Recent progress in econophysics: Chaos, leverage, and business cycles as revealed by agent-based modeling and human experiments

Chen, Xin; Huang, Jiping

doi:10.1007/s11467-017-0696-4

Cited by 2 publications

(1 citation statement)

References 114 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…These interactions can, in turn, be affected by banks' policies (Teglio et al 2012;Dosi et al 2013;Banwo et al 2019) and macroeconomics conditions (Cardaci 2018;Guilmi 2017;Mérő 2019). These agent-to-agent interactions produce complex (Jensen 2010), nonlinear effects such as tipping-points (Brock and Durlauf 2001;Harré et al 2019), boom-bust cycles (Geanakoplos et al 2012), and chaos Hommes 1998, Xin andHuang 2017), as well as the equilibrium dynamics predicted by classical models. More recently, an ABM was shown to outperform predictions made by several benchmark models which were based on vector auto-regression and dynamic stochastic general equilibrium approaches (Poledna et al 2019).…”

Section: Related Workmentioning

confidence: 99%

Explaining herding and volatility in the cyclical price dynamics of urban housing markets using a large-scale agent-based model

et al. 2021

View full text Add to dashboard Cite

Urban housing markets, along with markets of other assets, universally exhibit periods of strong price increases followed by sharp corrections. The mechanisms generating such non-linearities are not yet well understood. We develop an agentbased model populated by a large number of heterogeneous households. The agents' behavioral rules are consistent with the concept of bounded rationality. The model is calibrated using several large and distributed datasets of the Greater Sydney region (demographic, economic and financial) across three specific and diverse periods since 2006. The model is not only capable of explaining price dynamics during these periods, but also reproduces the novel behavior actually observed immediately prior to the market peak in 2017, namely a sharp increase in the variability of prices. This novel behavior is related to a combination of trend-following aptitude of the household agents (herding) and their collective propensity to borrow. Trend-following behavior is found to be essential in replicating market dynamics.

show abstract