Related papers: Heterogeneous Beliefs with Partial Observations
This paper discusses financial fraud detection in imbalanced dataset using homogeneous and non-homogeneous Poisson processes. The probability of predicting fraud on the financial transaction is derived. Applying our methodology to the…
We consider a heterogeneous agent-based economic model where economic agents have strictly bounded rationality and where income allocation strategies evolve through selective imitation. Income is calculated by a Cobb-Douglas type production…
This paper describes the use of flexible Bayesian regression models for estimating a partially identified probability function. Our approach permits efficient sensitivity analysis concerning the posterior impact of priors on the partially…
In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…
This paper presents a simple agent-based model of an economic system, populated by agents playing different games according to their different view about social cohesion and tax payment. After a first set of simulations, correctly…
This paper provides a new methodology to analyze unobserved heterogeneity when observed characteristics are modeled nonlinearly. The proposed model builds on varying random coefficients (VRC) that are determined by nonlinear functions of…
We investigate the full dynamics of capital allocation and wealth distribution of heterogeneous agents in a frictional economy during booms and busts using tools from mean-field games. Two groups in our models, namely the expert and the…
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.…
Risk assessment instruments are used across the criminal justice system to estimate the probability of some future behavior given covariates. The estimated probabilities are then used in making decisions at the individual level. In the…
This study considers a model of the income distribution of agents whose pairwise interaction is asymmetric and price-invariant. Asymmetric transactions are typical for chain-trading groups who arrange their business such that commodities…
In this communication, some economic models given by functional mappings are addressed. These are models for random markets where agents trade by pairs and exchange their money in a random and conservative way. They display the exponential…
A model for the joint evolution of opinions and how much the agents trust each other is presented. The model is built using the framework of the Continuous Opinions and Discrete Actions (CODA) model. Instead of a fixed probability that the…
We propose a belief-formation model where agents attempt to discriminate between two theories, and where the asymmetry in strength between confirming and disconfirming evidence tilts beliefs in favor of theories that generate strong (and…
A researcher observes a finite sequence of choices made by multiple agents in a binary-state environment. Agents maximize expected utilities that depend on their chosen alternative and the unknown underlying state. Agents learn about the…
Machine learning systems deployed in the real world must operate under dynamic and often unpredictable distribution shifts. This challenges the validity of statistical safety assurances on the system's risk established beforehand. Common…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed…
Different models of capital exchange among economic agents have been proposed recently trying to explain the emergence of Pareto's wealth power law distribution. One important factor to be considered is the existence of risk aversion. In…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
We propose a discrete time algorithm for the valuation of employee stock options based on exponential indifference prices and taking into account both the possibility of partial exercise of a fraction of the options and the use of a…