kombination aus kollektivem Handeln und koordinierter öffentlicher Politik allerdings kann. Eine Folgestudie analysiert das soziale Lernen der individuellen Sparquoten in einer Ein-Sektor-Wirtschaft. Hier nähert sich die aggregierte Sparquote der eines intertemporär optimierenden allwissenden Sozialen Planers an, wenn die soziale Interaktionsrate ausreichend niedrig ist. Gleichzeitig führt eine abnehmende Interaktionsrate einem plötzlichen Übergangs von einer unimodalen zu einer stark bimodalen Verteilung des Vermögens unter den Haushalten. Schließlich schlägt diese Arbeit eine Kombination verschiedener Methoden vor, die zur Ableitung analytischer Näherungen für solche vernetzten heterogenen Agentenmodelle verwendet werden können, bei denen Interaktionen zwischen Agenten sowohl auf individueller als auch auf aggregierter Ebene auftreten.
The trajectory of the Earth system in the Anthropocene is governed by an increasing entanglement of processes on a physical and ecological as well as on a socio-economic level. If models are to be useful as decision support tools in this environment, they ought acknowledge these complex feedback loops as well as the inherently emergent and heterogeneous qualities of societal dynamics. This thesis improves the capability of social-ecological and socio-economic models to picture emergent social phenomena and uses and extends techniques from dynamical systems theory and statistical physics for their analysis. It proposes to model humans as bounded rational decision makers that use (social) learning to acquire decision heuristics that function well in a given environment. This is illustrated in a two sector economic model in which one sector uses a fossil resource for economic production and households make their investment decisions in the previously described way. In the model economy individual decision making and social dynamics can not limit CO 2 emissions to a level that prevents global warming above 1.5 ◦ C. However, a combination of collective action and coordinated public policy actually can. A follow up study analyzes social learning of individual savings rates in a one sector investment economy. Here, the aggregate savings rate in the economy approaches that of an intertemporarily optimizing omniscient social planner if the social interaction rate is sufficiently low. Sumultaneously, a decreasing interaction rate leads to emergent inequality in the model in the form of a sudden transition from a unimodal to a strongly bimodal distribution of wealth among households. Finally, this thesis proposes a combination of different moment closure techniques that can be used to derive analytic approximations for such networked heterogeneous agent models where interactions between agents occur on an individual as well as on an aggregated level.

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Garcia, Luiz Antonio Marques. « Analisando flutuações de um mercado financeiro artificial baseado na expectativa de riqueza dos agentes ». reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2008. http://hdl.handle.net/10183/15532.

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Esta dissertação apresenta uma proposta de modelo de mercado financeiro artificial que reproduz séries de retornos com propriedades estatísticas universais semelhantes às observadas em séries reais. Dentre as propriedades, também chamadas de fatos estilizados na Economia, as séries artificiais de retornos exibiram ausência de autocorrelação para os retornos simples, leis de potência para autocorrelação para os retornos absolutos e quadráticos, excesso de curtose nas distribuições de retorno, gaussianidade agregacional e volatilidade clusterizada. Cabe salientar, que não há na literatura um outro mercado artificial que reproduziu tantos fatos estilizados conjuntamente. O modelo dinâmico e síncrono é baseado em agentes que transacionam ativos com risco como ações de empresa através de ordens de compra e venda enviadas ao mercado a cada período de tempo. O preço de mercado das ações é calculado da média ponderada pelo volume das ordens negociadas entre os agentes. O objetivo dos agentes é maximizar sua riqueza e, para isso, seguem ou a estratégia fundamentalista utilizando os dividendos para calcular os preços das ações ou a estratégia técnica baseada em análise de séries temporais. A principal contribuição da modelagem foi acrescentar às estratégias um fator de aprendizado em que o agente considera sua habilidade individual passada de previsão de riqueza esperada para calcular os retornos futuros. Este trabalho também mediu o coeficiente de Gini para descobrir como algumas variáveis de mercado afetavam a distribuição de riqueza dos agentes e, além disso, estudou quais valores de dividendo tornavam uma estratégia mais eficiente que outra. Por fim, incorporaram-se características evolutivas aos agentes possibilitandoos a trocar de estratégias no decorrer da simulação e, com isso, os resultados mostraram aumento da riqueza dos agentes.
This work presents a new artificial stock market model for reproducing price time series of assets in such market model. For a suitable validation of the model, we verified several statistical and universal properties (called stylized facts in the Economics Literature) and similar results are obtained with data extracted from real stock markets. We investigate several properties including absence of autocorrelation for simple returns and the power behavior law of autocorrelation for absolute and quadratic returns, excess of kurtosis, aggregational gaussianity, and clustered volatility. It is important to mention that no other similar artificial model has investigated so many statistical universalities. Our synchronous model is based on agents negotiating risk assets through purchase and sale orders. These orders are stored in books for each simulation step. The weighted average volume of all orders negotiated by the agents determines the price of an asset. For the sake of simplicity, our model considers two kinds of strategies: 1. Fundamentalist - where one uses the dividends to calculate the expected return of an asset; 2. Trend predictor - where one obtains the expected returns directly from an analysis of the price time series. One of the main contributions of our model was to add a term that works as the expected wealth of an agent. This is considered an important psychological factor in the decision making process. In addition, we consider an income inequality index to analyze the wealth distribution of the agents: the Gini-coefficient, which predicts an inequality interval of [0 (society completely fair),1 (society completely unfair)]. We also study the influence of the dividends and risk free assets parameters on this coefficient. Finally, some evolutionary features of the model are analyzed. Our results show an increase in agent’s wealth when strategies are updated according to the following criteria: if expected wealth does not reach a given threshold, the agent changes his strategy from Fundamentalist to Trend Predictor or vice-versa. If the expected wealth reaches the specified threshold, the agent keeps his initial strategy. We tested different threshold values in this analysis and the conclusion was confirmed in all cases studied.

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