Ebook: The Complex Dynamics of Economic Interaction: Essays in Economics and Econophysics

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.

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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.

 

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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.

 

Content:
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

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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.

 

Content:
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
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