Artificial Economics and Self Organization: Agent-Based Approaches to Economics and Social Systems

258 Pages·2014·4.55 MB·English

by  Matteo Richiardi (auth.)

Lecture Notes in Economics and Mathematical Systems 669
Stephan Leitner
Friederike Wall Editors
Artificial
Economics
and Self
Organization
Agent-Based Approaches to Economics
and Social Systems
Lecture Notes in Economics
and Mathematical Systems 669
FoundingEditors:
M.Beckmann
H.P.Ku¨nzi
ManagingEditors:
Prof.Dr.G.Fandel
FachbereichWirtschaftswissenschaften
Fernuniversita¨tHagen
Hagen,Germany
Prof.Dr.W.Trockel
MuratSertelInstituteforAdvancedEconomicResearch
IstanbulBilgiUniversity
Istanbul,Turkey
and
Institutfu¨rMathematischeWirtschaftsforschung(IMW)
Universita¨tBielefeld
Bielefeld,Germany
EditorialBoard:
H.Dawid,D.Dimitrov,A.Gerber,C-J.Haake,C.Hofmann,T.Pfeiffer,
R.Slowin´ski,W.H.M.Zijm
Forfurthervolumes:
http://www.springer.com/series/300

Stephan Leitner (cid:129) Friederike Wall
Editors
Artificial Economics and Self
Organization
Agent-Based Approaches to Economics and
Social Systems
123
Editors
StephanLeitner
FriederikeWall
DepartmentforControllingandStrategic
Management
Alpen-Adria-Universita¨tKlagenfurt
Klagenfurt
Austria
ISSN0075-8442
ISBN978-3-319-00911-7 ISBN978-3-319-00912-4(eBook)
DOI10.1007/978-3-319-00912-4
SpringerChamHeidelbergNewYorkDordrechtLondon
LibraryofCongressControlNumber:2013946880
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Preface
Inthisyear,theArtificialEconomicsconferencereachesits9thanniversary,andthe
aimsandtopicsstillattractresearcherstocontributetothissymposium.Since2005,
the Artificial Economics conferences bring together researchers from computer
science and economics and encourages multi-disciplinary research in economics.
Moreover,itappearsthatthisconferenceseriesenfoldsthepotentialofdeveloping
agrowingcommunityinthisexitingfieldofresearch.
Two features might be regarded as the main building blocks of the Artificial
Economics:agent-basedmodelsandtheuseofcomputationaltechniquesto“solve”
them. In particular, artificial markets or social systems, artificial networks or
artificialorganizationsconsistingofinteracting,heterogeneousagentsaremodeled,
computationallyrepresentedandsimulated.Thebehavioroftheartificialsystem–
whateveritmightbe–is“observed”overtimeandanalyzedbytheresearcher.
A major topic of interest is whether certain regularities show up or certain
structures evolve on the macro level of the investigated systems. Hence, this
leads to the question of whether or not we can observe the evolution of self-
organizing behavior of the systems modeled. Self-organization turns out to have
two patterns:on the onehand,thereare self-regulatingprocesseswhich are based
on negativefeed-backand which stabilize givenstructures;on the other hand,via
positive feed-back self-augmenting processes destabilize structures and, by that,
mightleadtonew,innovativestructures.1Thecurrentvolumeoftheseries“Lecture
Notes in Economics and Mathematical Systems” collects the papers presented in
the 9th edition of the Artificial Economics, held in Klagenfurt am Wo¨rthersee
(Austria).Inparticular,thisvolumecontains18selectedpapers.Weareveryhappy
that, in addition, one of the keynote speakers, Klaus G. Troitzsch (Universita¨t
Koblenz-Landau), found the time summarize his keynote in a paper, which is
also included in this volume. The other invited keynote speakers are Andreas
Ernst(Universita¨tKassel)andGerhardFriedrich(Universita¨tKlagenfurt).Allthree
1Witt, Ulrich (1997) Self-organization and Economics – What is New? Structural Change and
EconomicDynamics8(4):489–507.doi:http://dx.doi.org/10.1016/S0954-349X(97)00022-2.
v
vi Preface
researchers extraordinarilycontributed to the developmentof agent-based models
ineconomicsandthesocialsciences,aswellastoitscomputationalfoundations.
This volume is divided into six parts. The first part addresses Methodological
Issues.MatteoRichiardibridgestheagent-basedmodelingapproach(ofnowadays)
with one of its antecedents, i.e. the dynamic microsimulation literature, and
elaborates the potential of the latter stream of research for the development in
the area of Artificial Economics. In the paper related to his keynote, Klaus G.
Troitzschshows–andremindsusof–theimportanceof(i)testingthesignificance
ofsimluationresults,and(ii)thinkingaboutthevariancesratherthanmeansofthe
results.
InthechapterdevotedtoMacroeconomics,firstHuguesBersiniandNicolasvan
