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Displaying results 1 to 25 of 44.

  1. Income tax evasion dynamics
    evidence from an agent-based econophysics model
    Author: Pickhardt, Michael; Seibold, Goetz
    Published: 2011
    Publisher:  CAWM, Münster

    We analyze income tax evasion dynamics in a standard model of statistical mechanics, the Ising model of ferromagnetism. However, in contrast to previous research, we use an inhomogeneous multi-dimensional Ising model where the local degrees of... more

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    We analyze income tax evasion dynamics in a standard model of statistical mechanics, the Ising model of ferromagnetism. However, in contrast to previous research, we use an inhomogeneous multi-dimensional Ising model where the local degrees of freedom (agents) are subject to a specific social temperature and coupled to external fields which govern their social behavior. This new modeling frame allows for analyzing large societies of four different and interacting agent types. As a second novelty, our model may reproduce results from agent-based models that incorporate standard Allingham and Sandmo tax evasion features as well as results from existing two-dimensional Ising based tax evasion models. We then use our model for analyzing income tax evasion dynamics under different enforcement scenarios and point to some policy implications. -- Tax Evasion ; Tax Compliance ; Ising Model ; Econophysics ; Numerical Simulation

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/52734
    Series: CAWM discussion paper / Centrum für Angewandte Wirtschaftsforschung Münster ; 53
    Subjects: Steuerstrafrecht; Einkommensteuer; Agentenbasierte Modellierung; Ökonophysik; Theorie
    Scope: Online-Ressource (PDF-Datei: 24 S., 268,97 KB), graph. Darst.
  2. Limited rationality and strategic interaction
    a probabilistic multi-agent model
    Author: Ortiz, Yves; Schüle, Martin
    Published: 2011
    Publisher:  Study Center Gerzensee, Gerzensee

    We develop a multi-agent framework based on probabilistic cellular automata theory to describe off-equilibrium dynamics in the context of the economic problem of price adjustment in different strategic situations as investigated experimentally by... more

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    We develop a multi-agent framework based on probabilistic cellular automata theory to describe off-equilibrium dynamics in the context of the economic problem of price adjustment in different strategic situations as investigated experimentally by Fehr and Tyran (2001) and (2008). It is found that the main experimental findings, namely suboptimal aggregate behavior in terms of sluggish adjustment after a fully anticipated money shock, can be reproduced and largely explained by the interaction of sophisticated and naive agents. Furthermore, a range of conceptual issues as e.g. the source of endogenous beliefs on the other players rationality is addressed within our multi-agent framework. We find that, if costs/payoffs act as driver of rational behavior, then endogenous beliefs and consequential aggregate behavior are driven by the particular off-equilibrium time-dependent payoff/cost profile rather than by total off- equilibrium payoffs/costs that naive agents face in the respective strategic situation.

     
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    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/128060
    Series: Working paper / Study Center Gerzensee ; 11.08
    Subjects: Begrenzte Rationalität; Rationalität; Geldillusion; Agentenbasierte Modellierung; Theorie
    Scope: Online-Ressource (19 S.), graph. Darst.
  3. R&D and knowledge dynamics in university-industry relationships in biotech and pharmaceuticals
    an agent-based model
    Author: Triulzi, Giorgio; Scholz, Ramon; Pyka, Andreas
    Published: 2011
    Publisher:  Univ. Hohenheim, Forschungszentrum Innovation und Dienstleistung, Stuttgart

    In the last two decades, University-Industry Relationships have played an outstanding role in shaping innovation activities in Biotechnology and Pharmaceuticals. Despite the growing importance and the considerable scope of these relationships, there... more

