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We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the…
In this paper we analyze the rural-urban migration phenomena as it is usually observed in economies which are in the early stages of industrialization. The analysis is conducted by means of a statistical mechanics approach which builds a…
A consistent theme in software experimentation at Microsoft has been solving problems of experimentation at scale for a diverse set of products. Running experiments at scale (i.e., many experiments on many users) has become state of the art…
We formulate a continuous-time competitive equilibrium model of irreversible capacity investment in which a continuum of heterogeneous producers supplies a single non-durable good subject to exogenous stochastic demand. Each producer…
Criticality has been proposed as a mechanism for the emergence of complexity, life, and computation, as it exhibits a balance between robustness and adaptability. In classic models of complex systems where structure and dynamics are…
Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the…
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…
An axiomatic approach to macroeconomics based on the mathematical structure of thermodynamics is presented. It deduces relations between aggregate properties of an economy, concerning quantities and flows of goods and money, prices and the…
This work suggests modifications to a previously introduced class of heterogeneous agent models that allow for the inclusion of different types of agent motivations and behaviours in a unified way. The agents operate within a highly…
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…
Homogeneous Boltzmann-type equations are an established tool for modelling interacting multi-agent systems in sociophysics by means of the principles of statistical mechanics and kinetic theory. A customary implicit assumption is that…
In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the…
We study stochastic particle systems made up of heterogeneous units. We introduce a general framework suitable to analytically study this kind of systems and apply it to two particular models of interest in economy and epidemiology. We show…
We introduce an agent-based model for the spreading of technological developments in socio-economic systems where the technology is mainly used for the collaboration/interaction of agents. Agents use products of different technologies to…
We study a spatially homogeneous model of a market where several agents or companies compete for a wealth resource. In analogy with ecological systems the simplest case of such models shows a kind of "competitive exclusion" principle.…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
In economic applications, model averaging has found principal use examining the validity of various theories related to observed heterogeneity in outcomes such as growth, development, and trade.Though often easy to articulate, these…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
An agent-based model of the economy is generalized to incorporate investment and guaranteed income mechanisms in addition to the exchange and distribution mechanisms considered in earlier models. We find realistic wealth distributions and…
Demand outstrips available resources in most situations, which gives rise to competition, interaction and learning. In this article, we review a broad spectrum of multi-agent models of competition (El Farol Bar problem, Minority Game,…