Artificial Markets Modeling Methods and Applications
Agent-based computational modeling with its intrinsic multidisciplinary approach is gaining increasing recognition in the social sciences, particularly in economics, business and finance. The methodology is now widely used to compute analytical models num
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Founding Editors: M. Beckmann H.P. Künzi Managing Editors: Prof. Dr. G. Fandel Fachbereich Wirtschaftswissenschaften Fernuniversität Hagen Feithstr. 140/AVZ II, 58084 Hagen, Germany Prof. Dr. W. Trockel Institut für Mathematische Wirtschaftsforschung (IMW) Universität Bielefeld Universitätsstr. 25, 33615 Bielefeld, Germany Editorial Board: A. Basile, A. Drexl, H. Dawid, K. Inderfurth, W. Kürsten, U. Schittko
Andrea Consiglio (Editors)
Artificial Markets Modeling Methods and Applications
With 84 Figures and 28 Tables
123
Professor Andrea Consiglio Department of Statistics and Mathematics ‘Silvio Vianelli’ University of Palermo Viale delle Scienze - Ed. 13 90128 Palermo Italy
Library of Congress Control Number: 2007932226
ISSN 0075-8442 ISBN 978-3-540-73134-4 Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springer.com © Springer-Verlag Berlin Heidelberg 2007 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Production: LE-TEX Jelonek, Schmidt & V¨ ockler GbR, Leipzig Cover-design: WMX Design GmbH, Heidelberg SPIN 12078806
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Preface
Agent-based computational models, generally named “Artificial economics” (AE), represent a new methodological approach where economies, and more generally social structures, are modeled as evolving systems consisting of heterogeneous interacting agents with some degree of cognitive skills. Assuming a precise mechanism that regulates the interaction among different agents, this approach allows through simulation to compute numerically the aggregate behavior of the economy and to discover the regularities emerging from the micro-behavior of the agents. The AE approach has provoked a great deal of academic interest among social scientists because it represents an alternative to both the fully flexible but not computable and testable descriptive models, and the logical consistent but highly simplified analytical models. With AE the researcher retains much of the flexibility of pure descriptive models in the specification of the interaction structure and the individual behavior, while having the precision and consistency imposed by the computer language. The methodology opens up new avenues for analyzing
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