By Philippe Mathieu, Bruno Beaufils, Olivier Brandouy
Agent-based Computational Economics (ACE) is a brand new self-discipline of economics, principally grounded on techniques like evolution, auto-organisation and emergence: it intensively makes use of laptop simulations in addition to synthetic intelligence, typically in accordance with multi-agents platforms. the aim of this e-book is to provide an up-to date view of the clinical construction within the fields of Agent-based Computational Economics (mainly in marketplace Finance and video game Theory). in accordance with communications given at AE'2005 (Lille, USTL, France), this publication deals a large landscape of modern advances in ACE (both theoretical and methodological) that would curiosity teachers in addition to practitioners.
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Additional resources for Artificial Economics: Agent-Based Methods in Finance, Game Theory and Their Applications
3. W. H. Holland, B. G. Palmer, and P. Tayler. Asset pricing under endogeneous expectations in an artificial stock market. In D. W. N. Durlauf, editors. The Economy as an Evolving Complex System II, pages 15-44, 1997. 4. N. Ehrentreich. A corrected version of the santa fe institute artificial stock market model. Working Paper, Martin Luther Universitat, Dept of Banking and Finance, HalleWittenberg (Germany), September 2003. 5. S. Focardi, S. Cincotti, and M. Marchesi. Self-organization and market crashes.
As a consequence, it appears necessary to gather interdisciplinary projects that would house within the same team the psychologists that run experiments on people's behaviour, computer scientists that canonise this behaviour into artificial agents, practitioners that relate those experiments to real markets and economists that assess the consequences in terms of policy making. Acknowledgements We would like to thank the participants of our experiments for their time and commitment, together with the participants of the Seminar on (Un)Realistic Simulations of Financial Markets at ISI Foundation, Turin, Italy, on April 1-5 2005, for their enlightening comments, from which this paper largely benefitted.
E. Stanley. Statistical properties of the volatility of price fluctuations. Physical Review E, 60:1390-1400, 1999. 13. H. Levy, M. Levy, and S. Solomon. Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena. Berkeley, CA: Academic Press, 2000. 14. T. Lux and M. Marchesi. Scaling and criticality in a stochastic multi-agent model of a financial market. Nature, 397:498-500, 1999. 15. L. Muchnik and S. Solomon. Statistical mechanics of conventional traders may lead to non-conventional market behavior.