Dataset Information

Information of Complex Systems and Applications in Agent Based Modeling.

ABSTRACT: Information about a system's internal interactions is important to modeling the system's dynamics. This study examines the finer categories of the information definition and explores the features of a type of local information that describes the internal interactions of a system. Based on the results, a dual-space agent and information modeling framework (AIM) is developed by explicitly distinguishing an information space from the material space. The two spaces can evolve both independently and interactively. The dual-space framework can provide new analytic methods for agent based models (ABMs). Three examples are presented including money distribution, individual's economic evolution, and artificial stock market. The results are analyzed in the dual-space, which more clearly shows the interactions and evolutions within and between the information and material spaces. The outcomes demonstrate the wide-ranging applicability of using the dual-space AIMs to model and analyze a broad range of interactive and intelligent systems.

SUBMITTER: Bao L

PROVIDER: S-EPMC5906584 | biostudies-literature | 2018 Apr

REPOSITORIES: biostudies-literature

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Information of Complex Systems and Applications in Agent Based Modeling.

Bao Lei L Fritchman Joseph C JC

Scientific reports 20180418 1

Information about a system's internal interactions is important to modeling the system's dynamics. This study examines the finer categories of the information definition and explores the features of a type of local information that describes the internal interactions of a system. Based on the results, a dual-space agent and information modeling framework (AIM) is developed by explicitly distinguishing an information space from the material space. The two spaces can evolve both independently and ...[more]

PMID: 29670195

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Project description:BackgroundFor complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However, the microscopic origination of the leverage and anti-leverage effects is still not understood, and how to produce these effects in agent-based modeling remains open. On the other hand, in constructing microscopic models, it is a promising conception to determine model parameters from empirical data rather than from statistical fitting of the results.MethodsTo study the microscopic origination of the return-volatility correlation in financial systems, we take into account the individual and collective behaviors of investors in real markets, and construct an agent-based model. The agents are linked with each other and trade in groups, and particularly, two novel microscopic mechanisms, i.e., investors' asymmetric trading and herding in bull and bear markets, are introduced. Further, we propose effective methods to determine the key parameters in our model from historical market data.ResultsWith the model parameters determined for six representative stock-market indices in the world, respectively, we obtain the corresponding leverage or anti-leverage effect from the simulation, and the effect is in agreement with the empirical one on amplitude and duration. At the same time, our model produces other features of the real markets, such as the fat-tail distribution of returns and the long-term correlation of volatilities.ConclusionsWe reveal that for the leverage and anti-leverage effects, both the investors' asymmetric trading and herding are essential generation mechanisms. Among the six markets, however, the investors' trading is approximately symmetric for the five markets which exhibit the leverage effect, thus contributing very little. These two microscopic mechanisms and the methods for the determination of the key parameters can be applied to other complex systems with similar asymmetries.

Dataset Information

Information of Complex Systems and Applications in Agent Based Modeling.

Publications

Information of Complex Systems and Applications in Agent Based Modeling.

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