Zeebroeckinvestigatethefreemarketefficiency/equalitytrade-offbycomparingtwo
marketmechanismsusinganagent-basedapproach.Theyfindthateventhoughthey
aremoreefficient,thecompetitive(i.e.,doubleauctionbased)mechanismstendto
increaseinequality.SusannaCalimaniandPaoloPellizzari modelsocieties where
taxevasivebehaviorofthetaxpayersoccurs,andanalyzetheefficiencyofdifferent
auditpolicies(ofthetaxagencies)whichdependonthetaxpayerscharacteristics.In
theirpaperAndreaTeglio,SilvanoCincotti,EinarJonErlingsson,MarcoRaberto,
HlynurStefansson,andJonThorSturlusondealwiththecurrenttopicofrealestate
bubbles (as for example observable in the U.S. and in Spain), and investigate the
interactionofthelevelofconcentrationoffinancialcapitalontheformationofreal
estatebubbles.
ThethirdpartofthisvolumecollectsfourpapersrelatedtoMarketDynamics.
Chih-HaoLin,Sai-PingLi,andK.Y.Szetoinvestigateaninvestmentstrategybased
on adaptive trading for anti-correlated pairs of stocks. Xintong Li, Chao Wang,
and Yongui Wang address the evolution of a decentralized market with network
externalities. Lucian Daniel Stanciu-Viziteu refines the differentiation between
different types of investors (like chartists and fundamentalists). This topic has a
remarkable tradition in agent-based models. Stanciu Viziteu distinguishes three
types of investorswhich have differentinformationand make differentuse of the
information. Wanting Xiong, Han Fu, and Yougui Wang analyze how fair offers
emerge in ultimatum games, and show that fairness considerations as well as
adaptivelearningareimportantintheemergenceoffairbehavior.
In the fourth section of this volume, those papers dealing with Financial
Marketsarecomprised.OlivierBrandouyandPhilippeMathieuuseanagentbased
model of an artificial stock market in order to analyze the validity of the Volume
SynchronizedProbabilityofInformedTrading(VPIN)asameasureforthepotential
flowtoxicityinhighfrequencymarkets,andtheviciouscyclethatmightevolvefrom
lessinformedmarketmakersreactingtoflowtoxicity.A.Barazzetti,F.Cecconi,and
R.Mastronardiintroduceapredictivemachinelearningapproachbasedonfinancial
news articles available in the Worldwide Web for event forecasting and trading
decisions. In their paper Michael Roos and Anna Klabunde introduce findings
on the role of trust of angel investors into startup entrepreneurs using an agent-
basedsimulation.Interalia, theyfindthatneitherveryhighnorverylowlevelsof
trustseemtobeoptimalfromtheinvestors’perspective.MitjaSteinbacher,Matjaz
Preface vii
Steinbacher,andMatejSteinbacheraddressaverycurrenttopic.Theyanalyzethe
contagionpotentialandstabilityofbankingsystemonarandomizedversionofthe
creditcontagionmodelbyexamininganartificialfinancialsystem.
The fifth part of this volume investigates with artificial Organizations. Doris
A.Behrens,SilviaBerlinger,andFriederikeWallemployanagent-basedapproach
in orderto analyze howwell-knownhumandecision-makingbiases (e.g.,framing
effects or the recency effect) in interaction with each other influence overall
organizationalperformance.Utilizingagent-basedsimulation,StephanLeitnerand
Doris A. Behrens challenge a well-known economic mechanism for inducing
optimalinvestmentdecisions,i.e.,thecompetitivehurdleratemechanism,bytesting
its robustness in situations where forecasting errors occur. Marco LiCalzi and
DavideMarchiorishednewlightonan“old”but,nonetheless,up-to-datetopic:the
explorationversusexploitationtrade-off.Inparticular,theyrevisiterecentfindings
onthemulti-armedbanditprobleminanenvironmentswithhighturbulence.
The final section is comprised of three papers related to Networks. Fernando
Beltra´nandFarhaanMirza addressthe uptakeoffibre connectionsto households
and businesses. They model a high-speed, open access broadband network and
investigatemutualnetworkeffectsevolvingfromtheinteractionofbothend-users
and service providers. The contribution of Sjoukje A. Osinga, Mark R. Kramer,
Gert Jan Hofstede and Adrie J. M. Beulens is a twofold one: On the one hand,
the authors investigate the effect of the loss of (market-related) information in
a network; on the other hand, the paper provides methodological findings, as it
explicitlydealswiththeadvancementofanexistingmodel.Basedonmathematical
analysisaswellasagent-basedsimulationsRyotaZamami,HiroshiSato,andAkira
Namatameproposeamodelfordesigningnetworkstructures.Inparticular,theyaim
atdesigningnetworkstructureswhicharerobustagainstsystemicrisks.
KlagenfurtamWo¨rthersee,Austria StephanLeitner
May2013 FriederikeWall

