Journal of Economic Interaction and Coordination最新文献

The idiosyncratic and systemic components of market structure have been shown to be responsible for the departure of the optimal mean-variance allocation from the heuristic ‘equally weighted’ portfolio. In this paper, we exploit clustering techniques derived from Random Matrix Theory to study a third, intermediate (mesoscopic) market structure that turns out to be the most stable over time and provides important practical insights from a portfolio management perspective. First, we illustrate the benefits, in terms of predicted and realized risk profiles, of constructing portfolios by filtering out both random and systemic co-movements from the correlation matrix. Second, we redefine the portfolio optimization problem in terms of stock clusters that emerge after filtering. Finally, we propose a new wealth allocation scheme that attaches equal importance to stocks belonging to the same community and show that it further increases the reliability of the constructed portfolios. Results are robust across different time spans, cross sectional dimensions and set of constraints defining the optimization problem.

This paper introduces the special issue on two editions of the Workshop on Economic Science with HeterogeneousInteracting Agents, 24.5th Milan, 2021 (wehia 2021) and 25th Catania, 2022 (wehia 2022).

State-of-the-art macroeconomic agent-based models (ABMs) include an increasing level of detail in the energy sector. However, the possible financing mechanisms of renewable energy are rarely considered. In this study, an investment model for power plants is conceptualized, in which energy investors interact in an imperfect and decentralized market network for credits, deposits and project equity. Agents engage in new power plant investments either through a special purpose vehicle in a project finance (PF) structure or via standard corporate finance (CF). The model portrays the growth of new power generation capacity, taking into account technological differences and investment risks associated with the power market. Different scenarios are contrasted to investigate the influence of PF investments on the transition. Further, the effectiveness of a simple green credit easing (GCE) mechanism is discussed. The results show that varying the composition of the PF and CF strategies significantly influences the transition speed. GCE can recover the pace of the transition, even under drastic reductions in PF. The model serves as a foundational framework for more in-depth policy analysis within larger agent-based integrated assessment models.

In this paper, we investigate the relationship between individual rationality and price informative efficiency studying a prediction market model where agents repeatedly bet on the occurrence of a binary event following their subjective beliefs. We define individual rationality in terms of the amount of past observations used to update beliefs. In this way, a wide spectrum of rationality levels emerges, ranging from zero-intelligence to Bayesian learning. We show that the relationship between individual rationality and price informative efficiency is nonlinear and U-shaped. We argue that the results emerge from the particular interaction of two evolutionary forces operating at different levels: the market selection mechanism that moves wealth toward more accurate agents and the individual learning process that moves posterior probabilities over models depending on observed realizations.

The present work aims to study the problem of individual voluntary anonymous contributions to the financing of public goods in a dynamic setting. To do this, the article departs from a textbook model à la Naimzada and Tramontana (2010) augmented with public goods. The article studies how bounded rationality and dependence on agents’ past decisions combine with the problem of voluntary contributions. This favours the emergence of nonlinear dynamics in individual behaviour as well as in the aggregate contribution to the financing of a public good project. The Nash equilibrium can be destabilised through a flip bifurcation when the agent reactivity increases. In addition, some Neimark–Sacker bifurcations can also occur although not around the steady-state equilibrium. A sufficiently high agent reactivity level can also lead to chaotic dynamics with possible multiple attractors. When the chaotic regime prevails, synchronisation phenomena in agent behaviour may occur but are rare. Thus, usually, even if agents are homogeneous, they behave as if they were heterogeneous by making non-synchronised decisions. The work also explicitly deepens the case of a heterogeneous economy in terms of both consumer preferences and income.

Models for spin systems known from statistical physics are used in econophysics to describe economic problems, e.g., in the form of agent-based models. Econophysics research, as this strand is called, is increasingly developing general market models that describe exchange phenomena and use the chemical potential (mu) known from physics in the context of particle number changes. In statistical physics, equations of state are known for the chemical potential, which take into account the respective model framework and the corresponding state variables. A simple transfer of these equations of state to problems in econophysics appears difficult. To the best of our knowledge, the equation of state for the chemical potential is currently missing even for the simplest conceivable model of an ideal agent system. In this paper, this research gap is closed and the equation of state for the chemical potential is derived from the econophysical model assumptions of the ideal agent system. An interpretation of the equation of state leads to fundamental relationships that could also have been guessed, but are shown here by the theory.

This paper incorporates endogenously emerging beliefs and social influence into a stylized Islands model characterized by uncertainty, strategic complementarity, and frictional coordination. Individuals in the model hold pessimistic, neutral, or optimistic beliefs, which can change over time due to economic outcomes and social influence. The study aims to assess how social influence affects agents’ coordination, economic stability, and welfare. We show that rational expectations are unstable in the absence of social influence. Agents coordinate over time on a pessimistic and highly inefficient stationary state in which output and welfare are below the rational expectations equilibrium. As the importance of social influence grows, the steady state becomes even more pessimistic. As it crosses a certain threshold, additional equilibria emerge. As a result, the economy may converge to the rational expectations steady state, in which welfare is highest, or to a much more optimistic equilibrium, which is not necessarily more efficient. Finally, we show that by reducing higher-order uncertainty, social influence can act as a coordination device with positive effects on welfare.

In this paper, we present a first modelization of Allen’s argument on the British industrial revolution with a history-friendly model heuristic. To do so, we use a macroeconomic micro-founded framework with heterogeneous agents—households, firms, and institutions—interacting through a decentralized matching process presenting standard features across five markets—labor, food, goods, services, and government bonds. We study the dynamics of the model using computer simulation. With the appropriate calibration, macroeconomic properties emerge such as endogenous business cycles and nominal GDP growth, while reproducing important stylized economic facts like the industrial revolution and Engel’s Pause.

We examine the dependence of the cyclical fluctuations of demand on specific behavioral attitudes of heterogeneous agents. Starting from a modified version of the model of Tassier (Complexity 9(5):51-61, 2004), we use simulations to explore consumption dynamics and market shares when agents are inclined both to conformism and distinction, two necessary conditions for fashion in Simmel (Am j Sociol 62(6): 541–558, 1957). Our results challenge the view stating that conspicuous consumption is typical only of a wealthy class and of some positional goods, since we make no assumptions about features of the goods or income distribution.

This study examines the impact of public disclosure of tax information on tax compliance using simulation experiments utilizing agent-based modeling. We investigate two scenarios: (i) partial disclosure, in which tax returns and audit results are made public without taxpayer identities, and (ii) full disclosure, in which this information is publicized with taxpayer identities. Our simulation results reveal that in the partial disclosure scenario, the effect on tax compliance is contingent upon the social state of individual moral values regarding tax payment. Specifically, partial disclosure has a positive impact on tax compliance when taxpayers exhibit a relatively strong moral consciousness and a negative impact when their moral consciousness is weak. In the full disclosure scenario, when the moral consciousness of the population is sufficiently weak, the average reported income decreases despite the positive effect of the naming-and-shaming policy on tax compliance.