arXivDaily arXiv每日学术速递 周一至周五更新
北美退伍军人节(Veterans Day),12 日无更新
arXiv 2001.11843physics.soc-phecon.GNq-fin.EC
收藏

经济危机的一个互动主体模型

An Interacting Agent Model of Economic Crisis

Yuichi Ikeda

摘要:

大多数国家的经济都是通过国际贸易联系在一起的。因此,经济全球化形成了一个庞大而复杂的经济网络,这种网络具有强大的联系,即由贸易增加而产生的互动。在贸易自由化下的全球经济中,各种令人感兴趣的集体行动预计将从强有力的经济互动中产生。在各种经济集体运动中,经济危机是我们最感兴趣的问题。在我们以前的研究中,我们已经揭示了仓本耦合极限环振子模型和网络上的Ising类自旋模型是表征经济危机的宝贵工具。在这项研究中,我们开发了一个数学理论来描述一个相互作用的代理模型,通过使用适当的近似导出仓本模型和类伊辛自旋模型。我们的互动代理模型表明,在经济危机期间的相位同步和自旋排序。通过对各种经济时间序列数据的分析,我们证实了经济危机期间相位同步和自旋有序的出现。我们还开发了一个网络重建模型的基础上熵最大化,认为网络的稀疏性。这里的网络重构是指从节点的局部信息估计网络的邻接矩阵。利用该模型对银行间网络进行了重构,并将重构后的网络与实际数据进行了比较。我们成功地再现了银行间网络和已知的程式化事实。此外,外生冲击作用于供应链网络和金融部门的产业共同体估计。对供应链网络中实体经济中的社区的外生冲击的估计提供了从金融部门通过供应链网络传播到实体经济的困境渠道的证据。

英文摘要:

Most national economies are linked by international trade. Consequently, economic globalization forms a massive and complex economic network with strong links, that is, interactions arising from increasing trade. Various interesting collective motions are expected to emerge from strong economic interactions in a global economy under trade liberalization. Among the various economic collective motions, economic crises are our most intriguing problem. In our previous studies, we have revealed that the Kuramoto's coupled limit-cycle oscillator model and the Ising-like spin model on networks are invaluable tools for characterizing the economic crises. In this study, we develop a mathematical theory to describe an interacting agent model that derives the Kuramoto model and the Ising-like spin model by using appropriate approximations. Our interacting agent model suggests phase synchronization and spin ordering during economic crises. We confirm the emergence of the phase synchronization and spin ordering during economic crises by analyzing various economic time series data. We also develop a network reconstruction model based on entropy maximization that considers the sparsity of the network. Here network reconstruction means estimating a network's adjacency matrix from a node's local information. The interbank network is reconstructed using the developed model, and a comparison is made of the reconstructed network with the actual data. We successfully reproduce the interbank network and the known stylized facts. In addition, the exogenous shock acting on an industry community in a supply chain network and financial sector are estimated. Estimation of exogenous shocks acting on communities of in the real economy in the supply chain network provide evidence of the channels of distress propagating from the financial sector to the real economy through the supply chain network.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