Does parameterization affect the complexity of agent-based models?

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F21%3A00547638" target="_blank" >RIV/67985556:_____/21:00547638 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/21:10433970
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0167268121004339" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0167268121004339</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jebo.2021.10.007" target="_blank" >10.1016/j.jebo.2021.10.007</a>

Result language
angličtina
Original language name
Does parameterization affect the complexity of agent-based models?
Original language description
We examine the complexity of financial returns generated by popular agent-based models through studying multifractal properties of such time series. Specifically, we are interested in the sensitivity of the models to their parameter settings and whether some patterns emerge in the connection between complexity and a specific type of parameter. We find that (i) herding behavior mostly boosts the model complexity as measured by multifractality, (ii) various in-built stabilizing factors increase model complexity, while (iii) the role of the intensity of choice, the number of agents, as well as the chartists’ representation have rather model-specific effects. Finally, the core feature driving the model complexity seems to be the implementation of a switching mechanism governing agents’ interactions. The heterogeneous set of nine analyzed models thus offers some universal concepts that hold across their range. Our results also indicate that complex dynamics are observed not only for the benchmark parameter settings but also for other combinations of parameter values for most models. This opens new avenues for future research and specifically motivates examining the models in more detail by focusing on other dynamic properties in addition to the herein presented multifractality.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory

Project
<a href="/en/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifractal analysis in finance: Extreme events, portfolio and risk management, and market complexity</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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