COURSE SYLLABUS
AGENT BASED MODELS
Instructors
János Kertész1, prof. and Rosario Nunzio Mantegna1,2, prof.
1
Center for Network Science
2
Department of Economics
Central European University
1st semester 2015-2016 FS
Course level: PhD
Pre-requisites (if applicable): none
Course e-learning site: to be announced
Office hours: upon agreement
Course description
Complex systems are abundant: The society, the economy, the financial system, food
webs, energy supply systems are just some examples. The recent development of
information technology opened unprecedented opportunities in studying them. On the
one hand due to making available huge amounts of data, on the other hand by offering
computer power for simulating them.
Networks represent the scaffold of complex systems, on which the functioning
processes take place. Complex systems are heterogeneous in many ways. Broad
distributions characterize the network degrees, the link weights and the properties of the
nodes as well as aspects of their temporal behavior. Most analytical approaches like those
with “representative agents’ simplify to an unrealistic level this relevant multitude of
heterogeneities. Therefore simulation techniques, like heterogeneous multi-agent
modeling becomes increasingly important.
Agent based modeling is a flexible framework to simulate the action and interaction
of entities of complex systems. The course will give an introduction to this topic by
making students acquainted with the most important concepts and tools. A versatile, open
access easy-to-use platform will be presented, which enables to construct own models
and simulations. Relevant agent based models will be discussed from the field of biology,
sociology, economics and finance. Issues include conflicts and consensus in opinion
formation, segregation as a result of homophily, origins of cultural diversity and market
simulations. Techniques of model calibration and validation will be presented.
Learning Outcomes
- Students will learn what agent based models are and what they are good for.
- They will be able to use independently the platform NetLogo.
- They will know some basic agent based models in the field of biology, sociology,
political science, finance and economics.
- They will be able to formulate an agent based model for a problem of interest, obtain
simulations of it and critically analyze the results.
Course Requirements
(1) Assessment type 1 (20 % of the final grade). Starting from week 3 the students will
get home work consisting of simple problems, which they will have to submit
electronically.
(2) Assessment type 2 (30% of the final grade). The midterm test will be after week 7,
consisting of questions related to the course.
(3) Assessment type 3 (50% of the final grade). In this project work students will have to
solve individually a problem by constructing the model, running the simulations and
critically analyzing the results. They will have to prepare a presentation and deliver it.
COURSE SCHEDULE
Week Session title.
1 Introduction
Complex systems. Heterogeneities on all scales. Earlier approaches. Why
agent based modeling? Examples of successful agent based modeling.
2 NetLogo tutorial I.
Introduction to the open access NetLogo platform. Variables, interactions,
actions. Visualization. Statistical analysis.
3 NetLogo tutorial II.
Getting acquainted in and interactive way. Defining the model. Running the
program. Input and output. Some examples.
4 Examples from biological modeling
Ants, flocking, herding, etc. Biological interactions. Predator-prey systems.
Colonies of ants. Flocking of birds, fish schools. Motion of humans in panic
situation.
5 Opinion dynamics models.
Discrete and continuous opinion variables. Models of political opinion
formation (voter model, Sznajd model). Bounded confidence model and
formation of parties. The role of mass media. Adaptive networks.
6 The Schelling model of segregation and the Axelrod model of cultural
diversity
Two state variables with attractive interactions: The Ising model and its social
interpretation. Mobile agents. If segregation results from minor homophily
how comes the diversity of the society? Axelrod’s multidimensional
characterization of individuals. The role of the topology, network adaptation
and mass media.
7 Evolutionary game theoretical models
Game theoretical concepts, Nash equilibria. Basic strategic games: Prisoners’
dilemma, Hawk-Dove, Snowdrift, Tragedy of the Commons etc. Failure of
the mean field approach. The role of the topology.
8 Minority game
The El Farol bar problem. Adaptation, learning and the role of memory.
Heterogeneity in the strategies. Relevant parameters, regimes of different
behavior in the volatility. Relation to finance. Variants of the Minority game.
9 Agent based models in Finance
Stylized facts in finance. Heterogeneity of investors. The model of Kim and
Markowitz. Levy-Levy and Solomon model. The Santa Fe artificial stock
market. Noise traders and fundamentalists. Lux-Marchesi model and its
simplified versions.
10 Agent based models in macroeconomics
Agent-Based Computational Macroeconomics: A Survey. Macroeconomic
Policy and Agent-Based Models. Agent-based Keynesian macroeconomics.
The macroeconomic models database
11 Calibration and validation of agent based model
Calibration and validation procedures of agent-based models. Absence of a
unified procedure and approach. Main methodological aspects. Descriptive
output validation, matching computationally generated output against actual
data. Predictive output validation, matching computationally generated data
against yet-to-be-acquired system data.
12 Project presentation
Suggested reading
N. Gilbert, Agent-Based Models, Sage Publications 2008.
J.H. Miller and S.E. Page, Complex Adaptive Systems: An Introduction to Computational
Models of Social Life, Princeton University Press 2007.
C. Castellano, S. Fortunato, and V. Loreto, Statistical physics of social dynamics, Rev. Mod.
Phys. 81 (2), 591, [Link]