Economics with Heterogeneous Interacting Agents: A Practical Guide to Agent-Based Modeling

219 Pages·2016·6.49 MB·English

by  Alessandro Caiani

New Economic Windows
Alessandro Caiani
Alberto Russo
Antonio Palestrini
Mauro Gallegati Editors
Economics with
Heterogeneous
Interacting Agents
A Practical Guide to
Agent-Based Modeling
Economics with Heterogeneous Interacting Agents
New Economic Windows
Series editors
MARISA FAGGINI, MAURO GALLEGATI, ALAN P. KIRMAN, THOMAS LUX
Series Editorial Board
Jaime Gil Aluja
Departamentd’EconomiaiOrganitzaciód’Empreses,UniversitatdeBarcelona,Barcelona,Spain
Fortunato Arecchi
DipartimentodiFisica,UniversitàdegliStudidiFirenzeandINOA,Florence,Italy
David Colander
DepartmentofEconomics,MiddleburyCollege,Middlebury,VT,USA
Richard H. Day
DepartmentofEconomics,UniversityofSouthernCalifornia,LosAngeles,USA
Steve Keen
SchoolofEconomicsandFinance,UniversityofWesternSydney,Penrith,Australia
Marji Lines
DipartimentodiScienzeStatistiche,UniversitàdegliStudidiUdine,Udine,Italy
Alfredo Medio
DipartimentodiScienzeStatistiche,UniversitàdegliStudidiUdine,Udine,Italy
Paul Ormerod
DirectorsofEnvironmentBusiness-VolterraConsulting,London,UK
Peter Richmond
SchoolofPhysics,TrinityCollege,Dublin2,Ireland
J. Barkley Rosser
DepartmentofEconomics,JamesMadisonUniversity,Harrisonburg,VA,USA
Sorin Solomon Racah
InstituteofPhysics,TheHebrewUniversityofJerusalem,Jerusalem,Israel
Pietro Terna
DipartimentodiScienzeEconomicheeFinanziarie,UniversitàdegliStudidiTorino,Torino,Italy
Kumaraswamy (Vela) Velupillai
DepartmentofEconomics,NationalUniversityofIreland,Galway,Ireland
Nicolas Vriend
DepartmentofEconomics,QueenMaryUniversityofLondon,London,UK
Lotfi Zadeh
ComputerScienceDivision,UniversityofCaliforniaBerkeley,Berkeley,CA,USA
More information about this series at http://www.springer.com/series/6901
Alessandro Caiani Alberto Russo
(cid:129)
Antonio Palestrini Mauro Gallegati
(cid:129)
Editors
Economics
with Heterogeneous
Interacting Agents
A Practical Guide to Agent-Based Modeling
123
Editors
Alessandro Caiani AntonioPalestrini
UniversitàPolitecnica delle Marche UniversitàPolitecnica delle Marche
Ancona Ancona
Italy Italy
AlbertoRusso MauroGallegati
UniversitàPolitecnica delle Marche UniversitàPolitecnica delle Marche
Ancona Ancona
Italy Italy
Additional material tothis bookcanbedownloaded from http://extras.springer.com.
ISSN 2039-411X ISSN 2039-4128 (electronic)
NewEconomic Windows
ISBN978-3-319-44056-9 ISBN978-3-319-44058-3 (eBook)
DOI 10.1007/978-3-319-44058-3
LibraryofCongressControlNumber:2016947920
©SpringerInternationalPublishingSwitzerland2016
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To Maurizio Mariotti
Foreword
This book emerges from a workshop activity of a research group on Agent Based
Models at the Dipartimento di Scienze Economiche e Sociali at the Universitá
Politecnica delle Marche, Ancona, which includes—in addition to the four
editors—Leonardo Bargigli (Florence), Ermanno Catullo, Eugenio Caverzasi,
FabioClementi(Macerata),AnnaritaColasante,CorradoDiGuilmi(Sydney),Lisa
Gianmoena,FedericoGiri,RuggeroGrilli,SimoneLandini(Tourin),LucaRiccetti
(Rome), and Gabriele Tedeschi (Castillon). For many years, we have divided the
very few honours and numerous research squabbles, exploring unknown research
territories with many friends from different disciplines.
