Artificial Economics Agent Based Methods in Finance Game by Philippe Mathieu, Bruno Beaufils, Olivier Brandouy

By Philippe Mathieu, Bruno Beaufils, Olivier Brandouy

Agent-based Computational Economics (ACE) is a brand new self-discipline of economics, principally grounded on suggestions like evolution, auto-organisation and emergence: it intensively makes use of desktop simulations in addition to man made intelligence, more often than not in keeping with multi-agents structures. the aim of this e-book is to offer an up-to date view of the clinical construction within the fields of Agent-based Computational Economics (mainly in industry Finance and video game Theory). in accordance with communications given at AE'2005 (Lille, USTL, France), this e-book deals a large landscape of contemporary advances in ACE (both theoretical and methodological) that may curiosity teachers in addition to practitioners.

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The two columns of the table refere to the usual methods and the "Avatar-Based Method" (ABM from now on). One sees that in our view, the ABM constitutes a rather uniform way to treat economic behaviour and is capable of bridging application areas that were until now disjoint. This is clearly the case for the LAB and COMPUTER rows, where we even erased the separation line, but it has implications for the other rows too. For instance the Avatars, and especially within the NatLab environment, have been used already to extend to more realistic conditions some theoretical models (row 4 of the table) and results [16].

As said before, the main characteristic of the fundamentalist agents is that they have appropriate decisions considering the spread between the observed prices and the fundamental value. Let's consider the composition of the chrosome and what kind of statements are coded inside. 0,7 ] 7 > 0 . ) Fig. 1. Fundamentalists' chromosome Fig. 2. Rules for fundamentalist rationalization Let's consider the seventh gene; the corresponding statement, depending on its wahxQ {l, 0, ^} is: The price {is, i s n o t , i s o r i s not} at least forty percent above the fundamental value We have added to the original SASM a rationalize procedure.

Market dynamics with fundamentalist agents The first step to test if those motions are somewhat consistent with what happens in the real stock markets consist in testing whether they are driven by non-stationary processes or not. g. ADF). Both fundamental values and prices have to be random walks if we want to qualify the simulations realistic since the immense part of academic researchs attest such motions for modem, real stock market dynamics. In the following tests, the null hypothesis is time seriepresents one unit root (HQ) while the alternative is time serie has no unit root (Hi).

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