In this paper we use a Dynamic Factor model to retrieve vulnerability indicators able to predict financial turmoil. A stochastic simulation experiment is then used to produce the corresponding probability forecasts regarding the currency crisis events a®ecting a number of East Asian countries...

We argue that two main ingredients in agent-based models (and in real speculative markets) which lead to realistic behavior of prices and trading volume are : heterogeneity (given the same source of information, market participants do not behave identically) and feedback (the individual demand...

A model of city formation and evolution is elaborated, based on a multi-agent model of endogenous firm formation. Agents have heterogeneous abilities, are boundedly rational, and interact directly with one another out of equilibrium in team production environments. Each agent works in a firm and...

This work aims at connecting developments in the theory of agency and implicit contracts with research on bounded rationality and agent based computational models. These are two related areas as implicit contracts are justified on the basis of bounded rationality, which additionally is one of...

The paper investigates how the interplay between business cycles and long-run growth shapes the dynamics of economies characterized by financial market imperfections. Most of standard economic literature has centered the analysis of decentralized economies on the representative agent hypothesis...

We propose an agent-based model to investigate the effects of policies against poverty – income support, workfare policies and active labor market programs within different economic and institutional setting

Within the context of an agent-based model, model selection by the economic agents is introduced and investigated. To achieve this, a specific agent, the “economic research instituteâ€, is set up and produces regular forecasts of the economy which are published to the economic agents....

Blume and Easly [1992] show that if agents have the same savings rule, an expected discounted logarithmic utility maximizer with correct beliefs will dominate. If no agent adopts this rule, then agents with incorrect beliefs, but equally averse to risk as logarithmic utility maximizers, may...

The stylised facts of financial data, such as fat tails, volatility clustering, and long memory, have been successfully described within the paradigm of interacting agent hypothesis. However, a common problem that characterizes the dynamics of agent-based models is the necessary fine tuning of...