Related papers: Statistical properties of agent-based market area …
Modern ecology has re-emphasized the need for a quantitative understanding of the original 'survival of the fittest theme' based on analyzis of the intricate trade-offs between competing evolutionary strategies that characterize the…
Spatial statistics is an area of study devoted to the statistical analysis of data that have a spatial label associated with them. Geographers often refer to the "location information" associated with the "attribute information," whose…
Understanding urban growth is one with understanding how society evolves to satisfy the needs of its individuals in sharing a common space and adapting to the territory. We propose here a quantitative analysis of the historical development…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…
The paper delineates a proper statistical setting for defining the sampling design for a small area estimation problem. This problem is often treated only via indirect estimation using the values of the variable of interest also from…
We consider the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event driven agent-based financial market model. Trading takes place asynchronously through a matching engine in…
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…
This paper attempts to find a relationship between agents' risk aversion and inequality of incomes. Specifically, a model is proposed for the evolution in time of surplus/deficit distribution, and the long-time distributions are…
A bipartite producer-consumer network is constructed to describe the industrial structure. The edges from consumer to producer represent the choices of the consumer for the final products and the degree of producer can represent its market…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
Firm clusters are seen as having a positive effect on innovations, what can be interpreted as economies of scale or knowledge spillovers. The processes underlying the success of these clusters remain difficult to isolate. We propose in this…
Two dynamical indicators, the local dimension and the extremal index, used to quantify persistence in phase space have been developed and applied to different data across various disciplines. These are computed using the asymptotic limit of…
Statistical models used to estimate the spatio-temporal pattern in disease risk from areal unit data represent the risk surface for each time period with known covariates and a set of spatially smooth random effects. The latter act as a…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
We look at price formation in a retail setting, that is, companies set prices, and consumers either accept prices or go someplace else. In contrast to most other models in this context, we use a two-dimensional spatial structure for…
Some agent-based models for growth and allocation of resources are described. The first class considered consists of conservative models, where the number of agents and the size of resources are constant during time evolution. The second…
We present examples of agent-based and stochastic models of competition and business processes in economics and finance. We start from as simple as possible models, which have microscopic, agent-based, versions and macroscopic treatment in…
The aim of this work is to establish the personal income distribution from the elementary constituents of a free market; products of a representative good and agents forming the economic network. The economy is treated as a self-organized…
We study a lattice model of ``commons'', where a resource is shared locally among the agents of various cooperative tendency. The payoff function of an agent is proportional to the fraction of his operation rate and the net output of the…
In many real-world applications, the Pareto Set (PS) of a continuous multiobjective optimization problem can be a piecewise continuous manifold. A decision maker may want to find a solution set that approximates a small part of the PS and…