Related papers: An Equilibrium Analysis of Scrip Systems

We investigate the uniform reshuffling model for money exchanges: two agents picked uniformly at random redistribute their dollars between them. This stochastic dynamics is of mean-field type and eventually leads to a exponential…

We determine the amount of information contained in a time series of price returns at a given time scale, by using a widespread tool of the information theory, namely the Shannon entropy, applied to a symbolic representation of this time…

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…

This work focuses on the entropy-regularized independent natural policy gradient (NPG) algorithm in multi-agent reinforcement learning. In this work, agents are assumed to have access to an oracle with exact policy evaluation and seek to…

In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…

Colonel Blotto games with discrete strategy spaces effectively illustrate the intricate nature of multidimensional strategic reasoning. This paper studies the equilibrium set of such games where, in line with prior experimental work, the…

This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…

In this paper, we study the problem of multiple stochastic agents interacting in a dynamic game scenario with continuous state and action spaces. We define a new notion of stochastic Nash equilibrium for boundedly rational agents, which we…

Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…

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…

Entropic risk (ERisk) is an established risk measure in finance, quantifying risk by an exponential re-weighting of rewards. We study ERisk for the first time in the context of turn-based stochastic games with the total reward objective.…

We study learning by privately informed forward-looking agents in a simple repeated-action setting of social learning. Under a symmetric signal structure, forward-looking agents behave myopically for any degrees of patience. Myopic…

One of the key features of this paper is that the agents' opinion of a social network is assumed to be not only influenced by the other agents but also by two marketers in competition. One of our contributions is to propose a pragmatic…

This paper proposes that the mathematical relationship between an entropy distribution and its limit offers some new insight into system performance. This relationship is used to quantify variation among the entities of a system, where…

We consider a social system of interacting heterogeneous agents with learning abilities, a model close to Random Field Ising Models, where the random field corresponds to the idiosyncratic willingness to pay. Given a fixed price, agents…

In the simplest game-theoretic formulation of Schelling's model of segregation on graphs, agents of two different types each select their own vertex in a given graph so as to maximize the fraction of agents of their type in their occupied…

We consider a class of jump games in which agents of different types occupy the nodes of a graph aiming to maximize the variety of types in their neighborhood. In particular, each agent derives a utility equal to the number of types…

We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical…

The paper proposes a new message passing algorithm for cycle-free factor graphs. The proposed "entropy message passing" (EMP) algorithm may be viewed as sum-product message passing over the entropy semiring, which has previously appeared in…

In many professons employees are rewarded according to their relative performance. Corresponding economy can be modeled by taking $N$ independent agents who gain from the market with a rate which depends on their current gain. We argue that…