Gianfranco Giulioni

Catallaxy-based Grid markets

Grid computing has recently become an important paradigm for managing computationally demanding applications, composed of a collection of services. The dynamic discovery of services, and the selection of a particular service instance providing the best value out of the discovered alternatives, poses a complex multi-attribute n:m allocation decision problem, which is often solved using a centralized resource broker. To manage complexity, this article proposes a two-layer architecture for service discovery in such Application Layer Networks (ALN). The first layer consists of a service market in which complex services are translated to a set of basic services, which are distinguished by price and availability. The second layer provides an allocation of services to appropriate resources in order to enact the specified services. This framework comprises the foundations for a later comparison of centralized and decentralized market mechanisms for allocation of services and resources in ALNs and Grids.

Financial Fragility, Patterns of Firms' Entry and Exit and Aggregate Dynamics

Recent literature stresses the drawbacks of the representative agent ap-proach. A growing number of contributions construct model which allows for agents heterogeneity [1, 2] while others claim that aggregate phenomena could be explained by the failure of the law of large numbers rather than by exogenous shocks (see [3] for instance). Another strand of literature stresses the importance of financial factors in determining the behavior of real vari-ables [4, 5, 6]. A few recent papers combine the two concepts. They show that a measure of dispersion of the distribution, other than its average value, matters for the dynamics of the aggregate variable, i.e., one should consider the whole (statistical) distribution of individual variables [7]. Of course, this distribution is heavy in uenced by the entry-exit process: bankruptcy eliminates the worse tail of the distribution, while the characteristics of the entrants modify it. Some analytical results has been already reached within such a framework [8].The goal of this paper is to verify if and how information availability on the credit market affects the economic dynamics and the distribution of firms with respect to their financial position and size. Moreover, ows into and out of the industry could be affected by credit availability. Our results show that the mean level and the variance of indebtedness of the system varies with the availability of information. In particular, if information is asymmetric the firmsAE leverage ratio (as proxied by the ratio of corporate debt to capital) is higher and varies very smoothly. Aggregate output is also higher when firms are very leveraged and uctuations are amplified. Since the share of more leveraged firms is procyclical, cyclical downturns are driven by the exit process. We may therefore state that, according to this model, firmsAE financial distribution movements drive the business cycle. Our results are corroborated by an econometric analysis of the model (European data 1960:I-1997:IV).We construct an agent based model on the basis of [9]. Differently from it, we introduce a credit supply curve from the profit maximization problem of the bank. This allows us to determinate the credit equilibrium conditions for each firm. The bank problem deserves some explanation since it in-troduces us to the spatial structure of the model. Because of information imperfections, banks do not know the true capital level of each firm and subscribe a standard debt contract with debtors: i.e., when debt is greater than capital, the bank takes all the capital. Lemon firms are allowed to reduce their capital to zero if the bank asks its money back. In such a case, a bank which finances a lemon firm, may lost all the loan. We assume that the bank activity is concentrated in a local zone and we endow a bank with a square lattice filled with firms to finance. By means of a research center the bank knows the average level of the surrounding firmsAE capital: i.e. it knows only the average level of the financial indicator. We also assume that the share of the lemon firms is a positive function of the mean leverage ratio of the zone. It is possible now to deal with the heterogeneity of the financial position of the firms and interaction among agents (in the case in point, there is indirect interaction through banks.)The entry exit rules are modelled as follows. The exit rules are straight-forward in this framework. First, if a firm is very leveraged, it can judge that the advantage to remain on the credit market is lower than the bur-den of debt commitments (these are the lemon firms) and leaves the market. Secondly, if a firm demands for too much credit, the bank may adopt credit rationing policies. Even this kind of firm leaves the market, even if it is able to repay all the credit. In this case the banks avoids the formation of new lemons.For the entry process we exploit our spatial structure drawn from physics field, in particular from the model of magnetization. We endow each site of our lattice with a structure enclosing its four nearest neighbors. If a site is full, nothing happens and the firm goes ahead with its activity. If the site is empty, itAEs filled according to a Gibbs probability distribution with a nearest neighbors potential with anti-ferromagnetic characteristics. This means that the probability of entry rises with the number of empty neighbors. Such a rule has proven to be very useful when we consider more banks, i.e. more zones. In this situation we can analyze the case in which the firm care about credit conditions in the entry decision. If more zones are present, we let the exponent of our Gibbs distribution to depend positively on the financial situation: all in all, the probability of a birth is higher in the zones where credit conditions are favorable.

