The Complex Dynamics of Economic Interaction: Essays in Economics and Econophysics (Lecture Notes in Economics and Mathematical Systems, 531)

This volume contains a selection of contributions presented at the WEHIA02 (Workshop on Economies with Heterogeneous Interacting Agents), which was held at the Abdus Salam International Centre for Physics of Trieste, Italy, on May 29- 31, under the auspices of Exystence, Complex System network of excellence . WEHIA02 is the 7th edition of a workshop, which was held for the first time at the University of Ancona, Italy , on 1996 (1), as a one-week series of seminars for the Italian PhD program . Ancona hosted the event in the years 1997 and 1998 (2) , before it moved to Genoa 1999 (3), Marseille 2000 (4) , Maastricht 2001 (5), and finally to Trieste 2002. The 2003 workshop was held in Kid , Germany, while the next editions will be in Kyoto, Japan (2004) and Essex, UK (2005). The full list of participants, titles of the invited lectures, papers and posters of WEHIA can be found in http ://econ . dea. it/wehia2. The workshop has been always very informal aiming to put together sch- ars of different disciplines working on interaction of heterogeneous "so- thing " (economists, physicists, biologists) . To facilitate participation there has not been conference fee . It aimed to be a locus for communicate and exchange results and experiences . Several collaborations started with the Workshop and it is not without pride that the organizers claim such a result. The WEHIA has had two pars: a pars desiruens and a pars adestruens. Part I. Economics -- A New Model Of Industry Dynamics / M. Aoki -- Monetary Policy And The Distribution Of Wealth In A Olg Economy With Heterogeneous Agents, Money And Bequests / R. Longaretti, D. Delli Gatti -- Limit Pricing And Entry Dynamics With Heterogeneous Firms / T. Asada, W. Semmler -- Viability Of Innovation Processes, Emergence And Stability Of Market Structures / M. Amendola [and Others] -- Firms' Bankruptcy And Turnover In A Macroeconomy / M. Bee [and Others] -- Part Ii. Econophysics: Empirical Analysis -- Statistical Physics And Economic Fluctuations / H.e. Stanley [and Others] -- Modeling The Dynamics Of A Financial Index After A Crash / F. Lillo, R. Mantegna -- Price Impact Function Of A Single Transaction / F. Lillo [and Others] -- Incomedistribution And Stochastic Multiplicative Process With Reset Events / M. Nirei, W. Souma -- Part Iii. Market Models And Stylized Facts -- Volatility Clustring In Agent Based Market Model / I. Giardina, J-p Bouchaud -- A Dynamical Analysis Of Speculation Across Two Markets / C. Chiarella [and Others] -- A Simple Micro-model Of Market Dynamics / G. Bottazzi -- Herd Behavior In Artificial Stock Markets / U. Garibaldi [and Others] -- Part Iv. Models Of Bounded Rationality -- Bargaining With Posterior Opportunities: An Evolutionary Social Simulation / E.h. Gerding, J.a. La Poutr -- Herding Behavior Of Financial Analysts: A Model Of Self-organized Criticality / A. Krause -- Give-and-take In Minority Games / A. Namatame [and Others] -- Coordination In Self-organization In Minority Games: Experimental Evidence / G. Bottazzi, G. Devetag -- Part V. Societies Of Interacting Agents -- Coordination Of Decisions In A Spatial Model Of Brownian Agents / F. Schweitzer -- Coalition Formation With Boundedly Rational Agents / D. Fiaschi, P.m. Pacini -- On The Creation Of Networks And Knowledge / R. Cowan [and Others] -- Impact Of Corporate Boards Interlock On The Decision Making Dynamics / S. Battiston [and Others] -- Interaction Of Heterogeneous Agents In Stochastic Socio-economic Systems / J. Mimkes [and Others] -- Coordination Of Decisions In A Spatial Model Of Brownian Agents / W.a.t. Wan Abdullah. Mauro Gallegati, Alan Kirman, Matteo Marsili (eds.). Includes Bibliographical References. Front Matter....Pages I-XV Front Matter....Pages 1-1 A New Model of Industry Dynamics....Pages 3-14 Monetary Policy and the Distribution of Wealth in a OLG Economy with Heterogeneous Agents, Money and Bequests....Pages 15-33 Limit Pricing and Entry Dynamics with Heterogeneous Firms....Pages 35-48 Viability of Innovation Processes, Emergence and Stability of Market Structures....Pages 49-77 Firms’ Bankruptcy and Turnover in a Macroeconomy....Pages 79-106 Front Matter....Pages 107-107 Statistical Physics and Economic Fluctuations....Pages 109-141 Modeling the Dynamics of a Financial Index after a Crash....Pages 143-151 Price Impact Function of a Single Transaction....Pages 153-160 Income Distribution and Stochastic Multiplicative Process with Reset Event....Pages 161-168 Front Matter....Pages 169-169 Volatility Clustring In Agent Based Market Model....Pages 171-196 A Dynamic Analysis of Speculation across two Markets....Pages 197-212 A Simple Micro-Model of Market Dynamics....Pages 213-228 Herd Behavior in Artificial Stock Markets....Pages 229-238 Front Matter....Pages 239-239 Bargaining with Posterior Opportunities: An Evolutionary Social Simulation....Pages 241-255 Herding Behavior of Financial Analysts: A Model of Self-Organized Criticality....Pages 257-267 Give-and-Take in Minority Games....Pages 269-282 Coordination and Self-organization in Minority Games: Experimental Evidence....Pages 283-300 Front Matter....Pages 301-301 Coordination of Decisions in a Spatial Model of Brownian Agents....Pages 303-318 Coalition Formation with Boundedly Rational Agents....Pages 319-335 On the Creation of Networks and Knowledge....Pages 337-353 Front Matter....Pages 301-301 Impact of Corporate Boards Interlock on the Decision Making Dynamics....Pages 355-377 Interactions of Heterogeneous Agents in Stochastic Socio-economic Systems....Pages 379-393 Learning Strategies for Global Games with Delayed Payoffs....Pages 395-402 Back Matter....Pages 403-404 The economy is examined by the authors as a complex interactive system. The emphasis is on the direct interaction between agents rather than on the indirect and autonomous interaction through the market mechanism. Contributions from economists and physicists emphasise the consequences for aggregate behaviour of the interaction between agents with limited rationality. Models of financial markets which exhibit many of the stylised facts of empirical markets such as bubbles, herd behaviour and long memory are presented. This includes contributions on bargaining, buyer-seller relations, the evolution of economic networks and several aspects of macro-economic behaviour. This book will be of interest to all those interested in the foundations of collective social and economic behaviour and in particular, to those concerned with the dynamics of market behaviour and recent applications of physics to economics. This book deals with the economy as a complex interactive system. The emphasis is on the direct interaction between agents rather than on the indirect and autonomous interaction through the market mechanism. Contributions from economists and physicists emphasise the consequences for aggregate behaviour of the interaction between agents with limited rationality. Models of financial markets which exhibit many of the stylised facts of empirical markets such as bubbles, herd behaviour and long memory are presented. This includes contributions on bargaining, buyer-seller relations, the evolution of economic networks and several aspects of macro-economic behaviour. This book will be of interest to all those interested in the foundations of collective social and economic behaviour and in particular, to those concerned with the dynamics of market behaviour and recent applications of physics to economics