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This paper explores the design of a balanced data-sharing marketplace for entities with heterogeneous datasets and machine learning models that they seek to refine using data from other agents. The goal of the marketplace is to encourage…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the squared modulus of an amplitude. For short time intervals…
We develop a stochastic equilibrium model for an electricity market with asymmetric renewable energy forecasts. In our setting, market participants optimize their profits using public information about a conditional expectation of energy…
We study the dynamics of individual agents in some kinetic models of wealth exchange, particularly, the models with savings. For the model with uniform savings, agents perform simple random walks in the "wealth space". On the other hand, we…
We study experimentally the thermal fluctuations of energy input and dissipation in a harmonic oscillator driven out of equilibrium, and search for Fluctuation Relations. We study transient evolution from the equilibrium state, together…
Understanding under what conditions interacting populations, whether they be plants, animals, or viral particles, coexist is a question of theoretical and practical importance in population biology. Both biotic interactions and…
We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous…
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…
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…
Many large cities are found at locations with certain first nature advantages. Yet, those exogenous locational features may not be the most potent forces governing the spatial pattern of cities. In particular, population size, spacing and…
Segregation is a growing concern around the world. One of its main manifestations is the creation of ghettos, whose inhabitants have difficult access to well-paid jobs, which are often located far from their homes. In order to study this…
We discuss the equivalence between kinetic wealth-exchange models, in which agents exchange wealth during trades, and mechanical models of particles, exchanging energy during collisions. The universality of the underlying dynamics is shown…
The statistical mechanical basis of the fluctuation theory of mixtures is reviewed. An overview of the statistical mechanical relations between the microscopic properties of a system and its macroscopic properties is presented. The…
A stochastic dynamics has a natural decomposition into a drift capturing mean rate of change and a martingale increment capturing randomness. They are two statistically uncorrelated, but not necessarily independent mechanisms contributing…
A simple computer simulation model of a closed market on a fixed network with free flow of goods and money is introduced. The model contains only two variables : the amount of goods and money beside the size of the system. An initially flat…
As affordability pressures and tight rental markets in global cities mount, online shared accommodation sites proliferate. Home sharing arrangements present dilemmas for planning that aims to improve health and safety standards, while…
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The…
A novel model of intermittency is presented in which the dynamics of the rates of energy transfer between successive steps in the energy cascade is described by a hierarchy of stochastic differential equations. The probability distribution…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…