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Proceedings Paper

Complex dynamics and empirical evidence (Invited Paper)
Author(s): Domenico Delli Gatti; Edoardo Gaffeo; Gianfranco Giulioni; Mauro Gallegati; Alan Kirman; Antonio Palestrini; Alberto Russo
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Paper Abstract

Standard macroeconomics, based on a reductionist approach centered on the representative agent, is badly equipped to explain the empirical evidence where heterogeneity and industrial dynamics are the rule. In this paper we show that a simple agent-based model of heterogeneous financially fragile agents is able to replicate a large number of scaling type stylized facts with a remarkable degree of statistical precision.

Paper Details

Date Published: 23 May 2005
PDF: 11 pages
Proc. SPIE 5848, Noise and Fluctuations in Econophysics and Finance, (23 May 2005); doi: 10.1117/12.619472
Show Author Affiliations
Domenico Delli Gatti, Catholic Univ. of Milan (Italy)
Univ. Politecnica delle Marche (Italy)
Edoardo Gaffeo, Univ. of Trento (Italy)
Univ. Politecnica delle Marche (Italy)
Gianfranco Giulioni, Univ. Politecnica delle Marche (Italy)
Mauro Gallegati, Univ. Politecnica delle Marche (Italy)
Alan Kirman, Univ. d'Aix-Marseille III (France)
Antonio Palestrini, Univ. di Teramo (Italy)
Univ. Politecnica delle Marche (Italy)
Alberto Russo, Univ. Politecnica delle Marche (Italy)

Published in SPIE Proceedings Vol. 5848:
Noise and Fluctuations in Econophysics and Finance
Derek Abbott; Jean-Philippe Bouchaud; Xavier Gabaix; Joseph L. McCauley, Editor(s)

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