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Robust Mathematical Formulation and Probabilistic Description of Agent-Based Computational Economic Market Models [article]

Maximilian Beikirch, Simon Cramer, Martin Frank, Philipp Otte, Emma Pabich, Torsten Trimborn
2021 arXiv   pre-print
Furthermore, we discuss possible probabilistic descriptions of time continuous agent-based computational economic market models.  ...  In this study, we discuss two aspects, numerical modeling and the probabilistic description for two agent-based computational economic market models: the Levy-Levy-Solomon model and the Franke-Westerhoff  ...  Introduction Agent-based computational economic market (ABCEM) models have become a popular modeling tool in economic research.  ... 
arXiv:1904.04951v3 fatcat:2kvy2cvdyngd5okw5zttnvnhiu

Is economics an empirical science? If not, can it become one?

Sergio M. Focardi
2015 Frontiers in Applied Mathematics and Statistics  
Clearly, in this formulation DSGEs are abstract models of an economy without any descriptive power. Real agents do not appear.  ...  It is generally assumed that the utility functional has a convenient mathematical formulation. See for example, Smets and Wouters [18] for a description of one such model.  ...  Conflict of Interest Statement: The author declares that the research was conducted in the absence of any commercial or financial relationships that could be construed as a potential conflict of interest  ... 
doi:10.3389/fams.2015.00007 fatcat:nl7q4ymqdfdophoksj2l57k6ne

Combination of analytical and agent-based modeling in studying migration processes in the Arctic regions of Eurasia

V Bystrov, S Malygina, M Shishaev, D Maevsky
2019 IOP Conference Series: Earth and Environment  
The complex of simulation models is developed on the basis of a combination of system dynamics, discreteevent and agent-based modeling.  ...  The integration of agent-based and analytical modeling to create simulation models of migration processes allows, on the one hand, to ensure the accuracy of the simulation according to the quality of the  ...  Acknowledgments The research is being carried out with the financial support of the Russian Foundation for Basic Research (projects # 16-29-12878 ofi_m "Development of methods for identifying dynamic models  ... 
doi:10.1088/1755-1315/302/1/012085 fatcat:5hpznjiyf5glflk5ovniwnjndq

Computing the Perfect Model: Why Do Economists Shun Simulation?*

Aki Lehtinen, Jaakko Kuorikoski
2007 Philosophy of Science  
automata (agent-based models).  ...  We will now provide an example of the kind of research that we think could be much more common in economics: an agent-based simulation of a simple financial market (LeBaron, Arthur, and Palmer 1999) that  ... 
doi:10.1086/522359 fatcat:j5npfahwxjfkjntdwhlzlsf2ym

Probabilistic aspects of finance

Hans Föllmer, Alexander Schied
2013 Bernoulli  
In the final two sections we discuss mathematical issues arising from the dramatic increase of algorithmic trading in modern financial markets.  ...  In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry.  ...  It is one of the basic mechanisms by which economic agents interact with the market and, thus, with each other.  ... 
doi:10.3150/12-bejsp05 fatcat:llbziztbo5drfm7ymnecmj66t4

Unit Commitment Problem in Electrical Power System: A Literature Review

Idriss Abdou, Mohamed Tkiouat
2018 International Journal of Electrical and Computer Engineering (IJECE)  
This paper gives a literature review of UC problem, its mathematical formulation, methods for solving it and Different approaches developed for addressing renewable energy effects and uncertainties.  ...  Many works have proposed new formulations to the UC problem, others have offered several methodologies and techniques to solve the problem.  ...  The authors provided a UC-based market clearing formulation, clearly distinguishing between power and energy. The model was formulated as MIP problem.  ... 
doi:10.11591/ijece.v8i3.pp1357-1372 fatcat:6ufwxxwrzjexfcik334wkoh7ny

Probabilistic Aspects of Finance

Hans Föllmer, Alexander Schied
2012 Social Science Research Network  
In the final two sections we discuss mathematical issues arising from the dramatic increase of algorithmic trading in modern financial markets.  ...  In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry.  ...  It is one of the basic mechanisms by which economic agents interact with the market and, thus, with each other.  ... 
doi:10.2139/ssrn.2144072 fatcat:epg75ie5ejcald6epdobsxylhy

Dealing with uncertainty in Decision Support Systems: Recent trends (2000–2011)

Luis C. Dias, Carlos Henggeler Antunes, David Rios Insua, Luis Cândido Dias, Carlos Henggeler Antunes, David Rios Ínsua
2012 International Journal of Intelligent Decision Technologies  
corresponding model parameters and/or data.  ...  The main DSS features analysed are the underlying decision support methodology, the type of uncertainty modelling approach used, the DSS type, and the application area.  ...  Concerning application areas, the areas of management prevail: applications on marketing/marketing plus economics/finance represent one third of the total.  ... 
doi:10.3233/idt-2012-0141 fatcat:a3x5mggnmjgdjci7h2kaiigpxa