COMPLEX DYNAMICS AND FINANCIAL FRAGILITY IN AN AGENT-BASED MODEL

We model an agent-based economy in which heterogeneous agents (firms and a bank) interact in the financial markets. The heterogeneity is due to the balance sheet conditions and to size. In our simulations, at the aggregate level, output displays changes in trend and volatility giving rise to complex dynamics. The average solvency and liquidity ratios peak during recessions as empirical analysis shows. At the firm level the model generates: (i) firm sizes left-skewed distributed, (ii) growth rates Laplace distributed. Furthermore, small idiosyncratic shocks can generate large aggregate fluctuations.

Business cycle fluctuations and firms' size distribution dynamics

Power law behavior is an emerging property of many economic models. In this paper we emphasize the fact that power law distributions are persistent but not time invariant. In fact, the scale and shape of the firms size distribution fluctuate over time. In particular, on a log–log space, both the intercept and the slope of the power law distribution of firms size change over the cycle: during expansions (recessions) the straight line representing the distribution shifts up and becomes less steep (steeper). We show that the empirical distributions generated by simulations of the model presented in Ref. 11 mimic real empirical distributions remarkably well.

FINANCIAL FRAGILITY, INDUSTRIAL DYNAMICS, AND BUSINESS FLUCTUATIONS IN AN AGENT-BASED MODEL

In this paper, we model an agent-based economy in which heterogeneous agents (firms and a bank) interact in the financial markets. The heterogeneity is due to the balance sheet conditions and to size. In our simulations, at the aggregate level, output displays changes in trend and volatility giving rise to complex dynamics. The average solvency and liquidity ratios peak during recessions as empirical analysis shows. At the firm level the model generates: i) firm sizes left-skewed distributed, ii) growth rates Laplace distributed. Furthermore, small idiosyncratic shocks can generate large aggregate fluctuations.

Power laws and macroeconomic fluctuations

We study the duration distribution of recessions and recoveries occurred in a pool of industrialized countries during the last 120 years. We find that for recessions the duration is distributed according to a power law, and that the power exponent is virtually invariant as we split up the time span into sub-periods. The evidence regarding the duration of recoveries is mixed, however.

Complex dynamics and financial fragility in an agent based model

In this paper, we model an agent-based economy in which heterogeneous agents (firms and a bank) interact in the financial markets. The heterogeneity is due to the balance sheet conditions and to size. In our simulations, at the aggregate level, output displays changes in trend and volatility giving rise to complex dynamics. The average solvency and liquidity ratios peak during recessions as empirical analysis shows. At the firm level the model generates: i) firm sizes left-skewed distributed, ii) growth rates Laplace distributed. Furthermore, small idiosyncratic shocks can generate large aggregate fluctuations.

Financial Fragility, Heterogeneous Agents’ Interaction, and Aggregate Dynamics

According to the traditional view of the business cycle, large fluctuations are due to some impulses propagated throughout the entire economy (the so-called impulse-propagation approach). One of the puzzles it has to face is why large fluctuations arise without large shocks, since empirical evidence shows that there is not such a causal connection (Balke and Fomby 1994).

Economic Evaluation Framework of Resource Allocation Methods in Service-Oriented Architectures

Economic resource allocation in application layer networks (such as grids) is critical to allow applications and users to effectively exploit computational and data infrastructures like service-oriented computing as a utility. Thus, the evaluation of resource allocation strategies plays a major part in the selection of a resource allocation method. This paper presents an evaluation framework for resource allocation methods in application layer networks, that aims at supporting both a technical and an economic evaluation. The presented evaluation model shows a layered metrics pyramid with different aggregation levels. Statistical methods are used to describe this pyramid. On top of the pyramid, one single number, the social utility, is able to characterize an economic resource allocation method. This number may serve to compare different resource allocation strategies

Complex dynamics and empirical evidence

Standard macroeconomics, based on a reductionist approach centered on the representative agent, is badly equipped to explain the empirical evidence where heterogeneity and industrial dynamics are the rule. In this paper we show that a simple agent-based model of heterogeneous financially fragile agents is able to replicate a large number of scaling type stylized facts with a remarkable degree of statistical precision.