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    In the last two decades, University-Industry Relationships have played an outstanding role in shaping innovation activities in Biotechnology and Pharmaceuticals. Despite the growing importance and the considerable scope of these relationships, there still is an intensive and open debate on their short and long term effects on the research system in life sciences. So far, the extensive literature on this topic has not been able to provide a widely accepted answer. This work introduces a new way to analyse University-Industry Relationships (UIRs) which makes use of an agent-based simulation model. With the help of simulation experiments and the comparison of different scenario results, new insights on the effects of these relationships on the innovativeness of the research system can be gained. In particular, focusing on knowledge interactions among heterogeneous actors, we show that: (i) universities tend to shift from a basic to an applied research orientation as a consequence of relationships with industry, (ii) universities’ innovative capabilities benefit from industry financial resources but not so much from cognitive resources of the companies, (iii) biotech companies’ innovative capabilities largely benefit from the knowledge interaction with universities and (iv) adequate policies in terms of public basic research funding can contrast the negative effects of UIRs on university research orientation. -- University-Industry Relationships ; Knowledge Dynamics ; University Patenting ; Technology Transfer ; Agent-Based Modelling

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/50176
    S2UB-opus-635
    Series: FZID discussion papers ; 33-2011
    Subjects: Forschungskooperation; Wissenstransfer; Technologietransfer; Biotechnologie-Industrie; Pharmaindustrie; Agentenbasierte Modellierung; Simulation; Deutschland; Technologietransfer; Biotechnologische Industrie; Innovation
    Scope: Online-Ressource
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    Parallel als Druckausg. erschienen
  4. A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis
    Author: Scheffknecht, Lukas; Geiger, Felix
    Published: 2011
    Publisher:  Univ. Hohenheim, Forschungszentrum Innovation und Dienstleistung, Stuttgart

    We merge a financial market model with leverage-constrained, heterogeneous agents with a reduced-form version of the New-Keynesian standard model. Agents in both submodels are assumed to be boundedly rational. The financial market model produces... more

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    We merge a financial market model with leverage-constrained, heterogeneous agents with a reduced-form version of the New-Keynesian standard model. Agents in both submodels are assumed to be boundedly rational. The financial market model produces endogenously arising boom-bust cycles. It is also capable to generate highly non-linear deleveraging processes, fire sales and ultimately a default scenario. Asset price booms are triggered via self-fulfilling prophecies. Asset price busts are induced by agents' choice of an increasingly fragile balance sheet structure during good times. Their vulnerability is inevitably revealed by small, randomly occurring shocks. Our transmission channel of financial market activity to the real sector embraces a recent strand of literature shedding light on the link between the active balance sheet management of financial market participants, the induced procyclical fluctuations of desired risk compensations and their final impact on the real economy. We show that a systematic central bank reaction on financial market developments dampens macroeconomic volatility considerably. Furthermore, restricting leverage in a countercyclical fashion limits the magnitude of financial cycles and hence their impact on the real economy. -- Behavioral economics ; New-Keynesian macroeconomics ; monetary policy ; agent-based financial market model ; leverage ; macroprudential regulation ; financial stability ; asset price bubbles ; systemic risk

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/54191
    S2UB-opus-662
    Series: FZID discussion papers ; 37-2011
    Subjects: Börsenkurs; Spekulationsblase; Finanzmarkt; Konjunktur; Volatilität; Neoklassische Synthese; Agentenbasierte Modellierung; Theorie; Geldpolitik
    Scope: Online-Ressource
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    Parallel als Druckausg. erschienen
  5. Qualitatives, räumliches Schließen zur Kollisionserkennung und Kollisionsvermeidung autonomer BDI-Agenten
    Author: Schüle, Michael; Kirn, Stefan
    Published: 2011
    Publisher:  Univ. Hohenheim, Forschungszentrum Innovation und Dienstleistung, Stuttgart

    Die Trends und Veränderungen in der Logistik führen zu einem dezentralen Ansatz der Steuerungssysteme, um die Komplexität logistischer Systeme zu reduzieren. Softwareagenten, insbesondere BDI-Agenten (Belief-Desire-Intention), als Gegenstand dieser... more

