Journal of Economic Interaction and Coordination最新文献

Mesoscopic structure of the stock market and portfolio optimization 股票市场的中观结构与投资组合优化

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2024-09-17 DOI: 10.1007/s11403-024-00426-y

Sebastiano Michele Zema, Giorgio Fagiolo, Tiziano Squartini, Diego Garlaschelli

{"title":"Mesoscopic structure of the stock market and portfolio optimization","authors":"Sebastiano Michele Zema, Giorgio Fagiolo, Tiziano Squartini, Diego Garlaschelli","doi":"10.1007/s11403-024-00426-y","DOIUrl":"https://doi.org/10.1007/s11403-024-00426-y","url":null,"abstract":"The idiosyncratic and systemic components of market structure have been shown to be responsible for the departure of the optimal mean-variance allocation from the heuristic ‘equally weighted’ portfolio. In this paper, we exploit clustering techniques derived from Random Matrix Theory to study a third, intermediate (mesoscopic) market structure that turns out to be the most stable over time and provides important practical insights from a portfolio management perspective. First, we illustrate the benefits, in terms of predicted and realized risk profiles, of constructing portfolios by filtering out both random and systemic co-movements from the correlation matrix. Second, we redefine the portfolio optimization problem in terms of stock clusters that emerge after filtering. Finally, we propose a new wealth allocation scheme that attaches equal importance to stocks belonging to the same community and show that it further increases the reliability of the constructed portfolios. Results are robust across different time spans, cross sectional dimensions and set of constraints defining the optimization problem.","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142249548","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Introduction to the special issue on two editions of the workshop on economic science with heterogeneous interacting agents, $$24.5{text {th}}$$ Milan, 2021 (wehia 2021) $$25{text {th}}$$ Catania, 2022 (wehia 2022) 2021 年，米兰，$24.5{text {th}}$(wehia 2021) 2022 年，卡塔尼亚，$25{text {th}}$(wehia 2022)，两期关于异质互动主体的经济科学研讨会特刊导言

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2024-09-16 DOI: 10.1007/s11403-024-00427-x

Alessio Emanuele Biondo, Domenico Delli Gatti

引用次数: 0

Project finance or corporate finance for renewable energy? an agent-based insight 可再生能源的项目融资还是企业融资？基于代理的见解

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2024-09-09 DOI: 10.1007/s11403-024-00425-z

Thomas Baldauf, Patrick Jochem

{"title":"Project finance or corporate finance for renewable energy? an agent-based insight","authors":"Thomas Baldauf, Patrick Jochem","doi":"10.1007/s11403-024-00425-z","DOIUrl":"https://doi.org/10.1007/s11403-024-00425-z","url":null,"abstract":"State-of-the-art macroeconomic agent-based models (ABMs) include an increasing level of detail in the energy sector. However, the possible financing mechanisms of renewable energy are rarely considered. In this study, an investment model for power plants is conceptualized, in which energy investors interact in an imperfect and decentralized market network for credits, deposits and project equity. Agents engage in new power plant investments either through a special purpose vehicle in a project finance (PF) structure or via standard corporate finance (CF). The model portrays the growth of new power generation capacity, taking into account technological differences and investment risks associated with the power market. Different scenarios are contrasted to investigate the influence of PF investments on the transition. Further, the effectiveness of a simple green credit easing (GCE) mechanism is discussed. The results show that varying the composition of the PF and CF strategies significantly influences the transition speed. GCE can recover the pace of the transition, even under drastic reductions in PF. The model serves as a foundational framework for more in-depth policy analysis within larger agent-based integrated assessment models.","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142199087","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

From zero-intelligence to Bayesian learning: the effect of rationality on market efficiency 从零智能到贝叶斯学习：理性对市场效率的影响

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2024-08-29 DOI: 10.1007/s11403-024-00424-0

Daniele Giachini, Shabnam Mousavi, Matteo Ottaviani

引用次数: 0

Nonlinear dynamics in a public good game 公益博弈中的非线性动力学

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2024-08-02 DOI: 10.1007/s11403-024-00423-1

