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Novel insights in the Levy–Levy–Solomon agent-based economic market model

Author

Listed:
  • Maximilian Beikirch

    (RWTH Aachen University, Templergraben 55, 52056 Aachen, Germany)

  • Torsten Trimborn

    (IGPM, RWTH Aachen University, Templergraben 55, 52056 Aachen, Germany)

Abstract

The Levy–Levy–Solomon (LLS) model [M. Levy, H. Levy and S. Solomon, Econ. Lett.45, 103 (1994)] is one of the most influential agent-based economic market models. In several publications this model has been discussed and analyzed. Especially Lux and Zschischang [E. Zschischang and T. Lux, Physica A: Stat. Mech. Appl.291, 563 (2001)] have shown that the model exhibits finite-size effects. In this study, we extend existing work in several directions. First, we show simulations which reveal finite-size effects of the model. Second, we shed light on the origin of these finite-size effects. Furthermore, we demonstrate the sensitivity of the LLS model with respect to random numbers. Especially, we can conclude that a low-quality pseudo-random number generator has a huge impact on the simulation results. Finally, we study the impact of the stopping criteria in the market clearance mechanism of the LLS model.

Suggested Citation

  • Maximilian Beikirch & Torsten Trimborn, 2021. "Novel insights in the Levy–Levy–Solomon agent-based economic market model," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 32(02), pages 1-17, February.
    • Handle: RePEc:wsi:ijmpcx:v:32:y:2021:i:02:n:s0129183121500200
    DOI: 10.1142/S0129183121500200
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