Acknowledgements
Wewouldliketothankthefollowingpersonswhogenerouslydonatedtheirtimeas
reviewersandhelpedinvariousstagesoftheproductionofthisvolume:
(cid:129) SimoneALFARANO–UniversidadJaumeIdeCastell o´n,Spain
(cid:129) Fr e´de´ricAMBLARD–Universite´deToulouse1,France
(cid:129) BrunoBEAUFILS–LIFL,Universit e´Lille1,France
(cid:129) DorisA.BEHRENS–Alpen-Adria-Universit a¨tKlagenfurt,Austria
(cid:129) OlivierBRANDOUY–UniversityofParis1,France
(cid:129) DmitriBL U¨SCHKE–Alpen-Adria-Universita¨tKlagenfurt,Austria
(cid:129) CharlotteBRUUN–AalborgUniversity,Denmark
(cid:129) AndreaCONSIGLIO–Universit a`degliStudidiPalermo,Italy
(cid:129) GiorgioFAGIOLO–ScuolaSuperioreSant’Anna,Italy
(cid:129) Jos e´ ManuelGALA´N–UniversidaddeBurgos,Spain
(cid:129) LynneHAMILL–UniversityofSurrey,UnitedKingdom
(cid:129) FlorianHAUSER–Universit a¨tInnsbruck,Austria
(cid:129) Ces a´reoHERNA´NDEZ–UniversidaddeValladolid,Spain
(cid:129) J¨urgenHUBER–Universita¨tInnsbruck,Austria
(cid:129) JeanDanielKANT–UniversityofParis6,France
(cid:129) MarcoLICALZI–Universit a`“Ca’Foscari”diVenecia,Italy
(cid:129) PhilippeMATHIEU–LIFL,Universit e´Lille1,France
(cid:129) MishaelMILAKOVIC–UniversityofBamberg,Germany
(cid:129) SjoukjeOSINGA–WageningenUniversity,TheNetherlands
(cid:129) JuanPAV O´N–UniversidadComplutensedeMadrid,Spain
(cid:129) PaoloPELLIZZARI–Universit a`“Ca’Foscari”diVenecia,Italy
(cid:129) MartaPOSADA–UniversidaddeValladolid,Spain
(cid:129) MarcoRABERTO–Universit a`diGenova,Italy
(cid:129) EnricoSCALAS–Universit a`delPiemonteOrientale,Italy
(cid:129) KlausSCHREDELSEKER–Universit a¨tInnsbruck,Austria
(cid:129) AndreaTEGLIO–UniversidadJaumeIdeCastell o´n,Spain
(cid:129) ElpidaTZAFESTAS–UniversityofAthens,Greece
(cid:129) TimVERWAART–WageningenUniversity,TheNetherlands
(cid:129) MuratYILDIZOGLU–Univ.MontesquieuBordeauxIV,France
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