Zobrazeno 1 - 10
of 394
pro vyhledávání: '"Farmer, J. Doyne"'
Autor:
Wiese, Samuel, Kaszowska-Mojsa, Jagoda, Dyer, Joel, Moran, Jose, Pangallo, Marco, Lafond, Francois, Muellbauer, John, Calinescu, Anisoara, Farmer, J. Doyne
In the last few years, economic agent-based models have made the transition from qualitative models calibrated to match stylised facts to quantitative models for time series forecasting, and in some cases, their predictions have performed as well or
Externí odkaz:
http://arxiv.org/abs/2409.18760
Autor:
Farmer, J. Doyne, Geanakoplos, John, Richiardi, Matteo G., Montero, Miquel, Perelló, Josep, Masoliver, Jaume
We present a thorough empirical study on real interest rates by also including risk aversion through the introduction of the market price of risk. With the view of complex systems science and its multidisciplinary approach, we use the theory of bond
Externí odkaz:
http://arxiv.org/abs/2312.17157
Autor:
Vie, Aymeric, Farmer, J. Doyne
Agent-based models (ABMs) are fit to model heterogeneous, interacting systems like financial markets. We present the latest advances in Evology: a heterogeneous, empirically calibrated market ecology agent-based model of the US stock market. Prices e
Externí odkaz:
http://arxiv.org/abs/2302.01216
Autor:
Pangallo, Marco, Aleta, Alberto, Chanona, R. Maria del Rio, Pichler, Anton, Martín-Corral, David, Chinazzi, Matteo, Lafond, François, Ajelli, Marco, Moro, Esteban, Moreno, Yamir, Vespignani, Alessandro, Farmer, J. Doyne
The potential tradeoff between health outcomes and economic impact has been a major challenge in the policy making process during the COVID-19 pandemic. Epidemic-economic models designed to address this issue are either too aggregate to consider hete
Externí odkaz:
http://arxiv.org/abs/2212.03567
Publikováno v:
2022 ACM International Conference on Artificial Intelligence in Finance - Benchmarks in AI workshop
The profitability of various investment styles in investment funds depends on macroeconomic conditions. Market ecology, which views financial markets as ecosystems of diverse, interacting and evolving trading strategies, has shown that endogenous int
Externí odkaz:
http://arxiv.org/abs/2210.11344
Calibrating agent-based models (ABMs) to data is among the most fundamental requirements to ensure the model fulfils its desired purpose. In recent years, simulation-based inference methods have emerged as powerful tools for performing this task when
Externí odkaz:
http://arxiv.org/abs/2206.07570
Publikováno v:
In Joule 18 September 2024 8(9):2453-2466
Simulation models, in particular agent-based models, are gaining popularity in economics. The considerable flexibility they offer, as well as their capacity to reproduce a variety of empirically observed behaviours of complex systems, give them broad
Externí odkaz:
http://arxiv.org/abs/2202.00625
In this paper we study the problem of inferring the initial conditions of a dynamical system under incomplete information. Studying several model systems, we infer the latent microstates that best reproduce an observed time series when the observatio
Externí odkaz:
http://arxiv.org/abs/2109.06825
Publikováno v:
In Journal of Economic Dynamics and Control April 2024 161