Related papers: Market Model with Heterogeneous Buyers
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in their beliefs concerning the economy, information and…
We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its…
As the sociological theory of homophily suggests, people tend to interact with those of similar preferences. Motivated by this well-established phenomenon, today's online sellers, such as Amazon,~seek~to learn a new buyer's private…
Many data sets contain an inherent multilevel structure, for example, because of repeated measurements of the same observational units. Taking this structure into account is critical for the accuracy and calibration of any statistical…
The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other…
Homophily based on observables is widespread in networks. Therefore, homophily based on unobservables (fixed effects) is also likely to be an important determinant of the interaction outcomes. Failing to properly account for latent…
The minority model was introduced to study the competition between agents with limited information. It has the remarkable feature that, as the amount of information available increases, the collective gain made by the agents is reduced.…
In this paper we study the price dynamics in a simple model of financial markets with heterogeneous agents. We concentrate on how increases in the total number of active traders influences fluctuations of asset prices. We find that a…
We study information disclosure in competitive markets with adverse selection. Sellers privately observe product quality, with higher quality entailing higher production costs, while buyers trade at the market-clearing price after observing…
We study an interacting agent model of a game-theoretical economy. The agents play a minority-subsequently-majority game and they learn, using backpropagation networks, to obtain higher payoffs. We study the relevance of heterogeneity to…
I introduce heterogeneity into the analysis of peer effects that arise from conformity, allowing the strength of the taste for conformity to vary across agents' actions. Using a structural model based on a simultaneous network game with…
Typically, models with a heterogeneous property are considerably harder to analyze than the corresponding homogeneous models, in which the heterogeneous property is replaced with its average value. In this study we show that any outcome of…
Understanding individual customers' sensitivities to prices, promotions, brands, and other marketing mix elements is fundamental to a wide swath of marketing problems. An important but understudied aspect of this problem is the dynamic…
A model of Boolean agents competing in a market is presented where each agent bases his action on information obtained from a small group of other agents. The agents play a competitive game that rewards those in the minority. After a long…
In this paper, we examine the effectiveness of various recommendation strategies in the mobile channel and their impact on consumers' utility and demand levels for individual products. We find significant differences in effectiveness among…
We discuss several aspects of creation of adequate mathematical models in other sciences. In particular, many difficulties stem from great complexity of the source systems and the presence of a variety of uncertain factors. We illustrate…
In modern recommender systems, both users and items are associated with rich side information, which can help understand users and items. Such information is typically heterogeneous and can be roughly categorized into flat and hierarchical…
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…