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    Die Trends und Veränderungen in der Logistik führen zu einem dezentralen Ansatz der Steuerungssysteme, um die Komplexität logistischer Systeme zu reduzieren. Softwareagenten, insbesondere BDI-Agenten (Belief-Desire-Intention), als Gegenstand dieser Arbeit, bieten aufgrund ihrer Eigenschaften geeignete Konzepte diesen Ansatz umzusetzen. Im räumlichen Kontext ist das Wissen der Agenten über ihre Umwelt häufig unsicher. Dieser Beitrag adressiert das Problem der autonomen, kollisionsfreien Bewegung von mehreren, interagierenden Agenten auf Basis von unsicherem Wissen im Kontext der Transportlogistik. Zu diesem Zweck bietet die Perspektive des qualitativ räumlichen Schließens geeignete Konzepte. Der Ansatz wird durch eine Multiagentensimulation in einem transportlogistischen Szenario, im Speziellen mit verschiedenen organisationstheoretischen Konzepten bezüglich des Verhaltens der Agenten ausgewertet. -- Qualitatives räumliches Schließen ; Multiagentensystem ; Kollisionserkennung ; Kollisionsvermeidung ; geographische Informationssysteme ; Logistik ; Organisationstheorie

     
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    Language: German
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/45627
    S2UB-opus-601
    Series: FZID discussion papers ; 25-2011
    Subjects: Logistikdienstleister; Informationssystem; Agentenbasierte Modellierung; Organisationstheorie; Theorie; Mehragentensystem; Logistikplanung
    Scope: Online-Ressource
    Notes:

    BDI= Belief-Desire-Intention

    Parallel als Druckausg. erschienen
  6. Bookworms versus party animals
    an artificial labor market with human and social capital accumulation
    Author: Farhat, Dan
    Published: 2011
    Publisher:  Univ. of Otago, Dep. of Economics, Dunedin

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Source: Union catalogues
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    Media type: Book
    Format: Online
    Series: Economics discussion papers ; 1103
    Subjects: Humankapital; Sozialkapital; Bildungsniveau; Wirkungsanalyse; Agentenbasierte Modellierung; Theorie
    Scope: Online-Ressource (38 S., 1,397 Mb), graph. Darst.
  7. Public versus private information
    Author: Demertzis, Maria
    Published: 2011

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    W 1612 (290)
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    Media type: Book
    Format: Print
    Series: DNB working papers ; 290
    Subjects: Asymmetrische Information; Agentenbasierte Modellierung; Theorie
    Scope: 16 S.
  8. Structural stochastic volatility in asset pricing dynamics
    estimation and model contest
    Author: Franke, Reiner; Westerhoff, Frank H.
    Published: 2011
    Publisher:  BERG, Bamberg

    In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the... more

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    Fachhochschule Erfurt, Hochschulbibliothek
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    In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It advances several different specifications of the endogenous switching between the trading strategies and then estimates these models by the method of simulated moments (MSM), where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. In addition to the standard version of MSM with a quadratic loss function, we also take into account how often a great number of Monte Carlo simulation runs happen to yield moments that are all contained within their empirical confidence intervals. The model contest along these lines reveals a strong role for a (tamed) herding component. The quantitative performance of the winner model is so good that it may provide a standard for future research. -- Method of simulated moments ; moment coverage ratio ; herding ; discrete choice approach ; transition probability approach

     
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    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783931052881
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    hdl: 10419/45552
    Series: BERG working paper series on government and growth ; 78
    Subjects: Börsenkurs; Volatilität; Stochastischer Prozess; Herdenverhalten; Diskrete Entscheidung; Aktienmarkt; Agentenbasierte Modellierung; Momentenmethode; Simulation; Theorie
    Scope: Online-Ressource (PDF-Datei: 34 S., 3,53 MB), graph. Darst.
  9. Price rigidity and strategic uncertainty
    an agent-based approach
    Author: Somogyi, Róbert; Vincze, János
    Published: 2011
    Publisher:  Institute of Economics, Hungarian Academy of Sciences, Budapest

