Quantitative agent-based firm dynamics simulation with parameters estimated by financial and transaction data analysis

Yuichi Ikeda, Wataru Souma, Hideaki Aoyama, Hiroshi Iyetomi, Yoshi Fujiwara and Taisei Kaizoji ()

Physica A: Statistical Mechanics and its Applications, 2007, vol. 375, issue 2, 651-667

Abstract: Firm dynamics on a transaction network is considered from the standpoint of econophysics, agent-based simulations, and game theory. In this model, interacting firms rationally invest in a production facility to maximize net present value. We estimate parameters used in the model through empirical analysis of financial and transaction data. We propose two different methods (analytical method and regression method) to obtain an interaction matrix of firms. On a subset of a real transaction network, we simulate firm's revenue, cost, and fixed asset, which is the accumulated investment for the production facility. The simulation reproduces the quantitative behavior of past revenues and costs within a standard error when we use the interaction matrix estimated by the regression method, in which only transaction pairs are taken into account. Furthermore, the simulation qualitatively reproduces past data of fixed assets.

Keywords: Econophysics; Agent-based simulation; Game theory; Firm dynamics; Complex network (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:375:y:2007:i:2:p:651-667

DOI: 10.1016/j.physa.2006.10.005

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