Complex systems modeling and simulation in economics and finance, 1st ed , shu heng chen, ying fang kao, ragupathy venkatachalam, ye rong du, 2018 402

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Springer Proceedings in Complexity Shu-Heng Chen · Ying-Fang Kao  Ragupathy Venkatachalam · Ye-Rong Du Editors Complex Systems Modeling and Simulation in Economics and Finance Springer Proceedings in Complexity Springer Complexity Springer Complexity is an interdisciplinary program publishing the best research and academic-level teaching on both fundamental and applied aspects of complex systems—cutting across all traditional disciplines of the natural and life sciences, engineering, economics, medicine, neuroscience, social, and computer science Complex Systems are systems that comprise many interacting parts with the ability to generate a new quality of macroscopic collective behavior the manifestations of which are the spontaneous formation of distinctive temporal, spatial, or functional structures Models of such systems can be successfully mapped onto quite diverse “real-life” situations like the climate, the coherent emission of light from lasers, chemical reaction-diffusion systems, biological cellular networks, the dynamics of stock markets and of the Internet, earthquake statistics and prediction, freeway traffic, the human brain, or the formation of opinions in social systems, to name just some of the popular applications Although their scope and methodologies overlap somewhat, one can distinguish the following main concepts and tools: self-organization, nonlinear dynamics, synergetics, turbulence, dynamical systems, catastrophes, instabilities, stochastic processes, chaos, graphs and networks, cellular automata, adaptive systems, genetic algorithms, and computational intelligence The three major book publication platforms of the Springer Complexity program are the monograph series “Understanding Complex Systems” focusing on the various applications of complexity, the “Springer Series in Synergetics”, which is devoted to the quantitative theoretical and methodological foundations, and the “SpringerBriefs in Complexity” which are concise and topical working reports, case-studies, surveys, essays, and lecture notes of relevance to the field In addition to the books in these two core series, the program also incorporates individual titles ranging from textbooks to major reference works More information about this series at http://www.springer.com/series/11637 Shu-Heng Chen • Ying-Fang Kao Ragupathy Venkatachalam • Ye-Rong Du Editors Complex Systems Modeling and Simulation in Economics and Finance 123 Editors Shu-Heng Chen AI-ECON Research Center, Department of Economics National Chengchi University Taipei, Taiwan Ying-Fang Kao AI-ECON Research Center, Department of Economics National Chengchi University Taipei, Taiwan Ragupathy Venkatachalam Institute of Management Studies Goldsmiths, University of London London, UK Ye-Rong Du Regional Development Research Center Taiwan Institute of Economic Research Taipei, Taiwan ISSN 2213-8684 ISSN 2213-8692 (electronic) Springer Proceedings in Complexity ISBN 978-3-319-99622-6 ISBN 978-3-319-99624-0 (eBook) https://doi.org/10.1007/978-3-319-99624-0 Library of Congress Control Number: 2018960945 © Springer Nature Switzerland AG 2018 This work is subject to copyright All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed The use of general descriptive names, registered names, trademarks, service marks, etc in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use The publisher, the authors, and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations This Springer imprint is published by the registered company Springer Nature Switzerland AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland Contents On Complex Economic Dynamics: Agent-Based Computational Modeling and Beyond Shu-Heng Chen, Ye-Rong Du, Ying-Fang Kao, Ragupathy Venkatachalam, and Tina Yu Part I Agent-Based Computational Economics Dark Pool Usage and Equity Market Volatility Yibing Xiong, Takashi Yamada, and Takao Terano Modelling Complex Financial Markets Using Real-Time Human–Agent Trading Experiments John Cartlidge and Dave Cliff Does High-Frequency Trading Matter? Chia-Hsuan Yeh and Chun-Yi Yang Modelling Price Discovery in an Agent Based Model for Agriculture in Luxembourg Sameer Rege, Tomás Navarrete Gutiérrez, Antonino Marvuglia, Enrico Benetto, and Didier Stilmant 17 35 71 91 Heterogeneity, Price Discovery and Inequality in an Agent-Based Scarf Economy 113 Shu-Heng Chen, Bin-Tzong Chie, Ying-Fang Kao, Wolfgang Magerl, and Ragupathy Venkatachalam Rational Versus Adaptive Expectations in an Agent-Based Model of a Barter Economy 141 Shyam Gouri Suresh Does Persistent Learning or Limited Information Matter in Forward Premium Puzzle? 161 Ya-Chi Lin v vi Contents Price Volatility on Investor’s Social Network 181 Yangrui Zhang and Honggang Li The Transition from Brownian Motion to Boom-and-Bust Dynamics in Financial and Economic Systems 193 Harbir Lamba Product Innovation and Macroeconomic Dynamics 205 Christophre Georges Part II New Methodologies and Technologies Measuring Market Integration: US Stock and REIT Markets 223 Douglas W Blackburn and N K Chidambaran Supercomputer Technologies in Social Sciences: Existing Experience and Future Perspectives 251 Valery L Makarov and Albert R Bakhtizin Is Risk Quantifiable? 