    The phenomenon of infrequent price changes has troubled economists for decades. Intuitively one feels that for most price-setters there exists a range of inaction, i.e. a substantial measure of the states of the world, within which they do not wish... more

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    The phenomenon of infrequent price changes has troubled economists for decades. Intuitively one feels that for most price-setters there exists a range of inaction, i.e. a substantial measure of the states of the world, within which they do not wish to modify prevailing prices. However, basic economics tells us that when marginal costs change it is rational to change prices, too. Economists wishing to maintain rationality of price-setters resorted to fixed price adjustment costs as an explanation for price rigidity. In this paper we propose an alternative explanation, without recourse to any sort of physical adjustment cost, by putting strategic interaction into the center-stage of our analysis. Price-making is treated as a repeated oligopoly game. The traditional analysis of these games cannot pinpoint any equilibrium as a reasonable "solution" of the strategic situation. Thus there is genuine strategic uncertainty, a situation where decision-makers are uncertain of the strategies of other decision-makers. Hesitation may lead to inaction. To model this situation we follow the style of agent-based models, by modelling firms that change their pricing strategies following an evolutionary algorithm. Our results are promising. In addition to reproducing the known negative relationship between price rigidity and the level of general inflation, our model exhibits several features observed in real data. Moreover, most prices fall into the theoretical "range" without explicitly building this property into strategies. -- Agent-based modeling ; Evolutionary algorithm ; Price rigidity ; Social learning ; Strategic Uncertainty

     
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    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9786155024740
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    hdl: 10419/108228
    Series: Discussion papers / Institute of Economics Hungarian Academy of Sciences ; 2011/35
    Subjects: Agentenbasierte Modellierung; Evolutionärer Algorithmus; Preisrigidität; Oligopol; Spieltheorie
    Scope: Online-Ressource (PDF-Datei: 16 S., 334,34 KB)
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    Zsfassung in ungar. Sprache
  10. Regulatory medicine against financial market instability
    what helps and what hurts
    Author: Kerbl, Stefan
    Published: 2011
    Publisher:  Österr. Nationalbank, Wien

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 699 (174)
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    Media type: Book
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    RVK Categories: QB 910
    Series: Working paper / Österreichische Nationalbank ; 174
    Subjects: Finanzkrise; Tobinsteuer; Risikomaß; Herdenverhalten; Agentenbasierte Modellierung; Theorie
    Scope: 28 S., graph. Darst., 30 cm
    Notes:

    Literaturverz. S. 27 - 28
  11. Autonomously interacting banks
    Author: Lengwiler, Yvan; Maringer, Dietmar G.
    Published: 2011
    Publisher:  WWZ, Basel

    The great financial turmoil that started 2007 has brought bank regulation back into the political debate. There is talk about imposing new regulations on banks and other financial intermediaries. Yet, we are not convinced that it is completely... more

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    The great financial turmoil that started 2007 has brought bank regulation back into the political debate. There is talk about imposing new regulations on banks and other financial intermediaries. Yet, we are not convinced that it is completely understood how the existing regulation affects systemic stability, let alone what the effect of new proposed rules would be. In order to better understand these issues, we study the interaction of hetero- geneous financial agents in a market that features several properties we believe to be realistic. Our agents develop heterogeneous views about the correct valuation of a risky asset. Some agents (banks) operate with substantial leverage and thus bankruptcy is a possibility. Agents may engage in fire sales, either because they face real financial trouble, or because they are forced to by regulation. Moreover, through their trading activities, agents exert externalities on each other's balance sheets due to mark-to-market. Through this mechanism, fire sales can lead to contagion, and one failing bank can cause several more to follow suit.

