Modeling Aggregate Behavior and Fluctuations in Economics

Stochastic Views of Interacting Agents

Masanao Aoki

264 pages, parution le 15/03/2002

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Résumé

This book analyzes how a large but finite number of agents interact, and what sorts of macroeconomic statistical regularities or patterns may evolve from these interactions. By keeping the number of agents finite, the book examines situations such as fluctuations about equilibria, multiple equilibria and asymmetrical cycles of models which are caused by model states stochastically moving from one basin of attraction to another. All of these are not tractable using traditional deterministic modeling approaches. The book also discusses how agents may form clusters with stationary distributions of cluster sizes. These have important applications in analyzing volatilities of asset returns.

Contents

Preface

1 Overviews 1
2 Setting Up Dynamic Models 9
3 The Master Equation 19
4 Introductory Simple and Simplified Models 27
5 Aggregate Dynamics and Fluctuations of Simple Models 41
6 Evaluating Alternatives 52
7 Solving Nonstationary Master Equations 66
8 Growth and Fluctuations 85
9 A New Look at the Diamond Search Model 127
10 Interaction Patterns and Cluster Size Distributions 141
11 Share Market with Two Dominant Groups of Traders 180

Appendix
References 245
Index

Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Masanao Aoki
Parution	15/03/2002
Nb. de pages	264
Format	16 x 23,5
Couverture	Relié
Poids	573g
Intérieur	Noir et Blanc
EAN13	9780521781268
ISBN13	978-0-521-78126-8