Related papers: Approximate aggregation in the neoclassical growth…
In this paper, we discuss the ambiguous chance constrained based portfolio optimization problems, in which the perturbations associated with the input parameters are stochastic in nature, but their distributions are not known precisely. We…
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…
In this work we consider the problem of finding the minimum-weight loop cover of an undirected graph. This combinatorial optimization problem is called 2-matching and can be seen as a relaxation of the traveling salesman problem since one…
Spatio-temporal areal data can be seen as a collection of time series which are spatially correlated according to a specific neighboring structure. Incorporating the temporal and spatial dimension into a statistical model poses challenges…
We analyze wealth condensation for a wide class of stochastic economy models on the basis of the economic analog of thermodynamic potentials, termed transfer potentials. The economy model is based on three common transfers modes of wealth:…
We develop original models to study interacting agents in financial markets and in social networks. Within these models randomness is vital as a form of shock or news that decays with time. Agents learn from their observations and learning…
We consider a heterogeneous agent-based economic model where economic agents have strictly bounded rationality and where income allocation strategies evolve through selective imitation. Income is calculated by a Cobb-Douglas type production…
I examine global recessions as a cascade phenomenon. In other words, how recessions arising in one or more countries might percolate across a network of connected economies. A heterogeneous agent based model is set up in which the agents…
We derive a class of multi-species aggregation-diffusion systems from stochastic interacting particle systems via relative entropy method with quantitative bounds. We show an algebraic $L^1$-convergence result using moderately interacting…
We consider an agent who has access to a financial market, including derivative contracts, who looks to maximise her utility. Whilst the agent looks to maximise utility over one probability measure, or class of probability measures, she…
In this work, we modify the affine wealth model of wealth distributions to examine the effects of nonconstant redistribution on the very wealthy. Previous studies of this model, restricted to flat redistribution schemes, have demonstrated…
Large scale multiagent systems must rely on distributed decision making, as centralized coordination is either impractical or impossible. Recent works approach this problem under a game theoretic lens, whereby utility functions are assigned…
I examine global dynamics in a monetary model with overlapping generations of finite-horizon agents and a binding lower bound on nominal interest rates. Debt targeting rules exacerbate the possibility of self-fulfilling liquidity traps, for…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
A common economic process is crowdsearch, wherein a group of agents is invited to search for a valuable physical or virtual object, e.g. creating and patenting an invention, solving an open scientific problem, or identifying vulnerabilities…
In this communication, complex systems with a near trivial dynamics are addressed. First, under the hypothesis of equiprobability in the asymptotic equilibrium, it is shown that the (hyper) planar geometry of an $N$-dimensional multi-agent…
Although exploration in reinforcement learning is well understood from a theoretical point of view, provably correct methods remain impractical. In this paper we study the interplay between exploration and approximation, what we call…
Approximate Bayesian inference on the basis of summary statistics is well-suited to complex problems for which the likelihood is either mathematically or computationally intractable. However the methods that use rejection suffer from the…
These notes discuss several topics in neoclassical economics and alternatives, with an aim of reviewing fundamental issues in modeling economic markets. I start with a brief, non-rigorous summary of the basic Arrow-Debreu model of general…
We study the role of imitation within a model of economics with adaptive agents. The basic ingredients are those of the Minority Game. We add the possibility of local information exchange and imitation of the neighbour's strategy. Imitators…