Progress in Artificial Economics (eBook)

Preface 6
Acknowledgements 10
Contents 12
List of Contributors 20
Part I Markets and Trading 25
Agent's Minimal Intelligence Calibration for Realistic Market Dynamics 26
1 Introduction 26
2 Literature Review 27
2.1 Seminal Contribution and Initial Controversy 27
3 ATOM and Real World Market 28
4 Empirical Strategy and Results 30
4.1 Data Description 30
4.2 Calibration Elements: Agent's Behavior 30
4.3 One Single Stock Detailed Results 32
4.4 Population Statistics 35
5 Conclusion 35
References 37
Trading on Marginal Information 38
1 Introduction 38
2 Market Model 39
3 Original Fundamental Trading Strategy 40
4 Modified Fundamental Trading Strategy 42
4.1 Definition 42
4.2 Optimization for one Agent 43
4.3 Equilibrium for two Possible Trading Strategies 46
5 Conclusion 47
References 48
Stylized Facts Study through a Multi-Agent Based Simulation of an Artificial Stock Market 50
1 Introduction 50
2 The Micro/Macro Level of the Stock Market 51
2.1 Trader Transaction Protocol 51
2.2 New Cognitive Investor's Model 53
2.2.1 Model Description 54
2.2.2 The Behavioral Attitudes 56
2.3 Social Networks and Interactions 57
3 Experiments and Results 57
4 Conclusion 60
References 60
Part II Auctions 62
A Variable Bid Increment Algorithm for Reverse English Auction 63
1 Introduction 63
2 Related Works 64
3 Auction Protocol 66
4 Auction Model 67
4.1 Multi-Agent Reverse English Auction Architecture 67
4.2 Preference Model 68
4.3 Aggregation Model 68
5 Anytime Counterproposal Definition 69
5.1 Propositions 70
5.2 Properties 71
6 Conclusion 72
References 73
Co-evolutionary Agents in Combinatorial Sealed-bid Auctions for Spectrum Licenses Markets 74
1 Introduction 74
2 The Combinatorial First-Price Sealed-Bid Auction 75
3 The Scenarios 76
4 Bidding by Means of Agent-Based Co-Evolutionary Learning 77
5 Analysis of the Results 79
6 Conclusions and Future Work 81
References 82
The Effect of Transaction Costs on Artificial Continuous Double Auction Markets 85
1 Introduction 85
2 The Agent-Based CDA Market Model 86
2.1 The Institution 87
2.2 The Environment 87
2.3 Agents' Behavior 88
3 The Experiments 89
4 Measures and Main Results 90
4.1 Market Efficiency 90
4.2 Price Convergence 91
5 Conclusions 92
References 94
Part III Networks 95
The Rise and Fall of Trust Networks 96
1 Introduction 96
2 The Model 99
2.1 Foreclosure Game 100
3 Results 101
4 Discussion 104
5 Appendix: The Algorithm 105
References 107
Simulations on Correlated Behavior and Social Learning 108
1 Introduction 108
2 The Model 110
3 Simulations on Networks 111
4 Discussion 116
Appendix 117
References 118
Technology Shocks and Trade in a Network How business cycles emerge from the interaction of autonomous agents 120
1 Introduction 120
2 The Model 121
2.1 Agents 121
2.2 Rounds and Agents' Actions 122
3 Analysis of the Agent-Based Model 128
3.1 Business Cycles 129
4 Growth in a Non-Growth Model 130
5 Conclusion 130
References 131
Part IV Management 132
The (Beneficial) Role of Informational Imperfections in Enhancing Organisational Performance 133
1 Introduction 133
2 Model 134
2.1 Organisational Structure 135
2.2 Informational Imperfections 136
3 Results 138
4 Interpretation 139
5 Conclusion 143
References 143
Social Interactions and Innovation: Simulation Based on an Agent-Based Modular Economy 145
1 Introduction: The Purpose of this Study 145
2 Foundation of the Work 146
3 Simulation Design 148
4 Simulation Results 150
4.1 Competitiveness Dynamics: A Macroscopic View 150
4.2 Competitiveness Dynamics: A Microscopic View 151