Luca Gori, Mauro Sodini

{"title":"Nonlinear dynamics in a public good game","authors":"Luca Gori, Mauro Sodini","doi":"10.1007/s11403-024-00423-1","DOIUrl":"https://doi.org/10.1007/s11403-024-00423-1","url":null,"abstract":"The present work aims to study the problem of individual voluntary anonymous contributions to the financing of public goods in a dynamic setting. To do this, the article departs from a textbook model à la Naimzada and Tramontana (2010) augmented with public goods. The article studies how bounded rationality and dependence on agents’ past decisions combine with the problem of voluntary contributions. This favours the emergence of nonlinear dynamics in individual behaviour as well as in the aggregate contribution to the financing of a public good project. The Nash equilibrium can be destabilised through a flip bifurcation when the agent reactivity increases. In addition, some Neimark–Sacker bifurcations can also occur although not around the steady-state equilibrium. A sufficiently high agent reactivity level can also lead to chaotic dynamics with possible multiple attractors. When the chaotic regime prevails, synchronisation phenomena in agent behaviour may occur but are rare. Thus, usually, even if agents are homogeneous, they behave as if they were heterogeneous by making non-synchronised decisions. The work also explicitly deepens the case of a heterogeneous economy in terms of both consumer preferences and income.","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141882535","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A closer look at the chemical potential of an ideal agent system 近距离观察理想制剂系统的化学潜能

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2024-07-26 DOI: 10.1007/s11403-024-00422-2

Christoph J. Börner, Ingo Hoffmann, John H. Stiebel

{"title":"A closer look at the chemical potential of an ideal agent system","authors":"Christoph J. Börner, Ingo Hoffmann, John H. Stiebel","doi":"10.1007/s11403-024-00422-2","DOIUrl":"https://doi.org/10.1007/s11403-024-00422-2","url":null,"abstract":"Models for spin systems known from statistical physics are used in econophysics to describe economic problems, e.g., in the form of agent-based models. Econophysics research, as this strand is called, is increasingly developing general market models that describe exchange phenomena and use the chemical potential (mu) known from physics in the context of particle number changes. In statistical physics, equations of state are known for the chemical potential, which take into account the respective model framework and the corresponding state variables. A simple transfer of these equations of state to problems in econophysics appears difficult. To the best of our knowledge, the equation of state for the chemical potential is currently missing even for the simplest conceivable model of an ideal agent system. In this paper, this research gap is closed and the equation of state for the chemical potential is derived from the econophysical model assumptions of the ideal agent system. An interpretation of the equation of state leads to fundamental relationships that could also have been guessed, but are shown here by the theory.","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141771899","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Endogenous beliefs and social influence in a simple macroeconomic framework 简单宏观经济框架中的内生信仰和社会影响

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2024-07-25 DOI: 10.1007/s11403-024-00417-z

Roberta Terranova

{"title":"Endogenous beliefs and social influence in a simple macroeconomic framework","authors":"Roberta Terranova","doi":"10.1007/s11403-024-00417-z","DOIUrl":"https://doi.org/10.1007/s11403-024-00417-z","url":null,"abstract":"This paper incorporates endogenously emerging beliefs and social influence into a stylized Islands model characterized by uncertainty, strategic complementarity, and frictional coordination. Individuals in the model hold pessimistic, neutral, or optimistic beliefs, which can change over time due to economic outcomes and social influence. The study aims to assess how social influence affects agents’ coordination, economic stability, and welfare. We show that rational expectations are unstable in the absence of social influence. Agents coordinate over time on a pessimistic and highly inefficient stationary state in which output and welfare are below the rational expectations equilibrium. As the importance of social influence grows, the steady state becomes even more pessimistic. As it crosses a certain threshold, additional equilibria emerge. As a result, the economy may converge to the rational expectations steady state, in which welfare is highest, or to a much more optimistic equilibrium, which is not necessarily more efficient. Finally, we show that by reducing higher-order uncertainty, social influence can act as a coordination device with positive effects on welfare.","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141771900","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Simulating the industrial revolution: a history-friendly model 模拟工业革命：历史友好型模型

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2024-07-09 DOI: 10.1007/s11403-024-00421-3

Nicola Visonà, Luca Riccetti

引用次数: 0

Conformism, distinction and heterogeneity in an agent-based model of fads 基于代理的流行模型中的顺应性、差异性和异质性

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2024-06-29 DOI: 10.1007/s11403-024-00419-x

Leonardo Bargigli, Filippo Pietrini

引用次数: 0

Impacts of public disclosure on tax compliance using agent-based modeling 利用基于代理的模型分析公开披露对税收遵从的影响

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2024-06-27 DOI: 10.1007/s11403-024-00420-4

Hiroyuki Sano

引用次数: 0