arXiv subjects

Philipp Otte

Publications and source records attributed to Philipp Otte.

5 recordsLinked to original sources

arXiv2021

Robust Mathematical Formulation and Probabilistic Description of Agent-Based Computational Economic Market Models

In science and especially in economics, agent-based modeling has become a widely used modeling approach. These models are often formulated as a large system of difference equations. In this study, we discuss two aspects, numerical modeling and the probabilistic description for two agent-based computational economic market models: the Levy-Levy-Solomon model and the Franke-Westerhoff model. We derive time-continuous formulations of both models, and in particular we discuss the impact of the time-scaling on the model behavior for the Levy-Levy-Solomon model. For the Franke-Westerhoff model, we proof that a constraint required in the original model is not necessary for stability of the time-continuous model. It is shown that a semi-implicit discretization of the time-continuous system preserves this unconditional stability. In addition, this semi-implicit discretization can be computed at cost comparable to the original model. Furthermore, we discuss possible probabilistic descriptions of time continuous agent-based computational economic market models. Especially, we present the potential advantages of kinetic theory in order to derive mesoscopic desciptions of agent-based models. Exemplified, we show two probabilistic descriptions of the Levy-Levy-Solomon and Franke-Westerhoff model.

q-fin.TR↗

arXiv2019

Simulation of Stylized Facts in Agent-Based Computational Economic Market Models

We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for Agent-Based Computational Economic Market Models) tool recently introduced by the authors (Trimborn et al. 2019). Furthermore, we present novel ABCEM models created by recombining existing models and study them with respect to stylized facts as well. This can be efficiently performed by the SABCEMM tool thanks to its object-oriented software design. The code is available on GitHub (Trimborn et al. 2018), such that all results can be reproduced by the reader.

econ.GN↗

arXiv2019

A Structured Approach to the Construction of Stable Linear Lattice-Boltzmann Collision Operators

We introduce a structured approach to the construction of linear BGK-type collision operators ensuring that the resulting Lattice-Boltzmann methods are stable with respect to a weighted $L^2$-norm. The results hold for particular boundary conditions including periodic, bounce-back, and bounce-back with flipping of sign. This construction uses the equivalent moment-space definition of BGK-type collision operators and the notion of stability structures as guiding principle for the choice of the equilibrium moments for those moments influencing the error term only but not the order of consistency. The presented structured approach is then applied to the 3D isothermal linearized Euler equations with non-vanishing background velocity. Finally, convergence results in the strong discrete $L^\infty$-norm highlight the suitability of the structured approach introduced in this manuscript.

math.NA↗

arXiv2018

SABCEMM-A Simulator for Agent-Based Computational Economic Market Models

We introduce the simulation tool SABCEMM (Simulator for Agent-Based Computational Economic Market Models) for agent-based computational economic market (ABCEM) models. Our simulation tool is implemented in C++ and we can easily run ABCEM models with several million agents. The object-oriented software design enables the isolated implementation of building blocks for ABCEM models, such as agent types and market mechanisms. The user can design and compare ABCEM models in a unified environment by recombining existing building blocks using the XML-based SABCEMM configuration file. We introduce an abstract ABCEM model class which our simulation tool is built upon. Furthermore, we present the software architecture as well as computational aspects of SABCEMM. Here, we focus on the efficiency of SABCEMM with respect to the run time of our simulations. We show the great impact of different random number generators on the run time of ABCEM models. The code and documentation is published on GitHub at https://github.com/SABCEMM/SABCEMM, such that all results can be reproduced by the reader.

q-fin.CP↗

arXiv2016

Derivation and Analysis of Lattice Boltzmann Schemes for the Linearized Euler Equations

We derive Lattice Boltzmann (LBM) schemes to solve the Linearized Euler Equations in 1D, 2D, and 3D with the future goal of coupling them to an LBM scheme for Navier Stokes Equations and an Finite Volume scheme for Linearized Euler Equations. The derivation uses the analytical Maxwellian in a BGK model. In this way, we are able to obtain second-order schemes. In addition, we perform an $L^2$-stability analysis. Numerical results validate the approach.

math.NA↗