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When fitting a particular Economic model on a sample of data, the model may turn out to be heavily misspecified for some observations. This can happen because of unmodelled idiosyncratic events, such as an abrupt but short-lived change in…
The ability to uncover preferences from choices is fundamental for both positive economics and welfare analysis. Overwhelming evidence shows that choice is stochastic, which has given rise to random utility models as the dominant paradigm…
We address the output regulation problem of linear systems with non-smooth and non-periodic exogenous signals. Specifically, we first formulate and solve the full-information problem by designing a state-feedback controller. We study the…
Spatio-temporal (ST) forecasting is critical for dynamic systems, yet existing methods predominantly rely on modeling a limited set of observed target variables. In this paper, we present the first systematic exploration of exogenous…
In this work, we present a continuous-time large-population game for modeling market microstructure betweentwo consecutive trades. The proposed modeling framework is inspired by our previous work [23]. In this framework, the Limit Order…
We study randomized experiments in a service system when stochastic congestion can arise from temporarily limited supply or excess demand. Such congestion gives rise to cross-unit interference between the waiting customers, and analytic…
We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling…
Rational pure bubble models feature multiple (and often a continuum of) equilibria, which makes model predictions and policy analyses non-robust. We show that when the interest rate in the fundamental equilibrium is below the economic…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…
We consider a stochastic version of an excitable system based on the Morris-Lecar model of a neuron, in which the noise originates from stochastic Sodium and Potassium ion channels opening and closing. One can analyze neural excitability in…
A general information equilibrium model in the case of ideal information transfer is defined and then used to derive the relationship between supply (information destination) and demand (information source) with the price as the detector of…
When reasoning about strategic behavior in a machine learning context it is tempting to combine standard microfoundations of rational agents with the statistical decision theory underlying classification. In this work, we argue that a…
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…
Robustness is a basic property of any control system. In the context of linear output regulation, it was proved that embedding an internal model of the exogenous signals is necessary and sufficient to achieve tracking of the desired…
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…
The study of biochemical pathways usually focuses on a small section of a protein interactions network. Two distinct sources contribute to the noise in such a system: intrinsic noise, inherent in the studied reactions, and extrinsic noise…
An extension of the Standard Model with three right-handed neutrinos and a simple invisible axion model can account for all experimentally confirmed signals of new physics (neutrino oscillations, dark matter and baryon asymmetry) in…
Stochastic resetting breaks detailed balance and drives the formation of nonequilibrium steady states . Here, we consider a chain of diffusive processes $x_i(t)$ that interact unilaterally: at random time intervals, the process $x_n$…
We introduce a heterogeneous formulation of a contagious McKean-Vlasov system, whose inherent heterogeneity comes from asymmetric interactions with a natural and highly tractable structure. It is shown that this formulation characterises…