Related papers: Heterogeneous Beliefs with Partial Observations
Prediction markets mobilize financial incentives to forecast binary event outcomes through the aggregation of dispersed beliefs and heterogeneous information. Their growing popularity and demonstrated predictive accuracy in political…
We study a pure-exchange incomplete-market economy with heterogeneous agents. In each period, the agents choose how much to save (i.e., invest in a risk-free bond), how much to consume, and which bundle of goods to consume while their…
We develop a hierarchical Bayesian dynamic game for competitive inventory and pricing under incomplete information. Two firms repeatedly choose order quantities and prices while facing two layers of uncertainty: unknown market demand and…
A broad set of empirical phenomenon in the study of social, economic and machine behaviour can be modelled as complex systems with averaging dynamics. However many of these models naturally result in consensus or consensus-like outcomes. In…
In market modeling, one often treats buyers as a homogeneous group. In this paper we consider buyers with heterogeneous preferences and products available in many variants. Such a framework allows us to successfully model various market…
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…
A growing number of applications involve settings where, in order to infer heterogeneous effects, a researcher compares various units. Examples of research designs include children moving between different neighborhoods, workers moving…
In this paper, I characterize the network formation process as a static game of incomplete information, where the latent payoff of forming a link between two individuals depends on the structure of the network, as well as private…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting speed parameters are modeled as hidden/unobservable stochastic…
I study linear panel data models with predetermined regressors (such as lagged dependent variables) where coefficients are individual-specific, allowing for heterogeneity in the effects of the regressors on the dependent variable. I show…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
I propose a quantile-based nonadditive fixed effects panel model to study heterogeneous causal effects. Similar to standard fixed effects (FE) model, my model allows arbitrary dependence between regressors and unobserved heterogeneity, but…
We propose an agent-based network formation model under uncertainty with the objective of relaxing the common assumption of complete information, calling attention to the role beliefs may play in segregation. We demonstrate that our model…
A microscopic dynamic model is here constructed and analyzed, describing the evolution of the income distribution in the presence of taxation and redistribution in a society in which also tax evasion and auditing processes occur. The focus…
The price-bubble and crash process formation is theoretically investigated in a two-asset equilibrium model. Sufficient and necessary conditions are derived for the existence of average equilibrium price dynamics of different agent-based…
This paper considers the problem of predicting the number of events that have occurred in the past, but which are not yet observed due to a delay. Such delayed events are relevant in predicting the future cost of warranties, pricing…
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…
We study discrete panel data methods where unobserved heterogeneity is revealed in a first step, in environments where population heterogeneity is not discrete. We focus on two-step grouped fixed-effects (GFE) estimators, where individuals…
In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of…