This paper describes an agent-based model of exchange and uses it to illustrate the modelling framework offered by John Holland in his book on emergence and to propagate a hypothesis about the relationship between levels of exchange and the diversity of shadow prices. On both counts, the model...

Most intertemporal studies of risk are based on the constant relative risk aversion utility function. This has the property that the intertemporal elasticity of substitution and the coefficient of relative risk aversion are both consstant and inverses of each other. With the diversity of...

This paper employs a stochastic endogenous growth model with productive government expenditure to analyze the macroeconomic effects of income taxation. We demonstrate that in the presence of capital and income risk the impact of taxation on consumption choice as well as on economic growth is...

Generalized Lotka-Volterra (GLV) models extending the (70 year old) logistic equation to stochastic systems consisting of a multitude of competing auto-catalytic components lead to power distribution laws of the (100 year old) Pareto-Zipf type. In particular, when applied to economic systems,...

This paper presents a large-scale application of multi-agent, evolutionary modelling to the proposed new electricity trading arrangements (NETA) in the UK. This is a detailed, plant-by-plant model with an active specification of the demand side of the market. NETA involves a bilateral forwards...

In his monograph The Conquest of American Inflation, Sargent (1999) points out the perils of econometric policy evaluation of the Theil-Tinbergen tradition wherein one estimates a reduced form econometric model of the economy and subjects it to control. If the model is misspecified, as is...

The work studies the properties of a coordination game in which agents repeatedly compete to be in the population minority. The game reflects some essential features of those economic situations in which positive rewards are assigned to individuals who behave in opposition to the modal behavior...

On last yearÌs conference in Barcelona the authors presented an innovative expectation formation hypothesis. The assumption of fully rational agents is rejected and replaced by a bounded rationality approach that is modelled by means of a fuzzy rule-base. These rules as well as their components...

Since the beginning of this century, the normal distribution has played a central role in the mathematical finance literature. However, major drawbacks insight this assumption rely in the absence of closed form expressions for both its cumulative and probability density functions. Additionally,...

The LLS stock market model (for a review see the book in Academic Press 2000: "Microscopic Simulation of Financial Markets; From Investor Behavior to Market Phenomena" by Levy, Levy and Solomon, ISBN: 0124458904) is a model of heterogeneous quasi-rational investors operating in a complex...