4.3 Competitiveness Dynamics: A Mesoscopic View 152
4.4 Other Performance Criteria 154
5 Concluding Remarks 155
References 156
Threshold Rule and Scaling Behavior in a Multi-Agent Supply Chain 157
1 Introduction 157
2 The Model 159
2.1 The Network Structure 159
2.2 Capital Flows 161
2.3 From Bankruptcy to Rebirth 162
3 Simulation Results 163
3.1 Parameters Choice 163
3.2 Firm Size Distribution 163
4 Conclusions 166
References 168
Part V Industry Sectors 169
Information and Search on the Housing Market: An Agent-Based Model 170
1 Introduction 171
2 Model 172
3 Results 174
3.1 Landlords' Information Level 175
3.2 Dynamically Varying the Discount Rate 177
4 Conclusion 180
5 Appendix: Initialisation 181
References 181
Adaptation of Investments in the Pharmaceutical Industry 182
1 Introduction 182
2 Modeling product market competition 183
2.1 Modeling the Supply Side 184
2.2 Modeling the Demand Side 186
2.3 Statistical Variables 187
2.4 Model Validation 187
3 Simulating Investment Adjustments 188
3.1 Success of Strategies: Innovative Firms 190
3.2 Success of Strategies: Imitative Firms 191
4 Conclusions 192
References 193
An Agent-Based Information Management Model of the Chinese Pig Sector 194
1 Introduction and Background Literature 194
2 Problem Definition 196
3 Methodology 198
4 Simulation Experiments and Results 200
5 Conclusions and Discussion 204
References 204
Part VI Macroeconomics 206
Wealth Distribution Evolution in an Agent-Based Computational Economy 207
1 Introduction 207
2 Equilibrium Wealth Distribution Models 208
3 Model Architecture 210
4 Agent Job Placement 212
5 Customer Behavior 213
6 Stock Market Functioning 214
7 Enterprise Investment Strategy 215
8 Results 215
References 217
Endogenous Credit Dynamics as Source of Business Cycles in the EURACE Model 219
1 Introduction 219
2 The Model 221
2.1 Goods and Labor Markets 221
2.2 Credit and Financial Markets 223
3 Results 224
4 Concluding Remarks 228
References 229
Reinforcement Learning of Heterogeneous Private Agents in a Macroeconomic Policy Game 231
1 Introduction 231
2 Inflation-Unemployment Game with Heterogeneous Agents 233
2.1 The Model with Homogeneous Agents 233
2.2 Incorporation of Heterogeneous Agents 234
3 Modeling of Learning Private Agents 236
3.1 Why Reinforcement Learning? 236
3.2 Overview of Reinforcement Learning 237
3.3 Structure of our RL Agents 238
4 Simulation Results 239
5 Conclusion 240
References 241
Part VII Demographics and Culture 243
Towards an Agent-Based Model of the Economic Development Process: The Dynamics of the Fertility Rate 244
1 Introduction 244
2 The Evolution of the Total Fertility Rate in Developed Countries 246
3 The Household's Problem 247
3.1 Analytical Insights 247
3.2 Numerical Investigation 249
4 The Agent-Based Model 250
5 Conclusions 252
References 254
An Agent-Supported Simulation of Labour and Financial Markets for Migration Processes 256
1 Introduction 257
2 Labour and Financial Market Models 258
2.1 Labour Market 259
2.2 Financial Market 260
3 Agent-Supported Simulation Architecture 260
3.1 Agent-Supported Labour Market 261
3.2 Agent-Supported Financial Market 262
4 ARGOS: An Agent-based Demonstrator 263
5 Experimentation 264
6 Conclusions 266
References 267
Sensitivity Analysis of an Agent-Based Model of Culture's Consequences for Trade 268
1 Introduction 268
2 Trading Agents with Cultural Background 270
3 Sensitivity Analysis Approach 271
4 Results 273
4.1 Probability that Transactions Occur 273
4.2 Sensitivity Analysis 275
4.3 Differences between Cultures 277
4.4 Aggregate and Individual Level 278
5 Conclusion 278
References 279