Vince Darley

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Papers by Vince Darley

A NASDAQ Market Simulation:Insights on a Major Market from the Science of Complex Adaptive Systems

World Scientific Books, 2007

... Complex Systems and Interdisciplinary Science (ISSN: 1793-4540) Series Editors: FelixReed-Tso... more

Learning to live on the edge

Complexity, May 1, 1996

An Ant-bidding Algorithm for Multistage Flowshop Scheduling Problem: Optimization and Phase Transitions

Springer eBooks, Dec 6, 2007

In this chapter we present the integration of an ant-based algorithm with a greedy algorithm for ... more In this chapter we present the integration of an ant-based algorithm with a greedy algorithm for optimizing the scheduling of a multistage plant in the consumer packaged goods industry. The multistage manufacturing plant is comprised of different stages: mixing, storage, packing and finished goods storage, and is an extension of the classic Flowshop Scheduling Problem (FSP).We propose a new algorithm

Emergent Phenomena and Complexity

The MIT Press eBooks, 1994

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Procede de prevision de la demande de biens au moyen de boucles de demande auto-organisatrices

La presente invention concerne de maniere generale un systeme et un procede de prevision de la fu... more La presente invention concerne de maniere generale un systeme et un procede de prevision de la future demande de biens et/ou de services. L'invention concerne, plus particulierement, un systeme et un procede de prevision de la future demande de biens et/ou de services a partir des donnees obtenues de l'offre d'options de vente de biens et/ou de services a differents niveaux dans la hierchachie des produits, regionale et temporelle.

On complex adaptive systems and agent‐based modelling for improving decision‐making in manufacturing and logistics settings

International Journal of Operations & Production Management, Dec 1, 2006

Purpose-This paper aims to contribute to the tactical and operational decision making of manufact... more Purpose-This paper aims to contribute to the tactical and operational decision making of manufacturing and logistics operations by providing novel insights into modelling and simulation, based on complex adaptive systems (CAS). Design/methodology/approach-The research approach is theoretically based on CAS with agent-based modelling (ABM) as the implementation method. A case study is presented where an agent-based model has contributed to increased understanding and precision in decision making at a packaging company in the UK. Findings-The results suggest that ABM provides decision-makers with robust and accurate "what-if" scenarios of the dynamic interplay among several business functions. These scenarios can guide managers in the process of moving from policy space to performance space, i.e. concerning priorities of improvement efforts and choices of production/manufacturing policies, warehouse policies, customer service policies and logistics policies. Furthermore, it is found that ABM can include and pay attention to several aspects of CAS and thus provide understanding of, and explanation for, the patterns and effects which emerge in manufacturing and logistics settings. Practical implications-Aided by agent-based models and simulations, practitioners' levels of intuition can be enhanced since patterns on the macro level emerge from agents' interactive behaviour. Together with insights from CAS these emergent patterns can be explained and understood, and are thus beneficial for the improvement of decision making in companies. Originality/value-The case presented distinguishes this paper from what has been written in previous articles on the application of ABM, since such articles have not produced any empirically verified results after implementation of ABM.

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Towards a Theory of Autonomous, Optimising Agents

I seek an understanding of the collective dynamics of systems of agents operating under an optimi... more I seek an understanding of the collective dynamics of systems of agents operating under an optimising dynamic. An autonomous agent has independent agency and decision-making capability. Placed in a system of such agents, however, the consequences of its actions, and hence its preferred choice of action (since it strives to behave optimally) are influenced and constrained by the activity of other agents. My work is divided into two complementary halves: the first examining the global consequences of local interactions; the second examines how the existence of global goals places requirements on the nature of those local interactions. Applications of the former lie primarily in the field of economic modelling; the latter in the field of distributed optimisation: (I) I propose a method for modelling economics systems in which outcomes depend locally on the predictions agents make of other agents. I investigate the circumstances under which coordination or coordination failure occurs in...

Emergent Phenomena and Complexity

I seek to define rigorously the concept of an emergent phenomenon in a complex system, together w... more I seek to define rigorously the concept of an emergent phenomenon in a complex system, together with its implications for explanation, understanding and prediction in such systems. I argue that in a certain fundamental sense, emergent systems are those in which even perfect knowledge and understanding may give us no predictive information. In them the optimal means of prediction is simulation. I investigate the consequences of this for certain decidability and complexity issues, and then explain why these limitations do not preclude all means of doing interesting science in such systems. I touch upon some recent incorporation of this work into the investigation of self-organised criticalities. 1 Motivation and Objectives The calculations were so elaborate it was very difficult. Now, usually I was the expert at this; I could always tell you what the answer was going to look like, or when I got it I could explain why. But this thing was so complicated I couldn't explai...

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Natural Rationality

We propose a method for modelling economic systems in which outcomes depend locally on the predic... more We propose a method for modelling economic systems in which outcomes depend locally on the predictions that agents make of other agents. We develop population games in which each agent adaptively searches for a good model of its environment. We demonstrate that such systems can exhibit persistent dynamics, cyclic oscillations between low and high complexity states, and other complex, yet endogenous, phenomena. We propose these `adaptively rational' agents as a natural extension of rational expectations, suitable when mutual consistency is not realistic. We discuss the connections between our work and the programs of bounded rationality, evolutionary game theory and models motivated by statistical mechanics. 1 Introduction We seek a definition of homo economicus which relaxes the assumption that globally optimal, mutually consistent strategies are selected by a system of autonomous agents. We believe the development, dynamics, stability and change of this optimality should be mo...

