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Quantitative agent-based firm dynamics simulation with parameters estimated by financial and transaction data analysis

Author

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  • Ikeda, Yuichi
  • Souma, Wataru
  • Aoyama, Hideaki
  • Iyetomi, Hiroshi
  • Fujiwara, Yoshi
  • Kaizoji, Taisei

Abstract

Firm dynamics on a transaction network is considered from the standpoint of econophysics, agent-based simulations, and game theory. In this model, interacting firms rationally invest in a production facility to maximize net present value. We estimate parameters used in the model through empirical analysis of financial and transaction data. We propose two different methods (analytical method and regression method) to obtain an interaction matrix of firms. On a subset of a real transaction network, we simulate firm's revenue, cost, and fixed asset, which is the accumulated investment for the production facility. The simulation reproduces the quantitative behavior of past revenues and costs within a standard error when we use the interaction matrix estimated by the regression method, in which only transaction pairs are taken into account. Furthermore, the simulation qualitatively reproduces past data of fixed assets.

Suggested Citation

  • Ikeda, Yuichi & Souma, Wataru & Aoyama, Hideaki & Iyetomi, Hiroshi & Fujiwara, Yoshi & Kaizoji, Taisei, 2007. "Quantitative agent-based firm dynamics simulation with parameters estimated by financial and transaction data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 651-667.
    • Handle: RePEc:eee:phsmap:v:375:y:2007:i:2:p:651-667
    DOI: 10.1016/j.physa.2006.10.005
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    References listed on IDEAS

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    1. Fujiwara, Yoshi & Di Guilmi, Corrado & Aoyama, Hideaki & Gallegati, Mauro & Souma, Wataru, 2004. "Do Pareto–Zipf and Gibrat laws hold true? An analysis with European firms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 335(1), pages 197-216.
    2. Souma, Wataru & Aoyama, Hideaki & Fujiwara, Yoshi & Ikeda, Yuichi & Iyetomi, Hiroshi & Kaizoji, Taisei, 2006. "Correlation in business networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 151-155.
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    1. Yuichi Ikeda & Hideaki Aoyama & Hiroshi Iyetomi & Yoshi Fujiwara & Wataru Souma, 2008. "Correlated performance of firms in a transaction network," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 73-80, June.
    2. Ikeda, Yuichi & Aoyama, Hideaki & Iyetomi, Hiroshi & Fujiwara, Yoshi & Souma, Wataru & Kaizoji, Taisei, 2007. "Response of firm agent network to exogenous shock," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 138-148.

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