Computational Methods in Economic Dynamics (Dynamic Modeling by Herbert Dawid, Willi Semmler

By Herbert Dawid, Willi Semmler

This quantity is established round the factor of industry layout and ensuing industry dynamics. the commercial drawback of 2007-2009 has once more highlighted the significance of a formal layout of marketplace protocols and institutional information for monetary dynamics and macroeconomics. Papers during this quantity trap institutional information of specific markets, behavioral info of brokers' choice making in addition to spillovers among markets and results to the macroeconomy. Computational equipment are used to copy and comprehend marketplace dynamics rising from interplay of heterogeneous brokers, and to improve types that experience predictive strength for advanced marketplace dynamics. eventually remedies of overlapping generations versions and differential video games with heterogeneous actors are supplied.

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Extra resources for Computational Methods in Economic Dynamics (Dynamic Modeling and Econometrics in Economics and Finance)

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Journal of Mathematical Economics, 44, 651–671. Duffy, J. (2006). Agent-based model and human subject experiments. In L. Tesfatsion & K. L. ), Handbook of computational economics (pp. 950–1011). Amsterdam: Elsevier. , & Shachat, J. M. (2007). Individual rationality and market efficiency, wp 1204, August. IRBEMS, Krannert School, Purdue University. Gode, D. , & Sunder, S. (1993a). Allocative efficiency of markets with zero intelligence traders: Market as a partial substitute for individual rationality.

This is shown on the right-hand side of Fig. 8, where we report the (mean) traders’ protection offered by the two resampling rules with respect to their (mean) allocative efficiency. The γ -resampling frontier on the AE–TP plane dominates the π -resampling frontier. 7 Conclusions We have studied the continuous double auction from the point of view of market engineering, tweaking the trading protocol in search of improved designs. Our starting point has been the rules for exchange adopted by Gode and Sunder (1993a) for experiments with human agents and simulations with robot traders.

In Test 1, with two students and four computer agents, the IPT agents and the students faced identical cost conditions. In 6 out of the 9 sessions in Test 1, the IPT agents had higher average earnings than the students. In the all-agent tests, earnings of the LS agents that replaced the students were higher than the corresponding average earnings of the students in all three tests. In Tests 1 and 3, earnings of the LS agents were similar to the highest earnings obtained by the students. Our conclusion regarding the objective of the paper is that computer agents can replicate the behavior of students in an electricity auction effectively.

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