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Sixteenths or Pennies? Observations from a Simulation of the Nasdaq Stock Market *

The authors are grateful to Stuart Kauffman, Bennett Levitan, Richard Palmer, Isaac Saias, and ot... more

1.3 Nasdaq Simulation Model Overview................ 10

Isaac Saias, and others for their valuable comments and suggestions. We thank Paula Lozar for edi... more

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Emergent Phenomena and Complexity 1 Motivation and Objectives 1.1 Explanation

I seek to deene rigorously the concept of an emergent phenomenon in a complex system, together wi... more I seek to deene rigorously the concept of an emergent phenomenon in a complex system, together with its implications for explanation, understanding and prediction in such systems. I argue that in a certain fundamental sense, emergent systems are those in which even perfect knowledge and understanding may give us no predictive information. In them the optimal means of prediction is simulation. I investigate the consequences of this for certain de-cidability and complexity issues, and then explain why these limitations do not preclude all means of doing interesting science in such systems. I touch upon some recent incorporation of this work into the investigation of self-organised criticalities. The calculations were so elaborate it was very dif-cult. Now, usually I was the expert at this; I could always tell you what the answer was going to look like, or when I got it I could explain why. But this thing was so complicated I couldn't explain why it was like that. So I told Fermi I...

An Ant-Bidding Algorithm for Generalized Flow Shop Scheduling Problem: Optimization and Phase Transitions

In this paper we present the integration of an ant-based algorithm with a greedy algorithm for so... more In this paper we present the integration of an ant-based algorithm with a greedy algorithm for solving the scheduling of a multi-stage plant. A multi-stage manufacturing plant is comprised of different stages: mixing, storage, packing and finished goods storage, and is an extension of the classic Flow Shop Scheduling Problem (FSP). The algorithmic details for the Multi Stage Flow Shop Scheduling Problem (MSFSP) are introduced for finding optimized solutions. The scheduling must provide both optimal and flexible solutions to respond to fluctuations in the demand and operations of the plants while minimizing costs and times of operation. Optimization of each stage in the plant is an increasingly complex task when considering limited capacity and connectivity of the stages, and the constraints they mutually impose on each other. We discuss how our approach may be useful not just for dynamic scheduling optimization, but also for analyzing the design of the plant in order for it to optim...

Modeling Annuity Policyholder Behavior Using Behavioral Economics and Complexity Science

This paper describes an innovative approach to stochastic modeling of variable annuity policyhold... more This paper describes an innovative approach to stochastic modeling of variable annuity policyholder behavior, combining behavioral economics and agentbased computational modeling. This permits realistic rendering of behavior at a highly disaggregated level—the level of individual salespeople and annuity policyholders. The model has been implemented computationally, and is capable of generating lapse rates that are in qualitative agreement with historical data from an annuity lapse study performed by LIMRA. The paper highlights the advantages as well as the challenges inherent in this new approach to modeling customer behavior.

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Learning , Evolution and Tick Size Effects in a Simulation of the Nasdaq Stock Market *

This paper presents the results of our research into the behavior of a dealer-mediated stock mark... more This paper presents the results of our research into the behavior of a dealer-mediated stock market, similar to Nasdaq, by using an agent-based model of the market. We modeled on an individual level the decision-making process of market ma kers (dealers) and investors, as well as explicitly mo deling market i nfrastructure and rules. The model allows investigation of market behaviors under a variety of scenarios and conditions. As our main goal, we investigated possible effects of tick size reduction, and found that in the simulated market environment it may result in decreasing the market’s ability to perform the function of price discovery. Calibrating the model, we discovered that it exhibits a number of behaviors normally associated with real-world scenarios, such as the presence of fat tails, spread clustering, etc. We also created learning market makers and investigated their behavior and the strategies they use. We found that there is a variety of conditions under which artif...

CIOInsightTradingPlaces 6-16-03

An Agent-Based Model of a Corrugated Box Factory: The Tradeoff Between Finished-Goods- Stock and On-Time-In-Full Delivery

Strong competition and the high demands of consumergoods companies for just-in-time delivery toge... more Strong competition and the high demands of consumergoods companies for just-in-time delivery together with high standards of product and service quality are turning the top end of the corrugated-board box market into a very tough place to be. Customers order a large variety of different boxes, each with its own colour scheme and product specific printing, and expect them to be delivered at very short notice. These demands combined with the complexity of a multi-stage production process and the unpredictability of customer behaviour and machine failures lead to larger and larger inventories of finished goods stock at corrugated box factories, all to be able to guarantee “on time and in full” deliveries to the clients. In this paper we show how an agent-based model of a corrugated box plant was used to evaluate different strategies to reduce this level of stock without compromising on-time-in-full delivery, and lead to a much improved factory understanding. The software model is in us...

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Sixteenths or pennies? Observations from a simulation of the Nasdaq stock market

Computational Intelligence for Financial Engineering Proceedings of the IEEE/IAFE, 2000

We have built a model that represents a highly realistic picture of a dealer-mediated market like... more We have built a model that represents a highly realistic picture of a dealer-mediated market like Nasdaq, with the flexibility to model many features of real-world markets. While we have conducted a fairly significant amount of research using the model, we have limited it to four areas: 1) investigating, mainly in a qualitative fashion, the consequences of regulatory and structural

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Modeling Annuity Policyholder Behavior Using Behavioral Economics and Complexity Science

This paper describes an innovative approach to stochastic modeling of variable annuity policyhold... more This paper describes an innovative approach to stochastic modeling of variable annuity policyholder behavior, combining behavioral economics and agent-based computational modeling. This permits realistic rendering of behavior at a highly disaggregated level, the level of individual salespeople and annuity policyholders. The model has been implemented computationally, and is capable of generating lapse rates that are in qualitative agreement with historical data from an annuity lapse study performed by LIMRA. The paper highlights the advantages as well as the challenges inherent in this new approach to modeling customer behavior.

System and method for the analysis and prediction of economic markets

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