Related papers: Scale Invariance, Bounded Rationality and Non-Equi…
This paper introduces the concept of an economic action constant, denoted ___ E , as a structural analogue to Planck's reduced constant ___ in quantum mechanics. Building on canonical quantization, we define ___ E as the fundamental scale…
Often models for understanding the impact of management practices on retail performance are developed under the assumption of stability, equilibrium and linearity, whereas retail operations are considered in reality to be dynamic,…
The possibility of mass in the context of scale-invariant, generally covariant theories, is discussed. Scale invariance is considered in the context of a gravitational theory where the action, in the first order formalism, is of the form $S…
We propose a series of simple models for the microstructure of a double auction market without intermediaries. We specialize to those markets, such interdealer broker markets, which are dominated by professional traders, who trade mainly…
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…
One of the fundamental questions in inflation is how to characterize the structure of different types of models in the field theoretic landscape. Proposals in this direction include attempts to directly characterize the formal structure of…
In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…
We revisit here the problem of the collective non-equilibrium dynamics of a classical statistical system at a critical point and in the presence of surfaces. The effects of breaking separately space- and time-translational invariance are…
We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the…
In this work we develop a general formalism that categorizes the action of broken scale invariance on the non-equilibrium dynamics of non-relativistic quantum systems. This approach is equally applicable to both strongly and weakly…
Understanding the structure and formation of networks is a central topic in complexity science. Economic networks are formed by decisions of individual agents and thus not properly described by established random graph models. In this…
Scale invariance and the resulting power law behaviours are seen in diverse systems. In this work we consider translation, rotational and scale invariant systems defined on a lattice, such that the variables defining the state at every…
Although classical economic theory is based on the concept of stable equilibrium, real economic systems appear to be always out of equilibrium. Indeed, they share many of the dynamical features of other complex systems, e.g., ecological…
The method of model averaging has become an important tool to deal with model uncertainty, for example in situations where a large amount of different theories exist, as are common in economics. Model averaging is a natural and formal…
Dynamical scaling arises naturally in various many-body systems far from equilibrium. After a short historical overview, the elements of possible extensions of dynamical scaling to a local scale-invariance will be introduced.…
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…
A two-dimensional lattice system of non-interacting electrons in a homogeneous magnetic field with half a flux quantum per plaquette and a random potential is considered. For the large scale behavior a supersymmetric theory with collective…
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
Large dynamic economies with heterogeneous agents and aggregate shocks are central to many important applications, yet their equilibrium analysis remains computationally challenging. This is because the standard solution approach, rational…