Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics and Finance
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.
|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|
|Contact details of provider:|| Web page: http://arxiv.org/|
References listed on IDEAS
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- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2008.
"Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach,"
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- 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.
- Simone Alfarano & Thomas Lux & Friedrich Wagner, 2006. "Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach," Working Papers wpn06-01, Warwick Business School, Finance Group.
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