Modeling aggregate behavior and fluctuations in economics : stochastic views of interacting agents

Masanao Aoki

This book has two components: stochastic dynamics and stochastic random combinatorial analysis. The first discusses evolving patterns of interactions of a large but finite number of agents of several types. Changes of agent types or their choices or decisions over time are formulated as jump Markov processes with suitably specified transition rates: optimisations by agents make these rates generally endogenous. Probabilistic equilibrium selection rules are also discussed, together with the distributions of relative sizes of the bases of attraction. As the number of agents approaches infinity, we recover deterministic macroeconomic relations of more conventional economic models. The second component analyses how agents form clusters of various sizes. This has applications for discussing sizes or shares of markets by various agents which involve some combinatorial analysis patterned after the population genetics literature. These are shown to be relevant to distributions of returns to assets, volatility of returns, and power laws.

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[目次]

  • 1. Overview
  • 2. Setting up dynamic models
  • 3. The master equation
  • 4. Introductory simple and simplified models
  • 5. Aggregate dynamics and fluctuations of simple models
  • 6. Evaluation of alternatives
  • 7. Solving non-stationary master equations
  • 8. Growth and business cycle models
  • 9. Example: a new look at the diamond search model
  • 10. Interaction patterns of agents and distributions of cluster sizes
  • 11. Example: share markets with two dominant types of participants in a market.

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この本の情報

書名 Modeling aggregate behavior and fluctuations in economics : stochastic views of interacting agents
著作者等 青木 正直
Aoki Masanao
出版元 Cambridge University Press
刊行年月 2004
ページ数 xv, 263 p.
大きさ 23 cm
ISBN 0521606195
NCID BA6980835X
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言語 英語
出版国 イギリス
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