A Statistical Mechanic View of Macro-dynamics in Economics

In this study, based on a statistical mechanic perspective, some technical insights for macroeconomic analysis are presented with regard to (1) “ modeling the behaviour of a many-interacting-heterogeneous agents system through the analysis of fractions’ stochastic dynamics over a state space ” (Dell...

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Vydané v:Computational economics Ročník 32; číslo 1-2; s. 121 - 146
Hlavní autori: Landini, Simone, Uberti, Mariacristina
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Boston Springer US 01.09.2008
Society for Computational Economics
Springer Nature B.V
Edícia:Computational Economics
Predmet:
Agent-based-models
Analysis
Averages
Behavioral/Experimental Economics
C02
Computer Appl. in Social and Behavioral Sciences
Computer programming
E20
Economic dynamics
Economic models
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Economics and Finance
Equilibrium
Financial economics
Financial engineering
Fokker–Planck equation
Heterogeneity
Hypotheses
Interaction
Kramers–Moyal expansion
Macroeconomics
Markov analysis
Master equation
Math Applications in Computer Science
Mathematical finance
Mean field theory
Operations Research/Decision Theory
Ordinary differential equations
Physics
Representative agent
Statistical mechanics
Statistical physics
Statistics
Stochastic models
Studies
Volatility
Word meaning
Kramers–Moyal expansion
Heterogeneity
Master equation
Agent-based-models
E20
Fokker–Planck equation
C02
Interaction
Statistical mechanics
Mean field theory
ISSN:0927-7099, 1572-9974
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Popis
Shrnutí:In this study, based on a statistical mechanic perspective, some technical insights for macroeconomic analysis are presented with regard to (1) “ modeling the behaviour of a many-interacting-heterogeneous agents system through the analysis of fractions’ stochastic dynamics over a state space ” (Delli Gatti and Gallegati, Eterogeneità degli agenti economici ed interazione sociale: teorie e verifiche empiriche, 2005) and (2) suggesting a new microfoundation method based on jump Markov processes to mimic fluctuation dynamics of macro variables (Aoki, New approaches to macroeconomic modeling, 1996; Aoki, Modeling aggregate behaviour and fluctuations in economics, 2002; Aoki and Yoshikawa, Reconstructuring macroeconomics. A perspective from statistical physics and combinatorial stochastic processes, 2006). The main aim is to review and to describe how the statistical mechanic methodology provides systematic methods to solve master equation problems to be applied in macroscopic dynamics analysis in economics. The results are achieved in terms of a mean field system of equations to model average and volatility of a macroscopic quantity. By means of a macroscopic ordinary differential equation, the drift component is detached and, by means of a Fokker–Planck equation, the spread component around such a deterministic path is derived.
Bibliografia:SourceType-Scholarly Journals-1
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ISSN:0927-7099
1572-9974
DOI:10.1007/s10614-008-9128-4