     
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    hdl: 10419/123419
    Series: WWZ Discussion Paper ; 11,07
    Subjects: Basler Akkord; Bankrisiko; Bankenkrise; Ansteckungseffekt; Simulation; Agentenbasierte Modellierung; bank regulation; BIS capital adequacy requirements; Basel II; Basel III; leverage ratio; default rate; systemic stability; fire sales; contagion; autonomous agents; simulation
    Scope: Online-Ressource (PDF-Datei: 29 S.), graph. Darst.
  12. Estimating behavioural heterogeneity under regime switching
    Published: 2011
    Publisher:  Quantitative Finance Research Centre, Univ. of Techn., Sydney

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    Series: Research paper / Quantitative Finance Research Centre, University of Technology Sydney ; 290
    Subjects: Börsenkurs; Volatilität; Markov-Kette; Anlageverhalten; Agentenbasierte Modellierung; USA
    Scope: Online-Ressource (31 S., 600 Kb), graph. Darst.
  13. Software-Unterstützung für die Bereitstellung von Inhalten
    Author: Hess, Thomas; Dörr, Jonathan
    Published: 2011
    Publisher:  Ludwig-Maximilians-Univ., München

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    Staats- und Universitätsbibliothek Bremen
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    Language: German
    Media type: Book
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    Other identifier:
    hdl: 10419/60056
    Series: Arbeitsbericht / Ludwig-Maximilians-Universität ; 2/2011
    Subjects: Content Management; Agentenbasierte Modellierung; Wirtschaftsinformatik; Urheberrecht; Mediensektor
    Scope: Online-Ressource (PDF-Datei: II, 9 S., 319,96 KB), graph. Darst.
  14. The evolution of fairness preferences, altruistic punishment, and cooperation
    Author: Hetzer, Philipp Moritz
    Published: 2011
    Publisher:  ETH, Zürich

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    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    Thüringer Universitäts- und Landesbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Diss. ETH Nr. 19968
    Subjects: Soziales Verhalten; Kooperation; Soziale Norm; Altruismus; Verhaltensökonomik; Agentenbasierte Modellierung; Simulation
    Scope: Online-Ressource (PDF-Datei: III, 179 S., 7,92 MB), graph. Darst.
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    Zsfassung in dt. Sprache

    Zürich, Eidgenössische Techn. Hochsch., Diss., 2011
  15. Siesta: a theory of freelancing
    Author: Sáez Martí, María
    Published: 2011
    Publisher:  Univ., Dep. of Economics, Zurich

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    W 1802 (55)
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    Series: Working paper series / Department of Economics, University of Zurich ; 55
    Subjects: Arbeitszeitgestaltung; Freizeit; Arbeitsproduktivität; Agentenbasierte Modellierung
    Scope: 19 S., graph. Darst.
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    Parallel als Online-Ausg. erschienen
  16. The redistributive effects of monetary policy
    Author: Ledoit, Olivier
    Published: 2011
    Publisher:  Univ., Dep. of Economics, Zurich

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    W 1802 (44)
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    Series: Working paper series / Department of Economics, University of Zurich ; 44
    Subjects: Geldpolitik; Verteilungswirkung; Geldmenge; Kaufkraft; Tauschwirtschaft; Agentenbasierte Modellierung; Theorie
    Scope: 23 S., graph. Darst.
  17. The power trading agent competition
    Published: 2011
    Publisher:  ERIM, Rotterdam

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 26 (2011.027)
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    Media type: Book
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    Other identifier:
    hdl: 1765/30683
    Series: ERIM report series research in management ; 2011,027
    Subjects: Energiehandel; Electronic Commerce; Portfolio-Management; Agentenbasierte Modellierung; Management-Informationssystem
    Scope: Online-Ressource (PDF-Datei: 49 S., 2,83 MB)
  18. Agent-based financial markets and New Keynesian macroeconomics
    a synthesis
    Author: Lengnick, Matthias; Wohltmann, Hans-Werner
    Published: 2011
    Publisher:  Univ., Dep. of Economics, Kiel

