Agent Based Modelling

We use an agent-based approach to model trading behaviour in high-frequency markets. This study focuses on the Foreign Exchange (FX) market. The initial part of this study is to observe the micro-behaviour of traders to define the stylized facts of their trading activities. This is performed using a high- frequency dataset of anonymised individual traders' historical transactions on an account

Theory informs us of the differences between principles and methods used to build System Dynamics and Agent Based Models. However, little is known about how the paradigms are applied in practice and the subsequent difficulties encountered. In order to ...

The study of material culture generated by military engagements has created an emergent sub-discipline of archaeological studies centred on battlefields. This approach has developed a particular and sophisticated methodology that is able to deal with the fact that archaeologists will often not find either structures or a useful stratigraphical record on the site, as the material remains of the battle

In Agent-based Modelling and Simulation (ABMS), a system is modelled as a collection of agents, which are autonomous decision-making units with diverse characteristics. The interaction of the individual behaviours of the agents results in the global behaviour of the system. Because ABMS offers a methodology to create an artificial society in which actors with their behaviour can be designed and results of their interaction can be observed, it has gained attention in social sciences such as Economics, Ecology, Social Psychology, and Sociology.

In Economics, ABMS has been used to model many strategic situations. One of the popular strategic situations is the Public Goods Game (PGG). In the PGG, participants secretly choose how many of their private money units to put into a public pot. Social scientists can conduct laboratory experiments of PGGs to study human behaviours in strategic situations. Research findings from these laboratory studies have inspired studies using computational agents and vice versa. However, there is a lack of guidelines regarding the detailed development process and the modelling of agent behaviour for agent-based models of PGGs. We believe that this has contributed to ABMS of PGG not having been used to its full potential.

This thesis aims to leverage the potential of ABMS of PGG, focusing on the development methodology of ABMS and the modelling of agent behaviour. We construct a development framework with incorporated software engineering techniques, then tailored it to ABMS of PGG. The framework uses the Unified Modelling Language (UML) as a standard specification language, and includes a simulation development lifecycle, a step-by-step development guideline, and a short guide for modelling agent behaviour with statecharts. It utilizes software engineering methods to provide a structured approach to identify agent interactions, and design simulation architecture and agent behaviour. The framework is named ABOOMS (Agent-Based Object-Oriented Modelling and Simulation).

After applying the ABOOMS framework to three case studies, the framework demonstrates flexibility in development with two different modelling principles (Keep-It-Simple-Stupid vs. Keep-It-Descriptive-Stupid), capability in supporting complex psychological mechanisms, and ability to model dynamic behaviours in both discrete and continuous time. Additionally, the thesis developed an agent-based model of a PGG in a continuous-time setting. To the best of our knowledge such agent-based models do not exist. During the development, a new social preference, Generous Conditional Cooperators, was introduced to better explain the behavioural dynamics in continuous-time PGG. Experimentation with the agent-based model generated dynamics that are not presented in discrete-time setting. Thus, it is important to study both discrete and continuous time PGG, with laboratory experiment and ABMS. Our new framework allows to do the latter in a structured way.

With the ABOOMS framework, economists can develop PGG simulation models in a structured way and communicate them with a formal model specification. The thesis also showed that there is a need for further investigation on behaviours in continuous-time PGG. For future works, the framework can be tested with variations of PGG or other related strategic interactions.

Allosteric enzymes control reaction rates in biochemical reactions. The catalytic activity of allosteric enzymes depends on the concentration of a certain regulating compound. A simgoidal saturation curve is a characteristic of the enzymes that exert allosteric control of reaction rates. These enzymes are rather large enzymatic complexes usually composed of at least one catalytic subunit and a regulatory fraction, and the complex catalytic activity is given by the cooperative interactions between those enzymatic subunits. Realistic simulation of biocatalytic allosteric phenomena requires an appropiate modelling of the enzyme kinetic behavior. Modelling enzymes with cooperative kinetics can be achieved by defining interacting agents. Agent–based modelling allows an accurate representation of sigmoidal saturation curves, without the kinetic parameters that are needed in other kinetic models. Experimental data from Escherichia coli aspartate transcarbamylase are compared to theoretical...

Abstract. Virtual Reality as applied to heritage representation has become an important technological development in the support of education, site/artefact preservation and investigative research for the 21st century. VR technology, coupled with Artificial Life, an emerging field in science, promises to enhance these areas of endeavour even further by introducing an element of naturalistic dynamics and historical realism into an otherwise “sterile” and unengaging 3D reconstruction. Our evaluation of the merits of introducing ...

This article is the second part of a review of recent empirical and theoretical developments usually grouped under the heading Econophysics. In the first part, we reviewed the statistical properties of financial time series, the statistics exhibited in order books and discussed some studies of correlations of asset prices and returns. This second part deals with models in Econophysics from

Electric mobility is considered as a promising option for future individual transportation in terms of lower CO2-emissions and reduced dependence on fossil fuels. In order to analyze its impacts effectively, an agent based model is proposed. It integrates three domains which are mainly affected by electric mobility. Vehicle fleet evolution and vehicle energy demand simulations are combined with a transportation simulation, thus determining the daily behavior of electric vehicles and providing individual battery energy levels at the different locations of the vehicles during the day. Further, a power system model combined with a charging control algorithm is included in order to study general effects in electricity networks and to provide insights into new electric vehicle load patterns, as well as into changes in transport behavior. It is shown that network congestion can be mitigated using control signals. The paper describes the method and the integration of the three different domains and shows results of the integrated analysis tool.

Abstract. Virtual Reality as applied to heritage representation has become an important technological development in the support of education, site/artefact preservation and investigative research for the 21st century. VR technology, coupled with Artificial Life, an emerging field in science, promises to enhance these areas of endeavour even further by introducing an element of naturalistic dynamics and historical realism into an otherwise “sterile” and unengaging 3D reconstruction. Our evaluation of the merits of introducing ...

Often models for understanding the impact of management practices on retail performance are developed under the assumption of stability, equilibrium and linearity, whereas retail operations are considered in reality to be dynamic, non-linear and complex. Alternatively, discrete event and agent-based modelling are approaches that allow the development of simulation models of heterogeneous non-equilibrium systems for testing out different scenarios. When developing simulation models one has to abstract and simplify from the real world, which means that one has to try and capture the 'essence' of the system required for developing a representation of the mechanisms that drive the progression in the real system. Simulation models can be developed at different levels of abstraction. To know the appropriate level of abstraction for a specific application is often more of an art than a science. We have developed a retail branch simulation model to investigate which level of model accuracy is required for such a model to obtain meaningful results for practitioners.

This article aims at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since its name was coined in 1995 by merging the words “Economics” and “Physics”, this new interdisciplinary field has grown in various directions: theoretical macroeconomics (wealth distributions), microstructure of financial markets (order book modeling), econometrics of financial bubbles and crashes. We give a brief introduction in the first part and begin with discussing interactions between Physics, Mathematics, Economics and Finance that led to the emergence of Econophysics in the second part. Then the third part is dedicated to empirical studies revealing statistical properties of financial time series. We begin the presentation with the widely acknowledged “stylized facts ” describing the distribution of the returns of financial assets: fat-tails, volatility clustering, etc. Then we show that some of these properties are directly linked to the way “time ”...

Abstract. The complexity associated to Humanitarian Demining be-comes very high due to its broad set of activities, which beyond the already complex of landmine removal, includes other socio-economic sup-porting activities. Hence, more complex computer based supporting ...

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