Related papers: Heterogeneous Beliefs with Partial Observations
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…
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…
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…
In empirical studies, the data usually don't include all the variables of interest in an economic model. This paper shows the identification of unobserved variables in observations at the population level. When the observables are distinct…
We provide identification results for a broad class of learning models in which continuous outcomes depend on three types of unobservables: known heterogeneity, initially unknown heterogeneity that may be revealed over time, and transitory…
This paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using the mean field game theory. In this model, we assume that investors can only observe stock prices and must infer…
One of the most important empirical findings in microeconometrics is the pervasiveness of heterogeneity in economic behaviour (cf. Heckman 2001). This paper shows that cumulative distribution functions and quantiles of the nonparametric…
A new agent-based, bounded-confidence model for discrete one-dimensional opinion dynamics is presented. The agents interact if their opinions do not differ more than a tolerance parameter. In pairwise interactions, one of the pair, randomly…
We investigate a pricing rule that is applicable for streams of income or contingent claim liabilities and study how this rule changes under additional insider-type information that an investor might obtain. Considering a model where the…
Opinions and beliefs determine the evolution of social systems. This is of particular interest in finance, as the increasing complexity of financial systems is coupled with information overload. Opinion formation, therefore, is not always…
Multi-state models are frequently applied for representing processes evolving through a discrete set of state. Important classes of multi-state models arise when transitions between states may depend on the time since entry into the current…
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial and insurance applications, where the default intensity of a…
This paper studies the problem of distributed classification with a network of heterogeneous agents. The agents seek to jointly identify the underlying target class that best describes a sequence of observations. The problem is first…
The heterogeneity of the influence processes is an important feature of social systems: how we perceive social influence and how we influence other individuals is heavily influenced by our opinion and non-opinion attributes. The latter…
We study the role and drivers of persistence in the extensive margin of bilateral trade. Motivated by a stylized heterogeneous firms model of international trade with market entry costs, we consider dynamic three-way fixed effects binary…
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…
We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using…
We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash flows, we emphasize how risk preferences in particular, but…
We develop a nonparametric approach to identify and estimate consumer preferences and unobserved heterogeneity under nonlinear price schedules. Leveraging variation across multiple price schedules, we show that both the utility function and…
Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share…