Advanced Search
MyIDEAS: Login

Critical behaviour and system size in agent-based models: an explanation

Contents:

Author Info

  • Simone Alfarano
  • Friedrich Wagner

Abstract

The stylised facts of financial data, such as fat tails, volatility clustering, and long memory, have been successfully described within the paradigm of interacting agent hypothesis. However, a common problem that characterizes the dynamics of agent-based models is the necessary fine tuning of at least one of the parameters. In the class of models dealing with switching strategies based on continuous time approximation, it is, in fact, frequently reported in the literature a loss of interesting dynamics for an increasing number of agents. In this paper, we show analytically that this is equivalent to a modification of the time scale, that can lead to a “break down†of the desirable properties of the return time series. In order to show this, we have used a variant of the well-known model introduced by Kirman (1993), to treat stochastic transmission of information in an ants" colony. An increasing number of agents leads to invariant dynamical properties for a suitable choice of the time scale, while leads to a convergence to an uninteresting Gaussian regime for an improper transformation. We think that this occurrence is not limited to this simple setting, but it is applicable also to a more general class of models.

Download Info

To 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 Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 315.

as in new window
Length:
Date of creation: 11 Aug 2004
Date of revision:
Handle: RePEc:sce:scecf4:315

Contact details of provider:
Email:
Web page: http://comp-econ.org/
More information through EDIRC

Related research

Keywords: agent-based model; critical behavior; herding;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:sce:scecf4:315. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.