This
book analyzes how a large but finite number of
agents
interact, and what sorts of macroeconomic statistical
regularities or patterns may evolve from these
interactions. By keeping the number of agents finite, the
book examines situations such as
fluctuations about
equilibria, multiple equilibria and asymmetrical cycles of
models which are caused by model states stochastically
moving from one basin of attraction to another. All of
these are not tractable using traditional deterministic
modeling approaches. The book also discusses how agents may
form clusters with stationary distributions of cluster
sizes. These have important applications in analyzing
volatilities of asset returns.
Contents
Preface
1 Overviews 1
2 Setting Up Dynamic Models 9
3 The Master Equation 19
4 Introductory Simple and Simplified Models 27
5 Aggregate Dynamics and Fluctuations of Simple Models
41
6 Evaluating Alternatives 52
7 Solving Nonstationary Master Equations 66
8 Growth and Fluctuations 85
9 A New Look at the Diamond Search Model 127
10 Interaction Patterns and Cluster Size Distributions
141
11 Share Market with Two Dominant Groups of Traders 180
Appendix
References 245
Index