275 Sami Al-Suwailem, Francisco A Doria, and Mahmoud Kamel Index 305 About the Editors Shu-Heng Chen is a Distinguished Professor in the Department of Economics, National Chengchi University (NCCU), Taipei, Taiwan He serves as the Director of the AI-ECON Research Center at NCCU as well as the editor-in-chief of the Journal of New Mathematics and Natural Computation (World Scientific) and Journal of Economic Interaction and Coordination (Springer), and the associate editor for Computational Economics (Springer) and Evolutionary and Institutional Economics Review (Springer) Prof Chen holds a Ph.D in Economics from the University of California at Los Angeles His research interests include computational intelligence, agent-based computational economics, behavioral and experimental economics, neuroeconomics, computational social sciences, and digital humanities He has more than 250 referred publications in international journals and edited book volumes He is the author of the book, Agent-Based Computational Economics: How the Ideas Originated and Where It Is Going (published by Routledge), and Agent-Based Modeling and Network Dynamics (published by Oxford, co-authored with Akira Namatame) Ying-Fang Kao is a computational social scientist and a research fellow at the AI-Econ Research Center, National Chengchi University, Taiwan She received her Ph.D in Economics from the University of Trento, Italy in 2013 Her research focuses on the algorithmic approaches to understanding decision-making in economics and social sciences Her research interests include Classical Behavioural Economics, Computable Economics, Agent-Based Modelling, and Artificial Intelligence Ragupathy Venkatachalam is a Lecturer in Economics at the Institute of Management Studies, Goldsmiths, University of London, UK He holds a Ph.D from the University of Trento, Italy Prior to this, he has held teaching and research positions at the Centre for Development Studies, Trivandrum (India) and AI-Econ Research Center, National Chengchi University, Taipei (Taiwan) His research areas include Computable Economics, Economic Dynamics, Agent-Based Computational Economics, and Methodology and History of Economic Thought vii viii About the Editors Ye-Rong Du is an Associate Research Fellow at the Regional Development Research Center, Taiwan Institute of Economic Research, Taiwan He received his Ph.D in Economics from the National Chengchi University, Taiwan in 2013 His research focuses on the psychological underpinnings of economic behavior His research interests include Behavioural Economics, Agent-Based Economics, and Neuroeconomics On Complex Economic Dynamics: Agent-Based Computational Modeling and Beyond Shu-Heng Chen, Ye-Rong Du, Ying-Fang Kao, Ragupathy Venkatachalam, and Tina Yu Abstract This chapter provides a selective overview of the recent progress in the study of complex adaptive systems A large part of the review is attributed to agentbased computational economics (ACE) In this chapter, we review the frontier of ACE in light of three issues that have long been grappled with, namely financial markets, market processes, and macroeconomics Regarding financial markets, we show how the research focus has shifted from trading strategies to trading institutions, and from human traders to robot traders; as to market processes, we empathetically point out the role of learning, information, and social networks in shaping market (trading) processes; finally, in relation to macroeconomics, we demonstrate how the competition among firms in innovation can affect the growth pattern A minor part of the review is attributed to the recent econometric computing, and methodology-related developments which are pertinent to the study of complex adaptive systems Keywords Financial markets · Complexity thinking · Agent-based computational economics · Trading institutions · Market processes This book is the post-conference publication for the 21st International Conference on Computing in Economics and Finance (CEF 2015) held on June 20–22, 2015 in Taipei Despite being the largest conference on computational economics for two decades, CEF has never produced any book volume that documents the pathbreaking and exciting developments made in any of its single annual events S.-H Chen ( ) · Y.-F Kao · T Yu AI-ECON Research Center, Department of Economics, National Chengchi University, Taipei, Taiwan Y.-R Du Regional Development Research Center, Taiwan Institute of Economic Research, Taipei, Taiwan R Venkatachalam Institute of Management Studies, Goldsmiths, University of London, London, UK © Springer Nature Switzerland AG 2018 S.-H Chen et al (eds.), Complex Systems Modeling and Simulation in Economics and Finance, Springer Proceedings in Complexity, https://doi.org/10.1007/978-3-319-99624-0_1 ... http://www.springer.com/series/11637 Shu-Heng Chen • Ying-Fang Kao Ragupathy Venkatachalam • Ye-Rong Du Editors Complex Systems Modeling and Simulation in Economics and Finance 123 Editors Shu-Heng Chen... Springer Nature Switzerland AG 2018 S.-H Chen et al (eds.), Complex Systems Modeling and Simulation in Economics and Finance, Springer Proceedings in Complexity, https://doi.org/10.1007/97 8-3 -3 1 9-9 962 4-0 _1... Springer Nature Switzerland AG 2018 S.-H Chen et al (eds.), Complex Systems Modeling and Simulation in Economics and Finance, Springer Proceedings in Complexity, https://doi.org/10.1007/97 8-3 -3 1 9-9 962 4-0 _2
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