Robust Mathematical Formulation of Agent-Based Computational Economic Market Models
Emma Pabich and
Papers from arXiv.org
In science and especially in the economic literature, agent-based modeling has become a widely used modeling approach. These models are often formulated as a large system of difference equations. In this study, we discuss two aspects of numerical modeling for two agent-based computational economic market models: the Levy-Levy-Solomon model and the Franke-Westerhoff model. We derive time-continuous formulations of both models and, for the Levy-Levy-Solomon model, we discuss the impact of the time-scaling on the model behavior. For the Franke-Westerhoff model, we proof that a constraint required in the original model is not necessary for stability of the time-continuous model. It is shown that a semi-implicit discretization of the time-continuous system preserves this unconditional stability. In addition, this semi-implicit discretization can be computed at cost comparable to the original model.
New Economics Papers: this item is included in nep-cmp and nep-hme
Date: 2019-04, Revised 2019-11
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1904.04951
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