Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 2

Agent Based Simulation Related Publications

2 Bounded Rational Heterogeneous Agents in Artificial Stock Markets: Literature Review and Research Direction

Authors: Talal Alsulaiman, Khaldoun Khashanah

Abstract:

In this paper, we provided a literature survey on the artificial stock problem (ASM). The paper began by exploring the complexity of the stock market and the needs for ASM. ASM aims to investigate the link between individual behaviors (micro level) and financial market dynamics (macro level). The variety of patterns at the macro level is a function of the AFM complexity. The financial market system is a complex system where the relationship between the micro and macro level cannot be captured analytically. Computational approaches, such as simulation, are expected to comprehend this connection. Agent-based simulation is a simulation technique commonly used to build AFMs. The paper proceeds by discussing the components of the ASM. We consider the roles of behavioral finance (BF) alongside the traditionally risk-averse assumption in the construction of agent’s attributes. Also, the influence of social networks in the developing of agents interactions is addressed. Network topologies such as a small world, distance-based, and scale-free networks may be utilized to outline economic collaborations. In addition, the primary methods for developing agents learning and adaptive abilities have been summarized. These incorporated approach such as Genetic Algorithm, Genetic Programming, Artificial neural network and Reinforcement Learning. In addition, the most common statistical properties (the stylized facts) of stock that are used for calibration and validation of ASM are discussed. Besides, we have reviewed the major related previous studies and categorize the utilized approaches as a part of these studies. Finally, research directions and potential research questions are argued. The research directions of ASM may focus on the macro level by analyzing the market dynamic or on the micro level by investigating the wealth distributions of the agents.

Keywords: Interaction, Behavioral finance, Artificial Neural Network, Agent Based Simulation, Bounded Rationality, artificial stock markets, scale-free networks

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1 An Agent Based Simulation for Network Formation with Heterogeneous Agents

Authors: Masatora Daito, Hisashi Kojima

Abstract:

We investigate an asymmetric connections model with a dynamic network formation process, using an agent based simulation. We permit heterogeneity of agents- value. Valuable persons seem to have many links on real social networks. We focus on this point of view, and examine whether valuable agents change the structures of the terminal networks. Simulation reveals that valuable agents diversify the terminal networks. We can not find evidence that valuable agents increase the possibility that star networks survive the dynamic process. We find that valuable agents disperse the degrees of agents in each terminal network on an average.

Keywords: network formation, Agent Based Simulation, connections model

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