Does parameterization affect the complexity of agent-based models?

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/21:10433970

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Does parameterization affect the complexity of agent-based models?

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Does parameterization affect the complexity of agent-based models?

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifraktální analýza ve financích: Extrémní události, řízení rizika a portfolia, a komplexita trhů</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Economic Behavior & Organization

ISSN

0167-2681

e-ISSN

1879-1751

Svazek periodika

192

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

33

Strana od-do

324-356

Kód UT WoS článku

000719785700002

EID výsledku v databázi Scopus

2-s2.0-85118496051