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2022-03-17
摘要翻译:
建立了一个基于Agent的企业动力学模型。该模型由特征参数相同的企业代理和银行代理组成。这些代理人的动态由他们的资产负债表描述。在市场中,每个企业都试图在可能存在风险的情况下最大化其期望利润。企业在“利润最大化”原则指导下的无限增长被“持续经营”的概念所抑制。通过引入信息对企业决策的滞后效应,引入了企业破产的可能性。通过垄断银行进行互动的企业在时间演化过程中变得异质化。根据实际经济中的观测结果,讨论了基于该模型的企业动态模拟所获得的统计特性。
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英文标题:
《Agent-Based Model Approach to Complex Phenomena in Real Economy》
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作者:
Hiroshi Iyetomi, Hideaki Aoyama, Yoshi Fujiwara, Yuichi Ikeda, Wataru
  Souma
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最新提交年份:
2009
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分类信息:

一级分类:Quantitative Finance        数量金融学
二级分类:General Finance        一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类:Physics        物理学
二级分类:Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述:Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件:数据处理与存储;测量方法;统计和数学方面,如参数化和不确定性。
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一级分类:Quantitative Finance        数量金融学
二级分类:Trading and Market Microstructure        交易与市场微观结构
分类描述:Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构,流动性,交易和拍卖设计,自动化交易,基于代理的建模和做市
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英文摘要:
  An agent-based model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize its expected profit with possible risks in market. Infinite growth of a firm directed by the "profit maximization" principle is suppressed by a concept of "going concern". Possibility of bankruptcy of firms is also introduced by incorporating a retardation effect of information on firms' decision. The firms, mutually interacting through the monopolistic bank, become heterogeneous in the course of temporal evolution. Statistical properties of firms' dynamics obtained by simulations based on the model are discussed in light of observations in the real economy.
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PDF链接:
https://arxiv.org/pdf/0901.1794
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