G. Tedeschi, M. Gallegati, R. Grilli
Summary: In this paper we investigate the sources of instability in credit and financial systems and the effect of credit linkages on the macroeconomic activity. By developing an agent-based model, we analyze the evolving dynamics of the economy as a complex, adaptive and interactive system, which allows us to explain some key events that occurred during the recent economic […]
Categories: Articles, Publications
A. Kirman, C. H. Hommes, D. Sornette, G. Caldarelli, P. Treleaven, S. Battiston, S. Cincotti
Summary: This paper describes the vision of a European Exploratory for economics and finance using an interdisciplinary consortium of economists, natural scientists, computer scientists and engineers, who will combine their expertise to address the enormous challenges of the 21st century. This Academic Public facility is intended for economic modelling, investigating all aspects of risk and stability, […]
Categories: Articles
P. Klimek, R. Hausmann, S. Thurner
Summary: We show that world trade network datasets contain empirical evidence that the dynamics of innovation in the world economy indeed follows the concept of creative destruction, as proposed by J.A. Schumpeter more than half a century ago. National economies can be viewed as complex, evolving systems, driven by a stream of appearance and disappearance of […]
Categories: Articles
G. Tedeschi, S. Lenzu
Summary: In this paper we develop an interbank market with heterogeneous financial institutions that enter into lending agreements on different network structures. Credit relationships (links) evolve endogenously via a fitness mechanism based on agents’ performance. By changing the agent’s trust on its neighbor’s performance, interbank linkages self-organize themselves into very different network architectures, ranging from random […]
Categories: Articles
C. H. Hommes, M. Anufriev, R.H.S Philipse
Summary: An economic environment is a feedback system, where the dynamics of aggregate variables depend on individual expectations and vice versa. The type of feedback mechanism is crucial for the aggregate outcome. Experiments with human subjects (Heemeijer et al., J Econ Dyn Control 33:1052–1072,2009) have shown that price converges to the fundamental level in a negative […]
Categories: Articles
C. H. Hommes, M. Anufriev
Summary: In recent “learning to forecast” experiments (Hommes et al. 2005), three different patterns in aggregate price behavior have been observed: slow monotonic convergence, permanent oscillations, and dampened fluctuations. We show that a simple model of individual learning can explain these different aggregate outcomes within the same experimental setting. The key idea is evolutionary selection among […]
Categories: Articles
L. Gulyás, R. O. Legéndi, Y. Mansury
Summary: This paper examines model replication in the context of agent-based simulation through two case studies. Replication of a computational model and validation of its results is an essential tool for scientific researchers, but it is rarely used by modelers. In our work we address the question of validating and verifying simulations in general, and summarize […]
Categories: Articles
S. Poledna, S. Thurner
Summary: Nodes in a financial network, such as banks, cannot assess the true risks associated with lending to other nodes in the network, unless they have full information on the riskiness of all other nodes. These risks can be estimated by using network metrics (as DebtRank) of the interbank liability network. With a simple agent based […]
Categories: Articles
A. Kirman, A. Sanchez, D. Helbing, J. D. Farmer, M. Gallegati, P. Ormerod, S. Cincotti
Summary: We outline a vision for an ambitious program to understand the economy and financial markets as a complex evolving system of coupled networks of interacting agents. This is a completely different vision from that currently used in most economic models. This view implies new challenges and opportunities for policy and managing economic crises. The dynamics […]
Keywords: complex systems, financial markets
Categories: Articles