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تسجيل مستخدم جديدMicroeconomic Structure determines Macroeconomic Dynamics. Aoki defeats the Representative Agent
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Masanao Aoki developed a new methodology for a basic problem of economics: deducing rigorously the macroeconomic dynamics as emerging from the interactions of many individual agents. This includes deduction of the fractal / intermittent fluctuations of macroeconomic quantities from the granularity of the mezo-economic collective objects (large individual wealth, highly productive geographical locations, emergent technologies, emergent economic sectors) in which the micro-economic agents self-organize. In particular, we present some theoretical predictions, which also met extensive validation from empirical data in a wide range of systems: - The fractal Levy exponent of the stock market index fluctuations equals the Pareto exponent of the investors wealth distribution. The origin of the macroeconomic dynamics is therefore found in the granularity induced by the wealth / capital of the wealthiest investors. - Economic cycles consist of a Schumpeter creative destruction pattern whereby the maxima are cusp-shaped while the minima are smooth. In between the cusps, the cycle consists of the sum of 2 crossing exponentials: one decaying and the other increasing. This unification within the same theoretical framework of short term market fluctuations and long term economic cycles offers the perspective of a genuine conceptual synthesis between micro- and macroeconomics. Joining another giant of contemporary science - Phil Anderson - Aoki emphasized the role of rare, large fluctuations in the emergence of macroeconomic phenomena out of microscopic interactions and in particular their non self-averaging, in the language of statistical physics. In this light, we present a simple stochastic multi-sector growth model.
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Micha{l} Chorowski
, Ryszard Kutner College of Inter Facultyn Individual Studies in Mathematics
, Natural Sciences University of Warsaw
2020
Modern technology and innovations are becoming more crucial than ever for the survival of companies in the market. Therefore, it is significant both from theoretical and practical points of view to understand how governments can influence technology
growth and innovation diffusion (TGID) processes. We propose a simple but essential extension of Ausloos-Clippe-Pc{e}kalski and related Cichy numerical models of the TGID in the market. Both models are inspired by the nonlinear non-equilibrium statistical physics. Our extension involves a parameter describing the probability of government intervention in the TGID process in the company market. We show, using Monte Carlo simulations, the effects interventionism can have on the companies market, depending on the segment of firms that are supported. The high intervention probability can result, paradoxically, in the destabilization of the market development. It lowers the markets technology level in the long-time limit compared to markets with a lower intervention parameter. We found that the intervention in the technologically weak and strong segments of the company market does not substantially influence the market dynamics, compared to the intervention helping the middle-level companies. However, this is still a simple model which can be extended further and made more realistic by including other factors. Namely, the cost and risk of innovation or limited government resources and capabilities to support companies.
We discuss superstatistics theory of labour productivity. Productivity distribution across workers, firms and industrial sectors are studied empirically and found to obey power-distributions, in sharp contrast to the equilibrium theories of mainstrea
m economics. The Pareto index is found to decrease with the level of aggregation, {it i.e.}, from workers to firms and to industrial sectors. In order to explain these phenomenological laws, we propose a superstatistics framework, where the role of the fluctuating temperature is played by the fluctuating demand.
We present an overview of some representative Agent-Based Models in Economics. We discuss why and how agent-based models represent an important step in order to explain the dynamics and the statistical properties of financial markets beyond the Class
ical Theory of Economics. We perform a schematic analysis of several models with respect to some specific key categories such as agents strategies, price evolution, number of agents, etc. In the conclusive part of this review we address some open questions and future perspectives and highlight the conceptual importance of some usually neglected topics, such as non-stationarity and the self-organization of financial markets.
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e is modeled by an interaction term, and bankruptcy is defined as a capital deficit. Model parameters were estimated using financial data for 1,077 listed Japanese firms. Simulations of chain bankruptcy on the real transaction network consisting of those 1,077 firms were made with the estimated model parameters. Given an initial bankrupt firm, a list of chain bankrupt firms was obtained. This model can be used to detect high-risk links in a transaction network, for the management of chain bankruptcy.
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own resource level a
nd a couple of macroscopic parameters that emerge naturally from the analysis, akin to mean-field parameters in statistical mechanics. When resources are scarce prices rise sharply below a turning point that marks the disappearance of excess producers. To compare the model with real empirical data, we study the relations between commodity prices and stock-to-use ratios of a range of commodities such as agricultural products and metals. By introducing an elasticity parameter to mitigate noise and long-term changes in commodities data, we confirm the trend of rising prices, provide evidence for turning points, and indicate yield points for less essential commodities.
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