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Modeling social interactions based on individual behavior has always been an area of interest, but prior literature generally presumes rational behavior. Thus, such models may miss out on capturing the effects of biases humans are…
This paper assesses the link between central bank's policy rate, inflation rate and output gap through Taylor rule equation in both United States and United Kingdom from 1990 to 2020. Also, it analyses the relationship between monetary…
In recent years, numerous studies have focused on the mathematical modeling of social dynamics, with self-organization, i.e., the autonomous pattern formation, as the main driving concept. Usually, first or second order models are employed…
A numerical agent-based spin model of financial markets, based on the Potts model from statistical mechanics, with a novel interpretation of the spin variable (as regards financial-market models) is presented. In this model, a value of the…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
The current economic crisis has provoked an active response from the interdisciplinary scientific community. As a result many papers suggesting what can be improved in understanding of the complex socio-economics systems were published.…
A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own…
We consider a two-sided singular stochastic control problem with a risk-sensitive ergodic criterion. In particular, we consider a stochastic system whose uncontrolled dynamics are modelled by a linear diffusion. The control that can be…
In light of the growing interest in agent-based market models, we bring together several earlier works in which we considered the topic of self-consistent market modelling. Building upon the binary game structure of Challet and Zhang, we…
We study a dynamic matching problem on a two-sided platform with unbalanced patience, in which long-lived supply accumulates over time with a unit waiting cost per period, while short-lived demand departs if not matched promptly. High- or…
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
The large hierarchy between the Planck scale and the weak scale can be explained by the dynamical breaking of supersymmetry in strongly coupled gauge theories. Similarly, the hierarchy between the Planck scale and the energy scale of…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
This paper introduces a novel concept for addressing non-convexity in the cost functions of distributed economic model predictive control (DEMPC) systems. Specifically, the proposed algorithm enables agents to self-organize into a hierarchy…
If we could define the set of all bad outcomes, we could hard-code an agent which avoids them; however, in sufficiently complex environments, this is infeasible. We do not know of any general-purpose approaches in the literature to avoiding…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
Many countries have adopted negative interest rate policies with tiering remuneration, which allows for exemption from negative rates. This practice has led to higher interbank trading volumes, with market rates ranging between zero and the…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…
This article proposes a fundamental methodological shift in the modelling of policy interventions for sustainability transitions in order to account for complexity (e.g. self-reinforcing mechanism arising from multi-agent interactions) and…
We initiate the study of deep learning for the automated design of two-sided matching mechanisms. What is of most interest is to use machine learning to understand the possibility of new tradeoffs between strategy-proofness and stability.…