Agent-based modelling of commodity market dynamics

Robert Gębarowski 1Stanisław Drożdż 2,3Andrzej Z. Górski 2Paweł Oświęcimka 

1. Cracow University of Technology, Institute of Physics (PK), Podchorążych 1, Kraków 30-084, Poland
2. Polish Academy of Sciences, Institute of Nuclear Physics (IFJ PAN), Radzikowskiego 152, Kraków 31-342, Poland
3. Cracow University of Technology (CUT), Warszawska 24, Kraków 31-155, Poland

Abstract

In this study we consider a toy model of the commodity market. We use the agent-based computational economics approach [1, 2]. In this model there is a number of agents providing different types of commodities, exchanging them for desired goods which are then consumed. The exchange rules between interacting agents are not only governed by individual demands but also rely on the averaged market view on each particular commodity. The view itself is in a way derived from previous exchange transactions of the ensemble of agents. The dynamics of the model market is modelled by allowing appropriate number of rounds of transactions (turns) among trading agents. Thus the dynamics of our toy model is investigated over transaction time, measured in transaction turns.

During the model evolution some commodities become relatively more desirable and widely recognized as an universal mean of exchange for substantial length of time, before another commodity overtakes the status of dominant commodity [3]. We could refer to such dominant commodity as the commodity-based money.

The goal of present contribution is to study mechanisms of commodity competition for the status of money within the model market. The main research interest is focused on statistical signatures accompanying spontaneous emergence of a dominant commodity and properties of lifetimes of such commodities. It has been shown elsewhere [4] that the time series of fluctuating commodity-based money lifetimes, obtained from such a toy model, exhibit signatures of multiscaling behavior near the critical threshold.

References

[1] A. Yasutomi, Physica D 82, 180 (1995).

[2] A.Z. Górski, S. Drożdż, P. Oświęcimka, Acta Phys. Pol. A 117, 676 (2010).

[3] R. Gębarowski, S. Drożdż, A.Z. Górski, P. Oświęcimka, Acta Phys. Pol. A 127, A-51 (2015).

[4] P. Oświęcimka, S. Drożdż, R. Gębarowski, A.Z. Górski, J. Kwapień, Acta Phys. Pol. B 46, 1579 (2015).

 

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Presentation: Invited oral at 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Robert Gębarowski
See On-line Journal of 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2015-08-23 22:32
Revised:   2015-09-07 00:07