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.

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

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)