Uncertainty, rationality and complexity in a multi sectoral dynamic model: the Dynamic Stochastic Generalized Aggregation approach

Michele Catalano and Corrado Di Guilmi

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: The paper proposes an innovative approach for the analytical solution of agent-based models. The approach is termed Dynamic Stochastic Generalized Aggregation (DSG-A) and is tested on a macroeconomic model articulated in a job and in a goods markets with a large number of heterogeneous and interacting agents (namely firms and workers). The agents heuristically adapt their expectations by interpreting the signals from the market and give rise to macroeconomic regularities. The model is analytically solved in two different scenarios. In the first, the emergent proper- ties of the system are determined uniquely by the myopic behavior of the agents while, in the second, a social planner quantifies the optimal number of agents adopting a particular strategy. The integration of the DSG-A approach with intertemporal optimal control allows the identification of multiple equilibria and their qualitative classification.

Keywords: aggregation; uncertainty; opinion dynamics; master equation; optimal control (search for similar items in EconPapers)
JEL-codes: C61 E03 E32 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2016-04
New Economics Papers: this item is included in nep-mac, nep-ore and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://cama.crawford.anu.edu.au/sites/default/fil ... talano_di_guilmi.pdf (application/pdf)

Related works:
Journal Article: Uncertainty, rationality and complexity in a multi-sectoral dynamic model: The dynamic stochastic generalized aggregation approach (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2016-16

Access Statistics for this paper

More papers in CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Contact information at EDIRC.
Bibliographic data for series maintained by Cama Admin ().