Related papers: A Model for Tax Evasion with Some Realistic Proper…
Agent-based models are a natural choice for modeling complex social systems. In such models simple stochastic interaction rules for a large population of individuals can lead to emergent dynamics on the macroscopic scale, for instance a…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
We propose a set of conservative models in which agents exchange wealth with a preference in the choice of interacting agents in different ways. The common feature in all the models is that the temporary values of financial status of agents…
We consider piecewise linear discrete time macroeconomic models, which possess a continuum of equilibrium states. These systems are obtained by replacing rational inflation expectations with a boundedly rational, and genuinely sticky,…
In this paper we propose a new way of proving the value of a firm that is currently producing a certain product and faces the option to exit the market. The problem of optimal exiting is an optimal stopping problem, that can be solved using…
Recently a path integral formalism has been proposed by the author which gives the time evolution of moments of slow variables in a Hamiltonian statistical system. This closure relies on evaluating the informational discrepancy of a time…
We consider a game-theoretic model where individuals compete over a shared failure-prone system or resource. We investigate the effectiveness of a taxation mechanism in controlling the utilization of the resource at the Nash equilibrium…
The problem of noise-induced escape from a metastable state arises in physics, chemistry, biology, systems engineering, and other areas. The problem is well understood when the underlying dynamics of the system obey detailed balance. When…
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…
Dynamic factor models have a wide range of applications in econometrics and applied economics. The basic motivation resides in their capability of reducing a large set of time series to only few indicators (factors). If the number of time…
Present bias, the tendency to overvalue immediate rewards while undervaluing future ones, is a well-known barrier to achieving long-term goals. As artificial intelligence and behavioral economics increasingly focus on this phenomenon, the…
Exponential distribution is ubiquitous in the framework of multi-agent systems. An alternative approach with an economic motivation to derive the exponential distribution in the framework of iterations in the space of distributions is…
In this paper a stability analysis for a Cournot duopoly model with tax evasion and time-delay in a continuous-time framework is presented. The mathematical model under consideration follows a gradient dynamics approach, is nonlinear and…
Following the paradigm set by attraction-repulsion-alignment schemes, a myriad of individual based models have been proposed to calculate the evolution of abstract agents. While the emergent features of many agent systems have been…
This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…
We consider a piecewise linear two-dimensional dynamical system that couples a linear equation with the so-called stop operator. Global dynamics and bifurcations of this system are studied depending on two parameters. The system is…
The abstraction of dynamical systems is a powerful tool that enables the design of feedback controllers using a correct-by-design framework. We investigate a novel scheme to obtain data-driven abstractions of discrete-time stochastic…
This work is the first attempt to treat partial differential equations with discrete (concentrated) state-dependent delay. The main idea is to approximate the discrete delay term by a sequence of distributed delay terms (all with…
This paper presents a dynamic model to study the impact on the economic outcomes in different societies during the Malthusian Era of individualism (time spent working alone) and collectivism (complementary time spent working with others).…
Empirical research often cites observed choice responses to variation that shifts expected discounted future utilities, but not current utilities, as an intuitive source of information on time preferences. We study the identification of…