Econophysics review: II. Agent-based models

Chakraborti, Anirban; Toke, Ioane Muni; Patriarca, Marco; Abergel, Frédéric

doi:10.1080/14697688.2010.539249

Cited by 233 publications

(158 citation statements)

References 125 publications

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“…In the past years, however, it is difficult to quantify the effect of the external information on the financial systems, due to the lack of data. Our understanding of the external information and its controlling effect in the agentbased modeling is rather limited [27,28,29,30]. Fortunately, massive new data sources are resulted from human interactions with the internet in recent years.…”

Section: Big Data and Agent-based Modelingmentioning

confidence: 99%

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New approaches in agent-based modeling of complex financial systems

Chen

Zheng

et al. 2017

Front. Phys.

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Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from empirical data instead of setting them artificially was suggested. We first review several agent-based models and the new approaches to determine the key model parameters from historical market data. Based on the agents' behaviors with heterogenous personal preferences and interactions, these models are successful to explain the microscopic origination of the temporal and spatial correlations of the financial markets. We then present a novel paradigm combining the big-data analysis with the agent-based modeling. Specifically, from internet query and stock market data, we extract the information driving forces, and develop an agent-based model to simulate the dynamic behaviors of the complex financial systems.

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Section: Big Data and Agent-based Modelingmentioning

confidence: 99%

“…However, our understanding of external information and its controlling effect in the agent-based modeling is rather limited [27,28,29,30]. In recent years, exploring the scientific impact of online big-data has attracted much attention of researchers from different fields.…”

Section: Introductionmentioning

confidence: 99%

New approaches in agent-based modeling of complex financial systems

Chen

Zheng

et al. 2017

Front. Phys.

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“…Burda et al, 2003). Most econophysicists view this as a power law problem which can be analyzed starting from the "microscopic equation" that governs the dynamics of the evolution of wealth distributions which would lead to predicting the observed shape of wealth distributions (Chakraborti et al, 2011b;Lux, 2005). The following passage is indicative of the methodology employed:…”

Section: Econophysics: Emergence and Main Featuresmentioning

confidence: 99%

From Edgeworth to econophysics: a methodological perspective

Drakopoulos

Katselidis

2015

Journal of Economic Methodology

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Although most of the marginalist economists' methodology was influenced by 19th century classical physics, the work of second generation marginalist Francis Ysidro Edgeworth represents the highest point of classical physics influence to the development of mainstream economic methodology. Edgeworth's close parallelism between celestial and social mechanics expressed in his analogies between utility and energy and the principle of utility maximization to maximum energy, are important indications of the physics scientific ideal for economics. Subsequent leading theorists were not as explicit, although economic theory continued to be influenced by physics scientific ideal as the work of Pareto, Fisher and Samuelson indicates. However, the physics methodological framework has made a recent reappearance in the relatively new field of econophysics. Although there are methodological similarities, there are also important differences between mainstream economics and econophysics. Econophysicists' emphasis to statistical mechanics rather to mechanical models, their reservations towards rational agent theory and their rejection of many standard assumptions of mainstream economics, are examples of such differences. This might also explain the resistance of mainstream economic theorists to incorporate econophysics into economics. The paper examines the above from a methodological viewpoint. It also discusses the possible reasons for this historical development and its implications for economic methodology.

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“…Ecological economists [1], based on scientific results, generally sustain that the environmental feedback on the economic system is already apparent and could well become dramatic in the near future (they replace the aprioristic belief of τ → ∞ by a set of finite τ , uncertain but scientifically based and, often, small enough to be policy-relevant). The internal equilibrium assumption (τ → 0) has been someway relaxed by several economic schools, but it has been most thoroughly debunked by a recently developed discipline known as econophysics [2][3][4][5]. Econophysics is quickly expanding in the pages of physics journals and consists of the application of concepts and tools of statistical physics to economics.…”

Section: Introductionmentioning

confidence: 99%

Ecological Econophysics for Degrowth

Pueyo

2014

Sustainability

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This paper outlines a synthesis of ecological economics with econophysics and other complexity approaches to economics. Arguably, the resulting "ecological econophysics" will be scientifically sounder than mainstream economics and much better suited to addressing a major challenge of our times: the development of democratically-based policies to reduce economic throughput to an environmentally sustainable level without triggering economic crises and without excluding part of the world's population, i.e., to implement degrowth. Degrowth will need major structural changes, which leads us to question whether there are limits to the malleability of the economic system's architecture. A fundamental limit will be encountered if, as suggested by the physics of complexity, long-lasting complex systems always occur midway between an ordered and a disordered state. There is much evidence that this hypothesis holds and that the current economic system satisfies this condition. However, this does not mean that the problems posed by this system should be unavoidable. Ecological econophysics gives clues to identifying alternative economic systems that would also function between order and chaos, but which would have radically different implications for environmental sustainability and social justice.

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Econophysics review: II. Agent-based models

Cited by 233 publications

References 125 publications

New approaches in agent-based modeling of complex financial systems

New approaches in agent-based modeling of complex financial systems

From Edgeworth to econophysics: a methodological perspective

Ecological Econophysics for Degrowth

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