Related papers: On the Averaging Principle
The Minority Game framework was recently generalized to account for the possibility that agents adapt not only through strategy selection but also by diversifying their response according to the kind of dynamical regime, or the risk, they…
Patterns of wins and losses in pairwise contests, such as occur in sports and games, consumer research and paired comparison studies, and human and animal social hierarchies, are commonly analyzed using probabilistic models that allow one…
This work studies the averaging principle for a fully coupled two time-scale system, whose slow process is a diffusion process and fast process is a purely jumping process on an infinitely countable state space. The ergodicity of the fast…
Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a…
The paper presents several approaches to generalized blockmodeling of valued networks, where values of the ties are assumed to be measured on at least interval scale. The first approach is a straightforward generalization of the generalized…
A large body of research is currently investigating on the connection between machine learning and game theory. In this work, game theory notions are injected into a preference learning framework. Specifically, a preference learning problem…
The predictive performance of any inferential model is critical to its practical success, but quantifying predictive performance is a subtle statistical problem. In this paper I show how the natural structure of any inferential problem…
The world is full of systems of distributed agents, collaborating and competing in complex ways: firms and workers specialise within economies, neurons adapt their tuning across brain circuits, and species compete and coexist within…
We investigate a game-theoretic model of a social system where both the rules of the game and the interaction structure are shaped by the behavior of the agents. We call this type of model, with several types of feedback couplings from the…
In scientific inference problems, the underlying statistical modeling assumptions have a crucial impact on the end results. There exist, however, only a few automatic means for validating these fundamental modelling assumptions. The…
Our societies are heterogeneous in many dimensions such as census, education, religion, ethnic and cultural composition. The links between individuals - e.g. by friendship, marriage or collaboration - are not evenly distributed, but rather…
A model of Boolean game with only one free parameter $p$ that denotes the strength of herd behavior is proposed where each agent acts according to the information obtained from his neighbors in network and those in the minority are…
This paper considers treatment effects under endogeneity with complex heterogeneity in the selection equation. We model the outcome of an endogenous treatment as a triangular system, where both the outcome and first-stage equations consist…
We investigate a class of binary choice models with social interactions. We propose a unifying perspective that integrates economic models using a utility function and psychological models using an impact function. A general approach for…
We consider the on-line predictive version of the standard problem of linear regression; the goal is to predict each consecutive response given the corresponding explanatory variables and all the previous observations. We are mainly…
We consider a model for a population in a heterogeneous environment, with logistic type local population dynamics, under the assumption that individuals can switch between two different nonzero rates of diffusion. Such switching behavior…
Site occupancy models are routinely used to estimate the probability of species presence from either abundance or presence-absence data collected across sites with repeated sampling occasions. In the last two decades, a broad class of…
Time-varying covariates in longitudinal studies frequently evolve through reciprocal feedback, undergo role reversal, and reflect unobserved individual heterogeneity. Standard statistical frameworks often assume fixed covariate roles and…
We introduce a general contagion-like model for competing opinions that includes dynamic resistance to alternative opinions. We show that this model can describe candidate vote distributions, spatial vote correlations, and a slow approach…
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…