Financial and scientific contributions of the various European projects—in
particular,SYMPHONYandFINMAP,DiSESandINEThaveallowedthesurvival
of the youngest in years of financial famine that has deeply affected the Italian
universities.
The book is intended for graduate and Ph.D. students, but also undergraduates
with a minimal knowledge in computers and economics, and in general people
curious in computational science and Agent Computational Economics, can enjoy
it.Despitethefactthatthereaderwillbeguidedstepbystepinthesimulation,itis
not an ACE guide for dummies and almost elementary computer skills are pre-
ferred—or at least to know how to switch on a PC. Hopefully the Groucho Marx
dictumwillbeexaggerated:A4-year-oldchildcouldunderstandthisbook.Runout
and find me a 4-year-old child. I can’t make head nor tail out of it.
We have had a lot of “laboratory mice”, the students of advanced macro at
UNIVPMandtheparticipantsintheSummerSchoolsonABM,onSeptember2014
and September 2015.
Our gratitude goes also to Domenico Delli Gatti, Alan Kirman, Giulia Iori,
Thomas Lux, Maria Cristina Recchioni and J. Barkley Rosser.
vii
viii Foreword
Whilethisbookwasinitsveryfinalstageofcompilation,ourbelovedfriendand
colleague Maurizio Mariotti passed away. We dedicate the book to him knowing
that nothing will replace his kind generosity and are happy to have shared many
days illuminated by his “buondì” and beaming smile
Ancona Alessandro Caiani
May 2016 Alberto Russo
Antonio Palestrini
Mauro Gallegati
Contents
1 Getting Started: The Aggregation Conundrums and Basic
Toolkits of Agent Based Modeling.. .... .... .... .... ..... .... 1
Ermanno Catullo, Antonio Palestrini and Gabriele Tedeschi
2 A Simple Model of Business Fluctuations with Heterogeneous
Interacting Agents and Credit Networks. .... .... .... ..... .... 29
Leonardo Bargigli, Alessandro Caiani, Luca Riccetti
and Alberto Russo
3 Modeling Financial Markets in an Agent-Based Framework.. .... 103
Ruggero Grilli and Gabriele Tedeschi
4 Heavy-Tailed Distributions for Agent-Based Economic
Modelling. .... .... .... ..... .... .... .... .... .... ..... .... 157
Fabio Clementi
Conclusion.... .... .... .... ..... .... .... .... .... .... ..... .... 191
References.... .... .... .... ..... .... .... .... .... .... ..... .... 193
Index .... .... .... .... .... ..... .... .... .... .... .... ..... .... 203
ix
Contributors
Leonardo Bargigli Dipartimento di Scienze per l’Economia e l’Impresa,
Università di Firenze, Florence, Italy
Alessandro Caiani Dipartimento di Management, Università Politecnica delle
Marche, Ancona, Italy
Ermanno Catullo Dipartimento di Scienze Economiche e Sociali, Università
Politecnica delle Marche, Ancona, Italy
Fabio Clementi Dipartimento di Scienze politiche, della comunicazione e delle
relazioni internazionali, Università di Macerata, Macerata, Italy
Ruggero Grilli Dipartimento di Scienze Economiche e Sociali, Università
Politecnica delle Marche, Ancona, Italy
Antonio Palestrini Dipartimento di Scienze Economiche e Sociali, Università
Politecnica delle Marche, Ancona, Italy
Luca Riccetti Facoltà di Economia, Dipartimento di Management, Sapienza
Università di Roma, Roma, Italy
AlbertoRusso DipartimentodiManagement,UniversitàPolitecnicadelleMarche,
Ancona, Italy
Gabriele Tedeschi Departament d’Economia, Universitat Jaume I de Castellon,
Castellón, Spain
xi