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Modeling Aggregate Behavior and Fluctuations in Economics : Stochastic Views of Interacting Agents. 〔第46回日経・経済図書文化賞受賞〕 青木正直著『経済系のマクロ行動とゆらぎのモデル化』
・ISBN 978-0-521-78126-8 2002 hard GB£ 109.00
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・ISBN 978-0-521-60619-6 2004 paper GB£ 42.00
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電子版あり 大学・学術機関向け電子ブック(eBook)ISBN 978-0-511-51064-9
| 著者・編者 | Aoki, Masanao, |
|---|---|
| 出版社 | (Cambridge U. Pr., UK) |
| ページ数 | 263 pp. |
| 言語 | ENG |
| ニュース番号 | <478-214 485-214> |
解説
This book has two components: stochastic dynamics and stochastic random combinatorial analysis. The first discusses evolving patterns of interactions of a large but finite number of agents of several types. Changes of agent types or their choices or decisions over time are formulated as jump Markov processes with suitably specified transition rates: optimisations by agents make these rates generally endogenous. Probabilistic equilibrium selection rules are also discussed, together with the distributions of relative sizes of the bases of attraction. As the number of agents approaches infinity, we recover deterministic macroeconomic relations of more conventional economic models. The second component analyses how agents form clusters of various sizes. This has applications for discussing sizes or shares of markets by various agents which involve some combinatorial analysis patterned after the population genetics literature. These are shown to be relevant to distributions of returns to assets, volatility of returns, and power laws.