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Does parameterization affect the complexity of agent-based models?
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SYSNO ASEP 0547638 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Does parameterization affect the complexity of agent-based models? Author(s) Kukačka, Jiří (UTIA-B) RID, ORCID
Krištoufek, Ladislav (UTIA-B) RID, ORCIDNumber of authors 2 Source Title Journal of Economic Behavior & Organization. - : Elsevier - ISSN 0167-2681
Roč. 192, č. 1 (2021), s. 324-356Number of pages 33 s. Publication form Print - P Language eng - English Country NL - Netherlands Keywords financial agent-based models ; parameterization ; complex systems ; multifractal sensitivity analysis Subject RIV AH - Economics OECD category Economic Theory R&D Projects GJ17-12386Y GA ČR - Czech Science Foundation (CSF) Method of publishing Limited access Institutional support UTIA-B - RVO:67985556 UT WOS 000719785700002 EID SCOPUS 85118496051 DOI 10.1016/j.jebo.2021.10.007 Annotation We examine the complexity of financial returns generated by popular agent-based models through studying multifractal properties of such time series. Specifically, we are interested in the sensitivity of the models to their parameter settings and whether some patterns emerge in the connection between complexity and a specific type of parameter. We find that (i) herding behavior mostly boosts the model complexity as measured by multifractality, (ii) various in-built stabilizing factors increase model complexity, while (iii) the role of the intensity of choice, the number of agents, as well as the chartists’ representation have rather model-specific effects. Finally, the core feature driving the model complexity seems to be the implementation of a switching mechanism governing agents’ interactions. The heterogeneous set of nine analyzed models thus offers some universal concepts that hold across their range. Our results also indicate that complex dynamics are observed not only for the benchmark parameter settings but also for other combinations of parameter values for most models. This opens new avenues for future research and specifically motivates examining the models in more detail by focusing on other dynamic properties in addition to the herein presented multifractality. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2022 Electronic address https://www.sciencedirect.com/science/article/pii/S0167268121004339
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