Related papers: A competitive multi-agent model of interbank payme…
This study investigates the functioning of modern payment systems through the lens of banks' maturity mismatch practices, and it examines the effects of banks' refusal to roll over short-term interbank liabilities on financial stability.…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
Modern AI systems increasingly operate inside markets and institutions where data, behavior, and incentives are endogenous. This paper develops an economic foundation for multi-agent learning by studying a principal-agent interaction in a…
Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination…
Operational disruptions in retail payments can induce behavioral responses that outlast technical recovery and may amplify liquidity stress. We propose a multi-agent model linking card payment outages to trust dynamics, channel avoidance,…
In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and invest in risky assets.…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
An agent-based model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize…
This paper proposes a multi-day needs-based model for activity and travel demand analysis. The model captures the multi-day dynamics in activity generation, which enables the modeling of activities with increased flexibility in time and…
This paper studies a dynamic screening model in which a principal hires an agent with limited liability. The agent's private cost of working is an i.i.d. draw from a continuous distribution. His working status is publicly observable. The…
Service platforms must determine rules for matching heterogeneous demand (customers) and supply (workers) that arrive randomly over time and may be lost if forced to wait too long for a match. Our objective is to maximize the cumulative…
We study the incentives of banks in a financial network, where the network consists of debt contracts and credit default swaps (CDSs) between banks. One of the most important questions in such a system is the problem of deciding which of…
We propose a dynamic network model where two mechanisms control the probability of a link between two nodes: (i) the existence or absence of this link in the past, and (ii) node-specific latent variables (dynamic fitnesses) describing the…
This paper presents a network-based multi-agent optimization model for the strategic planning of service facilities in a stochastic and competitive market. We focus on the type of service facilities that are of intermediate nature, i.e.,…
I develop a continuous-time model in which an incumbent batch-service provider faces stochastic passenger arrivals and must decide when to dispatch under the threat of customer defection to a faster entrant. The incumbent's problem is…
In repeated games, such as auctions, players rely on autonomous learning agents to choose their actions. We study settings in which players have their agents make monetary transfers to other agents during play at their own expense, in order…
Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situation. In particular, much attention has been devoted to the…
Lately, the problem of designing multi-stage dynamic mechanisms has been shown to be both theoretically challenging and practically important. In this paper, we consider the problem of designing revenue optimal dynamic mechanism for a…
We study hidden-action principal-agent problems with multiple agents. These are problems in which a principal commits to an outcome-dependent payment scheme in order to incentivize some agents to take costly, unobservable actions that lead…
Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq$ $ are widespread within economic systems. The presence of fixed minimal adjustment costs produces adjustment stickiness so that agents must choose a…