Related papers: Markets, herding and response to external informat…
We present a dynamical model for the price evolution of financial assets. The model is based in a two level structure. In the first stage one finds an agent-based model that describes the present state of the investors' beliefs,…
In this work, we consider a multi-population system where the dynamics of each agent evolve according to a system of stochastic differential equations in a general functional setup, determined by the global state of the system. Each agent…
We compare how well agents aggregate information in two repeated social learning environments. In the first setting agents have access to a public data set. In the second they have access to the same data, and also to the past actions of…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt…
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…
We study a system in which N agents have to decide between two strategies \theta_i (i \in 1... N), for defection or cooperation, when interacting with other n agents (either spatial neighbors or randomly chosen ones). After each round, they…
The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…
Cross-group externalities and network effects in two-sided platform markets shape market structure and competition policy, and are the subject of extensive study. Less understood are the within-group externalities that arise when the…
Here we study the emergence of spontaneous leadership in large populations. In standard models of opinion dynamics, herding behavior is only obeyed at the local scale due to the interaction of single agents with their neighbors; while at…
We study a setting where Bayesian agents with a common prior have private information related to an event's outcome and sequentially make public announcements relating to their information. Our main result shows that when agents' private…
Macroeconomic fluctuations and the narratives that shape them form a mutually reinforcing cycle: public discourse can spur behavioural changes leading to economic shifts, which then result in changes in the stories that propagate. We show…
Electronic trading markets have evolved rapidly with continued adoption of new technologies and growing in-formation acquisition and processing capabilities. Traditional perspectives on trading performance adopted a mono-lithic view of…
We propose a stochastic model of interactive formation of individual expectations regarding the business climate in an industry. Our model is motivated by a business climate survey cond ucted since 1960 in Germany by the Ifo-institute…
Public opinion is subject to peer interaction via social networks and external pressure from the media, advertising, and other actors. In this paper, we study the interaction between external and peer influence on the stochastic opinion…
In this paper, we analyze the behavior of a multi-agent system driven by the interactions of agents within a competitive environment. To achieve this, we describe the transition probabilities that underlie the system's stochastic nature. We…
This paper considers the problem of steering the aggregative behavior of a population of noncooperative price-taking agents towards a desired behavior. Different from conventional pricing schemes where the price is fully available for…
We study a dynamic stopping game between a principal and an agent. The agent is privately informed about his type. The principal learns about the agent's type from a noisy performance measure, which can be manipulated by the agent via a…
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with…
In this work we study an economic agent based model under different asymmetric information degrees. This model is quite simple and can be treated analytically since the buyers evaluate the quality of a certain good taking into account only…