    We combine a simple agent-based model of financial markets and a New Keynesian macroeconomic model with bounded rationality via two straightforward channels. The result is a macroeconomic model that allows for the endogenous development of business... more

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    Universitätsbibliothek Kiel, Zentralbibliothek
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    EZ 180
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    We combine a simple agent-based model of financial markets and a New Keynesian macroeconomic model with bounded rationality via two straightforward channels. The result is a macroeconomic model that allows for the endogenous development of business cycles and stock price bubbles. We show that market sentiments exert important influence on the macroeconomy. They introduce high volatility into impulse-response functions of macroeconomic variables and thus make the effect of a given shock hard to predict. We also analyze the impact of different financial transaction taxes (FTT, FAT, progressive FAT) and find that such taxes can be used to stabilize the economy and raise funds from the financial sector as a contribution to the costs produced by the recent crisis. Our results suggest that the FTT leads to higher tax revenues and better stabilization results then the FAT. However, the FTT might also create huge distortion if set too high, a threat which the FAT does not imply. -- Agent-based modeling ; stock market ; New Keynesian macroeconomics ; financial transaction tax ; financial activities tax

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/49990
    Edition: Updated version
    Series: Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics ; 2011/09
    Subjects: Börsenkurs; Spekulationsblase; Finanzmarkt; Agentenbasierte Modellierung; Neoklassische Synthese; Finanztransaktionssteuer; Taylor-Regel; Wirkungsanalyse; Theorie
    Scope: Online-Ressource (PDF-Datei: 24 S., 541 KB), graph. Darst.
  19. Optimal disclosure policy and undue diligence
    Author: Andolfatto, David; Berentsen, Aleksander; Waller, Christopher
    Published: 2011
    Publisher:  Univ., Dep. of Economics, Zurich

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    Series: Working paper series / Department of Economics, University of Zurich ; 45
    Subjects: Auskunftspflicht; Informationsverbreitung; Due Diligence; Geldtheorie; Suchtheorie; Agentenbasierte Modellierung; Theorie
    Scope: 27 S., graph. Darst.
  20. Removing systematic patterns in returns in a financial market model by artificially intelligent traders
    Author: Witte, Björn-Christopher
    Published: 2011
    Publisher:  BERG, Bamberg

    The unpredictability of returns counts as a stylized fact of financial markets. To reproduce this fact, modelers usually implement noise terms - a method with several downsides. Above all, systematic patterns are not eliminated but merely blurred.... more

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    Fachhochschule Erfurt, Hochschulbibliothek
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    The unpredictability of returns counts as a stylized fact of financial markets. To reproduce this fact, modelers usually implement noise terms - a method with several downsides. Above all, systematic patterns are not eliminated but merely blurred. The present article introduces a model in which systematic patterns are removed endogenously. This is achieved in a reality-oriented way: Intelligent traders are able to identify patterns and exploit them. To identify and predict patterns, a very simple artificial neural network is used. As neural network mimic the cognitive processes of the human brain, this method might be regarded as a quite accurate way of how traders identify patterns and forecast prices in reality. The simulation experiments show that the artificial traders exploit patterns effectively and thereby remove them, which ultimately leads to the unpredictability of prices. Further results relate to the influence of pattern exploiters on market efficiency. -- Financial markets ; autocorrelations ; artificial intelligence ; agent-based modeling

     
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    Language: English
    Media type: Ebook
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    ISBN: 9783931052928
    Other identifier:
    hdl: 10419/54993
    Series: BERG working paper series on government and growth ; 82
    Subjects: Börsenkurs; Prognose; Finanzmarkt; Wertpapierhandel; Anlageverhalten; Neuronale Netze; Agentenbasierte Modellierung; Agentenbasierte Modellierung; Theorie
    Scope: Online-Ressource (PDF-Datei: 34 S., 597 KB), graph. Darst.
  21. Why a simple herding model may generate the stylized facts of daily returns
    explanation and estimation
    Author: Franke, Reiner; Westerhoff, Frank H.
    Published: 2011
    Publisher:  BERG, Bamberg

