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Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics and Finance

  • Aleksejus Kononovicius
  • Vygintas Gontis
  • Valentas Daniunas
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    We present examples of agent-based and stochastic models of competition and business processes in economics and finance. We start from as simple as possible models, which have microscopic, agent-based, versions and macroscopic treatment in behavior. Microscopic and macroscopic versions of herding model proposed by Kirman and Bass diffusion of new products are considered in this contribution as two basic ideas. Further we demonstrate that general herding behavior can be considered as a background of nonlinear stochastic model of financial fluctuations.

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    Paper provided by in its series Papers with number 1202.3533.

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    Date of creation: Feb 2012
    Date of revision: Jun 2012
    Publication status: Published in International Journal On Advances in Intelligent Systems, volume 5, pages 111-126, 2012
    Handle: RePEc:arx:papers:1202.3533
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    1. Gontis, V. & Kaulakys, B. & Ruseckas, J., 2008. "Trading activity as driven Poisson process: Comparison with empirical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3891-3896.
    2. Kononovicius, A. & Gontis, V., 2012. "Agent based reasoning for the non-linear stochastic models of long-range memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1309-1314.
    3. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2005. "Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Economics Working Papers 2005,14, Christian-Albrechts-University of Kiel, Department of Economics.
    4. Gontis, V. & Kaulakys, B., 2004. "Multiplicative point process as a model of trading activity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 505-514.
    5. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Society for Computational Economics, vol. 26(1), pages 19-49, August.
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