By Mikhail Anufriev, Valentyn Panchenko (auth.), Professor Charlotte Bruun (eds.)
Perceiving the economic climate as a posh dynamic method, generates a necessity for brand new instruments for its research. As a positive simulation approach, Agent-Based Computational Economics (ACE) has in recent times confirmed its energy and broad applicability. Fields of analysis are broadly unfold inside of economics, with a cluster round monetary markets. This ebook relies on communications given at AE’2006 (Aalborg, Denmark) – the second one symposium on synthetic Economics, and covers either trendy questions of economics, just like the life of industry potency, in addition to new questions raised by way of the recent instruments, for instance questions with regards to networks of social interplay.
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Extra resources for Advances in Artificial Economics: The Economy as a Complex Dynamic System
Excess volume — datapoints. have a substantially lower excess volume than the other two protocols under any of our variants of intelligent trading; regardless of these, the former two never exhibit more than 4% excess volume, while the latter two never go below 40%. Second, increasing trading intelligence tends to reduce excess volume, most notably in the continuous double auction, but does not eradicate the diﬀerences. We ﬁt a linear model to the data using a robust regression based on an M estimator; see Venables and Ripley (2002).
One way to mitigate this issue is to apply a procedure called Bootstrap Reality Check (BRC) proposed by White (2000). In this research, BRC is intended to decide whether or not the selected agents, at the end of our experimental procedure, have positively out-performed the benchmark or not, that is, if they have out-performed the market exploiting weak-form ineﬃciencies or if this result must be attributed to chance. Bootstrap Really Check (BRC) Procedure BRC consists of testing the following null hypothesis: “H0 : the best Strategic Agent does not outperform the B&H agent.
D Random−Walk 08−1996 : 04−2005 Fig. 3. Experimental design 52 Olivier Brandoy and Philippe Mathieu The simulations are based on real daily data from the Euronext Paris Stock Exchange between 1988 and 2005. The traded tracker perfectly replicates CAC40 index. Agents have access only to past values of this tracker and the information they receive at each time-step is the price of the tracker corresponding to the current iteration (no agent is “cheating” and none behaves like knowing what the “future” will be).