    The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a... more

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    Fachhochschule Erfurt, Hochschulbibliothek
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    The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market fractions of the two groups; (iii) a rush towards fundamentalism when the price misalignment becomes too large; and (iv) a stronger noise component in the demand per chartist trader than in the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. Combining analytical and numerical methods, the interaction between these elements is studied in the phase plane of the price and a majority index. In addition, the model is estimated by the method of simulated moments, where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. A (parametric) bootstrap procedure serves to set up an econometric test to evaluate the model’s goodness-of-fit, which proves to be highly satisfactory. The bootstrap also makes sure that the estimated structural parameters are well identified. -- Structural stochastic volatility ; method of simulated moments ; autocorrelation pattern ; fat tails ; bootstrapped p-values

     
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    Language: English
    Media type: Ebook
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    ISBN: 9783931052935
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    hdl: 10419/54994
    Series: BERG working paper series on government and growth ; 83
    Subjects: Kapitaleinkommen; Börsenkurs; Aktienmarkt; Wertpapierhandel; Anlageverhalten; Herdenverhalten; Agentenbasierte Modellierung; Theorie
    Scope: Online-Ressource (PDF-Datei: 33 S., 322 KB), graph. Darst.
  22. Deviations from rationality
    essays on inflation perceptions and expectations
    Author: Dräger, Lena
    Published: 2011
    Publisher:  ETH, Zürich

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    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    Language: English
    Media type: Dissertation
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    Other identifier:
    Diss. ETH Nr. 19791
    Series: KOF dissertation series ; 10
    Subjects: Inflationserwartung; Mediennutzung; Informationsverbreitung; Kausalanalyse; Schweden; Informationsverbreitung; Rationalität; Dynamisches Gleichgewicht; Agentenbasierte Modellierung; Theorie
    Scope: Online-Ressource (PDF-Datei: XIV, 185 S., 1,65 MB), graph. Darst.
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    Zsfassung in dt. Sprache

    Enth. 4 Beitr

    Zürich, Eidgenössische Techn. Hochsch., Diss., 2011
  23. Family policies in the context of low fertility and social structure
    Author: Fent, Thomas; Aparicio Diaz, Belinda; Fürnkranz-Prskawetz, Alexia
    Published: 2011
    Publisher:  Vienna Inst. of Demography, Vienna

    The aim of this paper is to analyse the effectivity of family policies in the context of different assumptions regarding the social structure of a society. We use an agent based simulation model to analyse the impact of family policies on individual... more

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    The aim of this paper is to analyse the effectivity of family policies in the context of different assumptions regarding the social structure of a society. We use an agent based simulation model to analyse the impact of family policies on individual fertility decisions and on cohort fertility, intended fertility, and the fertility gap on the aggregate level. The crucial features of our simulation model are the agents' heterogeneity with respect to age, income, parity, and intended fertility, the social network and social influence. Our results indicate that both fixed and income dependent child supports have a positive and significant impact on fertility. However, several network and social influence parameters have the ability not only to influence fertility itself but also the effectivity of family policies. Therefore, policymakers aiming to transfer a certain policy mix that has proved successful from one country to another one ignoring differences in the social structure may fail. Family policies can only be successful if they explicitly take into account the characteristics of the society they are assigned for.

