Artificial Economics: Agent-Based Methods in Finance, Game Theory and Their Applications (Lecture Notes in Economics and Mathematical Systems (564))

Agent-based Computational Economics (ACE) is a new discipline of economics, largely grounded on concepts like evolution, auto-organisation and emergence: it intensively uses computer simulations as well as artificial intelligence, mostly based on multi-agents systems. The purpose of this book is to give an up-to date view of the scientific production in the fields of Agent-based Computational Economics (mainly in Market Finance and Game Theory). Based on communications given at AE'2005 (Lille, USTL, France), this book offers a wide panorama of recent advances in ACE (both theoretical and methodological) that will interest academics as well as practitioners. Time Series Properties From An Artificial Stock Market With A Walrasian Auctioneer / Thomas Stumpert, Detlef Seese And Malte Sunderkotte -- Market Dynamics And Agents Behaviors : A Computational Approach / Julien Derveeuw -- Traders Imprint Themselves By Adaptively Updating Their Own Avatar / Gilles Daniel, Lev Muchnik And Sorin Solomon -- Learning In Continuous Double Auction Market / Marta Posada, Cesareo Hernandez And Adolfo Lopez-paredes -- Firms Adaptation In Dynamic Economic Systems / Lilia Rejeb And Zahia Guessoum -- Firm Size Dynamics In A Cournot Computational Model / Francesco Saraceno And Jason Barr -- Emergence Of A Self-organized Dynamic Fishery Sector : Application To Simulation Of The Small-scale Fresh Fish Supply Chain In Senegal / Jean Le Fur -- Multi-agent Model Of Trust In A Human Game / Catholijn M. Jonker, Sebastiaan Meijer, Dmytro Tykhonov And Tim Verwaart -- A Counterexample For The Bullwhip Effect In Supply Chain / Toshiji Kawagoe And Shihomi Wada -- Collective Efficiency In Two-sided Matching / Tomoko Fuku, Akira Namatame And Taisei Kaizouji -- Complex Dynamics, Financial Fragility And Stylized Facts / Domenico Delli Gatti, Edoardo Gaffeo, Mauro Gallegati, Gianfranco Giulioni, Alan Kirman, Antonio Palestrini And Alberto Russo -- Noisy Trading In The Large Market Limit / Mikhail Anufriev And Giulio Bottazzi -- Emergence In Multi-agent Systems : Cognitive Hierarchy, Detection, And Complexity Reduction Part I : Methodological Issues / Jean-louis Dessalles And Denis Phan -- The Implications Of Case-based Reasoning In Strategic Contexts / Luis R. Izquierdo And Nicholas M. Gotts -- A Model Of Myerson-nash Equilibria In Networks / Paolo Pin -- Stock Price Dynamics In Artificial Multi-agent Stock Markets / A. O. I. Hoffman, S. A. Delre, J. H. Von Eije And W. Jager -- Market Failure Caused By Quality Uncertainty / Segismundo S. Izquierdo, Luis R. Izquierdo, Jose M. Galan And Cesareo Hernandez -- Learning And The Price Dynamics Of A Double-auction Financial Market With Portfolio Traders / Andrea Consiglio, Valerio Lacagnina And Annalisa Russino -- How Do The Differences Among Order Distributions Affect The Rate Of Investment Returns And The Contract Rate / Shingo Yamamoto, Shihomi Wada And Toshiji Kawagoe. Philippe Mathieu, Bruno Beaufils, Olivier Brandouy (eds.). Includes Bibliographical References. Artificial Economics......Page 1 Contents......Page 9 Artificial Stock Markets......Page 14 Time Series Properties from an Artificial Stock Market with a Walrasian Auctioneer......Page 15 Market Dynamics and Agents Behaviors: a Computational Approach......Page 27 Traders Imprint Themselves by Adaptively Updating their Own Avatar......Page 39 Learning in Models......Page 51 Learning in Continuous Double Auction Market......Page 52 Firms Adaptation in Dynamic Economic Systems......Page 63 Firm Size Dynamics in a Cournot Computational Model......Page 75 Case-Studies and Applications......Page 87 Emergence of a Self-Organized Dynamic Fishery Sector: Application to Simulation of the Small-Scale Fresh Fish Supply Chain in Senegal......Page 88 Multi-Agent Model of Trust in a Human Game......Page 99 A Counterexample for the Bullwhip Effect in a Supply Chain......Page 111 Bottom-Up Approaches......Page 120 Collective Efficiency in Two-Sided Matching......Page 121 Complex Dynamics, Financial Fragility and Stylized Facts......Page 133 Noisy Trading in the Large Market Limit......Page 142 Emergence in Multi-Agent Systems: Cognitive Hierarchy, Detection, and Complexity Reduction part I: Methodological Issues......Page 151 Methodological Issues......Page 164 The Implications of Case-Based Reasoning in Strategic Contexts......Page 165 A Model of Myerson-Nash Equilibria in Networks......Page 177 Market Dynamics......Page 191 Stock Price Dynamics in Artificial Multi-Agent Stock Markets......Page 192 Market Failure Caused by Quality Uncertainty......Page 203 Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders......Page 214 How Do the Differences Among Order Distributions Affect the Rate of Investment Returns and the Contract Rate......Page 226 Aims to give a view of the scientific production in the fields of Agent-based Computational Economics, mainly in Market Finance and Game Theory. Based on communications given at AE'2005 (Lille, USTL, France), this book offers a panorama of advances in ACE, both theoretical and methodological that is of interest academics as well as practitioners