In this paper, we explore the dynamic of stock prices over time by developing an agent-based market. The developed artificial market comprises of heterogeneous agents occupied with various behaviors and trading strategies. To be specific, the agents in the market may expose to overconfidence, conservatism or loss aversion biases. Additionally, they may employ fundamental, technical, adaptive (neural network) strategies or simply being arbitrary agents (zero intelligence agents). The market has property of direct interaction. The environment takes the form of network structure, namely, it takes the manifestation of scale-free network. The information will flow between the agents through the linkages that connect them. Furthermore, the tax imposed by the regulator is investigated. The model is subjected to goodness of fit to the empirical observations of the S\&P500. The fitting of the model is refined by calibrating the model parameters through heuristic approach, particularly, scatter search. Conclusively, the parameters are validated against normality, absence of correlations, volatility cluster and leverage effect using statistical tests.
After being the economic development officer for the Little/Salmon Carmacks First Nation, Tim used all his spare time trying to determine a practical understanding of the events he witnessed. This led him to complexity, specifically human emergent behaviour and the evolutionary prerequisites present in human society. These prerequisites predicted many of the apparently immutable ‘modern problems’ in society. First, he tried disseminating the knowledge in popular book form, but that failed – three times. He decided to obtain PhD to make his ‘voice’ louder. He chose sociology, poorly as it turns out as he was told his research had ‘no academic value whatsoever’. After being forced out of University, he taught himself agent-based modelling to demonstrate his ideas and published his first peer-reviewed paper without affiliation while working as a warehouse labourer. Subsequently, he managed to interest Steve Keen in his ideas and his second attempt at a PhD succeeded. His most recent work involves understanding the basic forces generated by trade in a complex system. He is most interested in how the empirically present evolutionary prerequisites impact market patterns.
Economics, society, complexity, systems, ecosystem, thermodynamics, agent-based modelling, emergent behaviour, evolution.
I obtained a PhD in database information theory from the University of the West of Scotland in 2015, and have been a researcher at the James Hutton Institute ever since. My areas of research are agent-based-modelling (ABM), data curation, effective use of infrastructure as a service (IaaS), and semantic information representation and extraction using formal structures such as computerised ontologies, relational databases and any other structured or semi-structured data representations. I primarily deal with social and agricultural models and was originally taken on in the role of knowledge engineer in order to create the ontology for the H2020 project, Green Lifestyles, Alternative Models and Upscaling Regional Sustainability (GLAMURS). Subsequent work, for the Scottish Government has involved the use of IaaS, more commonly referred to as the “cloud” to create rapidly deployable and cheap alternatives to in-house high-performance computing for both ABM and Geographical Information System models.
It is the mixture of skills and interests involving modelling, data organisation and computing infrastructure expertise that I believe will be highly apposite in the duties associated with being a member of the CoMSES executive. Moreover, prior to joining academia, I spent about 25 years as a developer in commercial IT, in the agricultural, entertainment and banking sectors, and feel that such practical experience can only benefit the CoMSES network.
Raquel Guimaraes is a Postdoctoral Research Scholar at IIASA with support from the Brazilian Coordination for the Improvement of Higher Education Personnel (CAPES). She is hosted by the Advanced Systems Analysis (ASA), Risk and Vulnerability (RISK), and World Population (POP) programs. Dr. Guimaraes is currently on sabbatical leave from her appointment as an Adjunct Professor in the Economics Department at the Federal University of Paraná (Brazil), where she carries out research on, as well as teaching, economic demography, development microeconomics and applied microeconometrics.
In her research at IIASA, Dr. Guimaraes aims to contribute to the extant literature and to policy-making by offering a case study from Brazil, examining whether and how individual exposure to floods did or not induce affected migration in a setting with intense urbanization, the city of Governador Valadares, in the State of Minas Gerais. To elucidate the role of vulnerability at the household-level in mediating the relationship between mobility and floods, she will rely on causal models and simulation analysis. Her study is aligned with and will have support from, the Brazilian Network for Research on Global Climate Change (Rede Clima), which is an important pillar in support of R&D activities of the Brazilian National Climate Change Plan.
Dr. Guimaraes graduated from the Federal University of Minas Gerais, Brazil, in 2007 with degrees in economics. She completed an MA degree in International Comparative Education at Stanford University (2011) and earned a doctorate in demography from the Federal University of Minas Gerais in 2014.