publication . Preprint . 2018

Multi-agent Economics and the Emergence of Critical Markets

Harré, Michael S.;
Open Access English
  • Published: 05 Sep 2018
Abstract
Comment: 24 pages, 5 figures
Subjects
free text keywords: Economics - General Economics, Nonlinear Sciences - Adaptation and Self-Organizing Systems, Quantitative Finance - Computational Finance, 62P20 (Primary), 35Q91, 91B02 (Secondary)
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56 references, page 1 of 4

[1] Sydney N Afriat. Slutsky and Frobenius. Zeitschrift fur Nationalokonomie, 37(3-4):307{322, 1977.

[2] Masanao Aoki. Simple model of asymmetrical business cycles: Interactive dynamics of a large number of agents with discrete choices. Macroeconomic Dynamics, 2(4):427{442, 1998.

[3] Vladimir Igorevich Arnol'd. Catastrophe Theory. Springer, 1992.

[4] W Brian Arthur. Inductive reasoning and bounded rationality. The American economic review, 84(2):406{411, 1994.

[5] W Brian Arthur. Out-of-equilibrium economics and agent-based modeling. Handbook of computational economics, 2:1551{1564, 2006.

[6] W Brian Arthur. Asset pricing under endogenous expectations in an arti cial stock market. In The economy as an evolving complex system II, pages 31{60. CRC Press, 2018.

[7] Robert Axelrod. The complexity of cooperation: Agent-based models of competition and collaboration, volume 3. Princeton University Press, 1997.

[8] Robert Axelrod and William Donald Hamilton. 211(4489):1390{1396, 1981.

[9] Robert L Axtell. What economic agents do: How cognition and interaction lead to emergence and complexity. The Review of Austrian Economics, 20(2-3):105{122, 2007.

[10] Y. Balasko. Economic equilibrium and catastrophe theory: An introduction. Econometrica, 46:557{569, 1978. [OpenAIRE]

[11] Jozef Barunik and Jiri Kukacka. Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility. Quantitative Finance, 15(6):959{973, 2015.

[12] Jozef Barun k and M Vosvrda. Can a stochastic cusp catastrophe model explain stock market crashes? Journal of Economic Dynamics and Control, 33(10):1824{1836, 2009.

[13] Stefano Battiston, J Doyne Farmer, Andreas Flache, Diego Garlaschelli, Andrew G Haldane, Hans Heesterbeek, Cars Hommes, Carlo Jaeger, Robert May, and Marten Sche er. Complexity theory and nancial regulation. Science, 351(6275):818{819, 2016.

[14] Dirk J Bezemer. Understanding nancial crisis through accounting models. Accounting, Organizations and Society, 35(7):676{688, 2010.

[15] Dirk J Bezemer. The economy as a complex system: the balance sheet dimension. Advances in Complex Systems, 15(supp02):1250047, 2012.

56 references, page 1 of 4
Abstract
Comment: 24 pages, 5 figures
Subjects
free text keywords: Economics - General Economics, Nonlinear Sciences - Adaptation and Self-Organizing Systems, Quantitative Finance - Computational Finance, 62P20 (Primary), 35Q91, 91B02 (Secondary)
Download from
56 references, page 1 of 4

[1] Sydney N Afriat. Slutsky and Frobenius. Zeitschrift fur Nationalokonomie, 37(3-4):307{322, 1977.

[2] Masanao Aoki. Simple model of asymmetrical business cycles: Interactive dynamics of a large number of agents with discrete choices. Macroeconomic Dynamics, 2(4):427{442, 1998.

[3] Vladimir Igorevich Arnol'd. Catastrophe Theory. Springer, 1992.

[4] W Brian Arthur. Inductive reasoning and bounded rationality. The American economic review, 84(2):406{411, 1994.

[5] W Brian Arthur. Out-of-equilibrium economics and agent-based modeling. Handbook of computational economics, 2:1551{1564, 2006.

[6] W Brian Arthur. Asset pricing under endogenous expectations in an arti cial stock market. In The economy as an evolving complex system II, pages 31{60. CRC Press, 2018.

[7] Robert Axelrod. The complexity of cooperation: Agent-based models of competition and collaboration, volume 3. Princeton University Press, 1997.

[8] Robert Axelrod and William Donald Hamilton. 211(4489):1390{1396, 1981.

[9] Robert L Axtell. What economic agents do: How cognition and interaction lead to emergence and complexity. The Review of Austrian Economics, 20(2-3):105{122, 2007.

[10] Y. Balasko. Economic equilibrium and catastrophe theory: An introduction. Econometrica, 46:557{569, 1978. [OpenAIRE]

[11] Jozef Barunik and Jiri Kukacka. Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility. Quantitative Finance, 15(6):959{973, 2015.

[12] Jozef Barun k and M Vosvrda. Can a stochastic cusp catastrophe model explain stock market crashes? Journal of Economic Dynamics and Control, 33(10):1824{1836, 2009.

[13] Stefano Battiston, J Doyne Farmer, Andreas Flache, Diego Garlaschelli, Andrew G Haldane, Hans Heesterbeek, Cars Hommes, Carlo Jaeger, Robert May, and Marten Sche er. Complexity theory and nancial regulation. Science, 351(6275):818{819, 2016.

[14] Dirk J Bezemer. Understanding nancial crisis through accounting models. Accounting, Organizations and Society, 35(7):676{688, 2010.

[15] Dirk J Bezemer. The economy as a complex system: the balance sheet dimension. Advances in Complex Systems, 15(supp02):1250047, 2012.

56 references, page 1 of 4
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