Showing papers by "Blake LeBaron published in 2008"

Modeling Macroeconomies as Open-Ended Dynamic Systems of Interacting Agents

Abstract: uAll models are wrong, but some are useful. " ?G. E. P. Box (1979) Macroeconomists seek to understand the structure and performance of economies at a national or regional level and the manner in which government policymakers attempt to influence this structure and performance over time. Such understanding would seem to require a systematic exploration of the intricate feedback loops connecting micro behaviors, interaction patterns, and macro regularities as observed in real-world economies.

The impact of imitation on long memory in an order-driven market

Abstract: Recent research has documented that learning and evolution are capable of generating many well-known features in financial times series. We extend the results of LeBaron and Yamamoto (2007) to explore the impact of varying amounts of imitation and agent learning in a simple order-driven market. We show that in our framework, imitation is critical to the generation of long memory persistence in many financial time series. This shows that imitation across trader behavior is probably crucial for understanding the dynamics of prices and trading volume.

Introduction to the Special Issue on Agent-Based Models for Economic Policy Advice

Abstract: This special issue of the Journal of Economics and Statistics is devoted to the use of agent-based models for economic policy advice. It presents a collection of research papers in different fields of applications. Special emphasis is laid on discussing the potential and possible limitations of agent-based models for economic policy advice. The editorial provides an overview on the role of agent-based modeling in economic policy referring also to the papers presented. Furthermore, it highlights the strength of the approach, i.e., the explicit microfoundation and the modeling of heterogenous agents. Finally, we also report on current limitations of the method with regard to economic policy advice and point at some areas deserving further research.

The Future of Agent-Based Research in Economics: A Panel Discussion, Eastern Economic Association Annual Meetings, Boston, March 7, 2008

Abstract: Agent-based economics, and more generally agent-based social sciences, have been around in various forms for over 30 years. The advent of higher speed computing and new tools for the computational learning fields led to a major increase in activity in the early 1990s through today. Research activity continues to increase at the current time, but the field still remains somewhat of a "niche field" inside economics. Certain conferences and certain regions (such as Europe) are well populated with agent-based activity. However, at mainstream conferences inside the US one would have a hard time in finding agent-based researchers.

Wealth Evolution and Distorted Financial Forecasts

Abstract: Evolutionary metaphors have been prominent in both economics and nance. They are often used as basic foundations for rational behavior and ecient markets. Theoretically, a mechanism which selects for rational investors actually requires many caveats, and is far from generic. This paper tests wealth based evolution in a simple, stylized agent-based nancial market. The setup borrows extensively from

Modeling Macroeconomies As Open-Ended Dynamic Systems of Interacting Agents

Abstract: This study discusses the potential applicability of Agent-based Computational Economics (ACE) for macroeconomic modeling, with a particular stress on the following three issues: (1) taxonomy - what types of agents for macroeconomic models?; (2) scale robustness - how many agents for macroeconomic models?; and (3) empirical validation - connecting to data. Annotated pointers to ACE macroeconomic research can be accessed here: http://www2.econ.iastate.edu/tesfatsi/amulmark.htm