Modeling Aggregate Behavior and Fluctuations in Economics
AbstractThis book has two components: stochastic dynamics and stochastic random combinatorial analysis. The first discusses evolving patterns of interactions of a large but finite number of agents of several types. Changes of agent types or their choices or decisions over time are formulated as jump Markov processes with suitably specified transition rates: optimisations by agents make these rates generally endogenous. Probabilistic equilibrium selection rules are also discussed, together with the distributions of relative sizes of the bases of attraction. As the number of agents approaches infinity, we recover deterministic macroeconomic relations of more conventional economic models. The second component analyses how agents form clusters of various sizes. This has applications for discussing sizes or shares of markets by various agents which involve some combinatorial analysis patterned after the population genetics literature. These are shown to be relevant to distributions of returns to assets, volatility of returns, and power laws.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoThis book is provided by Cambridge University Press in its series Cambridge Books with number 9780521606196 and published in 2004.
Contact details of provider:
Web page: http://www.cambridge.org
Other versions of this item:
- Aoki,Masanao, 2001. "Modeling Aggregate Behavior and Fluctuations in Economics," Cambridge Books, Cambridge University Press, number 9780521781268, Fall.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Chiarella, Carl & Di Guilmi, Corrado, 2011.
"The financial instability hypothesis: A stochastic microfoundation framework,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 35(8), pages 1151-1171, August.
- Carl Chiarella & Corrado Di Guilmi, 2010. "The Financial Instability Hypothesis:a Stochastic Microfoundation Framework," Research Paper Series 273, Quantitative Finance Research Centre, University of Technology, Sydney.
- Wright, Ian, 2008.
"Implicit Microfoundations for Macroeconomics,"
Economics Discussion Papers
2008-41, Kiel Institute for the World Economy.
- Wright, Ian, 2009. "Implicit Microfoundations for Macroeconomics," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(19), pages 1-27.
- Y. Ikeda & W. Souma & H. Aoyama & Y. Fujiwara & H. Iyetomi, 2010. "Analysis of labor productivity using large-scale data of firm’s financial statements," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 76(4), pages 491-499, August.
- Masanao Aoki, 2002.
"Open Models of Share Markets with Two Dominant Types of Participants,"
UCLA Economics Online Papers
107, UCLA Department of Economics.
- Aoki, Masanao, 2002. "Open models of share markets with two dominant types of participants," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 199-216, October.
- Fujiwara, Yoshi & Souma, Wataru & Aoyama, Hideaki & Kaizoji, Taisei & Aoki, Masanao, 2003.
"Growth and fluctuations of personal income,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 321(3), pages 598-604.
- Carl Chiarella & Corrado Di Guilmi, 2011. "Limit Distribution of Evolving Strategies in Financial Markets," Research Paper Series 294, Quantitative Finance Research Centre, University of Technology, Sydney.
- repec:ebl:ecbull:v:3:y:2007:i:2:p:1-10 is not listed on IDEAS
- Enrico Scalas & Mauro Gallegati & Eric Guerci & David Mas & Alessandra Tedeschi, 2006.
"Growth and Allocation of Resources in Economics: The Agent-Based Approach,"
- Scalas, Enrico & Gallegati, Mauro & Guerci, Eric & Mas, David & Tedeschi, Alessandra, 2006. "Growth and allocation of resources in economics: The agent-based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 86-90.
- Cars H. Hommes, 2005.
"Heterogeneous Agent Models in Economics and Finance,"
Tinbergen Institute Discussion Papers
05-056/1, Tinbergen Institute.
- Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186 Elsevier.
- Masanao Aoki & Hiroshi Yoshikawa, 2012. "Non-self-averaging in macroeconomic models: a criticism of modern micro-founded macroeconomics," Journal of Economic Interaction and Coordination, Springer, vol. 7(1), pages 1-22, May.
- M. Gallegati & A. Palestrini & D. Gatti & E. Scalas, 2006. "Aggregation of Heterogeneous Interacting Agents: The Variant Representative Agent Framework," Journal of Economic Interaction and Coordination, Springer, vol. 1(1), pages 5-19, May.
- Fabio Tramontana & Mauro Gallegati, 2010.
"Economics as a compartmental system: a simple macroeconomic example,"
1011, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2010.
- Fabio Tramontana, 2010. "Economics as a compartmental system: a simple macroeconomic example," International Review of Economics, Springer, vol. 57(4), pages 347-360, December.
- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2010. "Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation," MPRA Paper 24719, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ruth Austin).
If references are entirely missing, you can add them using this form.