An Overview about Criticalities in the Modelling of Multi-Sector and Multi-Energy Systems

Alessia Arteconi
2018 Environments  
and the scalability of the problem.  ...  This paper aims at outlining such a framework, and at showing the state-of-the-art nature of the above-mentioned challenges.  ...  Conflicts of Interest: The authors declare no conflict of interest. Environments 2018, 5, 130  ... 
doi:10.3390/environments5120130 fatcat:w2ij46cgyfbyvodzpo4ysxyagu

Applications of Reinforcement Learning in Deregulated Power Market: A Comprehensive Review [article]

Ziqing Zhu, Ze Hu, Ka Wing Chan, Siqi Bu, Bin Zhou, Shiwei Xia
2022 arXiv   pre-print
The increasing penetration of renewable generations, along with the deregulation and marketization of power industry, promotes the transformation of power market operation paradigms.  ...  This paper presents a comprehensive review of RL applications in deregulated power market operation including bidding and dispatching strategy optimization, based on more than 150 carefully selected literatures  ...  requirement of complicated mathematical modeling, and enables the agent to search the optimal decision in a more convenient manner by interacting with the environment.  ... 
arXiv:2205.08369v1 fatcat:yqdarokpnzf4zitcilkgigq4vm

Advances in the agent-based modeling of economic and social behavior

Mitja Steinbacher, Matthias Raddant, Fariba Karimi, Eva Camacho Cuena, Simone Alfarano, Giulia Iori, Thomas Lux
2021 SN Business & Economics  
AbstractIn this review we discuss advances in the agent-based modeling of economic and social systems.  ...  We show the state of the art of the heuristic design of agents and how behavioral economics and laboratory experiments have improved the modeling of agent behavior.  ...  of the most recent agent-based models within the fields of economics and finance.  ... 
doi:10.1007/s43546-021-00103-3 pmid:34778836 pmcid:PMC8262124 fatcat:hmo6zhx72zhrdcent77utpef54

Idealizations of Uncertainty, and Lessons from Artificial Intelligence

Robert Elliott Smith
2016 Economics : the Open-Access, Open-Assessment e-Journal  
The means by which human agents process information to make their decisions and how to model these decisions is also at the core of economic analysis, and that is the reason that Simon's work straddled  ...  the difficulties AI has had as a descriptive science intended to capture the robustness of human decision-making.  ...  AI has shown that models of human reasoning that are based on the idealisations of mathematics or logic do not embody the real-world, robust decision-making in the face of ontological uncertainty observed  ... 
doi:10.5018/economics-ejournal.ja.2016-7 fatcat:2cdxboiifvaozjqo7zt5hog63a

A Review on the Complementarity Modelling in Competitive Electricity Markets

Christos N. Dimitriadis, Evangelos G. Tsimopoulos, Michael C. Georgiadis
2021 Energies  
In recent years, the ever-increasing research interest in various aspects of the electricity pool-based markets has generated a plethora of complementarity-based approaches to determine participating agents  ...  It then presents a comprehensive review of recent advances related to complementarity-based modelling methodologies and their implementation in current competitive electricity pool-based markets applications  ...  Conflicts of Interest: The authors declare no conflict of interest.  ... 
doi:10.3390/en14217133 fatcat:zz7zdny2bvd5rphizrzsny6bzm

Uncertainty in Unit Commitment in Power Systems: A Review of Models, Methods, and Applications

Ying-Yi Hong, Gerard Francesco D. G. Apolinario
2021 Energies  
Various methods have been developed to model the uncertainties of these parameters, such as stochastic programming, probabilistic methods, chance-constrained programming (CCP), robust optimization, risk-based  ...  This paper reviews methods of uncertainty management, parameter modeling, simulation tools, and test systems.  ...  Wind Power [91]  Describes a computational framework that combines an advanced NWP model in economic dispatch/stochastic unit commitment formulations.  Enhances the NWP model with an ensemble -based  ... 
doi:10.3390/en14206658 fatcat:7y6v7oofbzho7clkn5uyybzdq4

Expert models for electric load forecasting of power system

Stanislav A. Eroshenko, Valery I. Poroshin, Mihail D. Senyuk, Igor V. Chunarev
2017 2017 IEEE Conference of Russian Young Researchers in Electrical and Electronic Engineering (EIConRus)  
: agents base their decisions on internal models) Underlying methodology Simulation Mathematical approach Agent-based programming Form Probabilistic (sequential Monte Carlo) EU strategy dimensions  ...  Modelling properties and mathematical description E.1.  ...  If no, please could you give a brief description of the case studies analysed? G. References G.1.  ... 
doi:10.1109/eiconrus.2017.7910859 fatcat:qm6tos3jezb25l2x7hqekvxnpq
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