     
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    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/96953
    Series: Working papers / Vienna Institute of Demography ; 2/2011
    Subjects: Familienpolitik; Fertilität; Soziales Netzwerk; Sozialstruktur; Agentenbasierte Modellierung; Theorie
    Scope: Online-Ressource (PDF-Datei: 22 S.), graph. Darst.
  24. The spatial agent-based competition model (SpAbCoM)
    Author: Graubner, Marten
    Published: 2011
    Publisher:  IAMO, Halle (Saale)

    Das vorliegende Papier dokumentiert die zugrundeliegenden Konzepte und Methoden des Räumlichen Agenten-basierten Wettbewerbsmodells (Spatial Agent-based Competition Model) SpAbCoM. Anwendungsbeispiele dieses Simulationsmodells untersuchen die... more

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    Leibniz-Institut für Agrarentwicklung in Transformationsökonomien, Bibliothek
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    eBook
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    Das vorliegende Papier dokumentiert die zugrundeliegenden Konzepte und Methoden des Räumlichen Agenten-basierten Wettbewerbsmodells (Spatial Agent-based Competition Model) SpAbCoM. Anwendungsbeispiele dieses Simulationsmodells untersuchen die Entscheidung bezüglich der räumlichen Preisstrategie von Unternehmen (GRAUBNER et al., 2011a) oder Preissetzung und Standortwahl im Rahmen eines räumlichen Wettbewerbsmodells, welches mehr als einen Wettbewerber und zweidimensionalen Marktgebiete berücksichtigt. Während das Simulationsmodell in den jeweiligen Arbeiten kurz anhand eines Beispiels eingeführt wird, dient das vorliegende Papier zwei Zielen. Zum Einen sollen die verwendeten computergestützten Konzepte, hier speziell Genetische Algorithmen (GA), detailliert vorgestellt werden. Zum Anderen besteht die Absicht dieser Dokumentation darin, einen Überblick über die Struktur von SpAbCoM und die während einer Simulation ablaufenden Prozesse zu gegeben. -- Agent-basierte Modellierung ; Genetische Algorithmen ; räumliche Preissetzung ; Standortmodell. The paper presents a detailed documentation of the underlying concepts and methods of the Spatial Agent-based Competition Model (SpAbCoM). For instance, SpAbCoM is used to study firms' choices of spatial pricing policy (GRAUBNER et al., 2011a) or pricing and location under a framework of multi-firm spatial competition and two-dimensional markets (GRAUBNER et al., 2011b). While the simulation model is briefly introduced by means of relevant examples within the corresponding papers, the present paper serves two objectives. First, it presents a detailed discussion of the computational concepts that are used, particularly with respect to genetic algorithms (GAs). Second, it documents SpAbCoM and provides an overview of the structure of the simulation model and its dynamics. -- Agent-based modelling ; genetic algorithms ; spatial pricing ; location model.

     
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    Media type: Book
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    Other identifier:
    hdl: 10419/49293
    Series: Discussion paper / Leibniz Institute of Agricultural Development in Central and Eastern Europe ; 135
    Subjects: Räumlicher Wettbewerb; Agentenbasierte Modellierung; Räumliche Preistheorie; Simulation; Evolutionärer Algorithmus; Theorie
    Scope: Online-Ressource (PDF-Datei: 32 S., 0,62 MB), graph. Darst.
    Notes:

    Zsfassungen in dt. und engl. Sprache
  25. Nonlinear expectations in speculative markets
    evidence from the ECB survey of professional forecasters
    Author: Reitz, Stefan; Ruelke, Jan-Christoph; Stadtmann, Georg
    Published: 2011
    Publisher:  Kiel Inst. for the World Economy, Kiel

    Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader... more

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    Universitätsbibliothek Kiel, Zentralbibliothek
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    Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader groups. This paper investigates whether or not regressive and extrapolative expectations themselves exhibit significant nonlinear dynamics. The empirical results are based on a new data set from the European Central Bank Survey of Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the neighborhood of the fundamental value, whereas expectations tend to be stabilizing in the presence of substantial oil price misalignment. -- Agent based models ; nonlinear expectations ; survey data

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/45900
    Series: Kiel working paper ; 1706
    Subjects: Ölpreis; Volatilität; Erwartungsbildung; Ölmarkt; Spekulation; Agentenbasierte Modellierung; Finanzanalyse; Schätzung; EU-Staaten
    Scope: Online-Ressource (PDF-Datei: 39 S., 1,04 MB), graph. Darst.