Related papers: A representative agent model based on risk-neutral…
The price of a stock will rarely follow the assumed model and a curious investor or a Regulatory Authority may wish to obtain a probability model the prices support. A risk neutral probability ${\cal P}^*$ for the stock's price at time $T$…
In this paper, we consider the revealed preferences problem from a learning perspective. Every day, a price vector and a budget is drawn from an unknown distribution, and a rational agent buys his most preferred bundle according to some…
We consider an unsupervised classifying agent that evolves by enforcing self-consistency of its labels under continual exposure to a data-generating environment. Because the agent's predictions feed back into its own regularized updates,…
This essay discusses the advantages of a probabilistic agent-based approach to questions in theoretical economics, from the nature of economic agents, to the nature of the equilibria supported by their interactions. One idea we propose is…
We take the position that agent security must be approached as a systems problem: the AI model powering the agent must be treated as an untrusted component, and security invariants must be enforced at the system level. Through this lens,…
Modeling agent behavior is central to understanding the emergence of complex phenomena in multiagent systems. Prior work in agent modeling has largely been task-specific and driven by hand-engineering domain-specific prior knowledge. We…
In the paper, the model of the society represented by a social network and the model of a multi-agent system built on the basis of this, is presented. The particular aim of the system is to predict the evolution of a society and an analysis…
We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers…
We propose a simple market model where agents trade different types of products with each other by using money, relying only on local information. Value fluctuations of single products, combined with the condition of maximum profit in…
We study the power of (competitive) algorithms with predictions in a multiagent setting. We introduce a two predictor framework, that assumes that agents use one predictor for their future (self) behavior, and one for the behavior of the…
We study sequences, parametrized by the number of agents, of many agent exit time stochastic control problems with risk-sensitive cost structure. We identify a fully characterizing assumption, under which each of such control problem…
The cooperation mechanism of indirect reciprocity has been studied by making multiple variations of its parts. This research proposes a new variant of Nowak and Sigmund model, focused on agents' attitude; it is called Individualistic…
We use a principal-agent model to analyze the structure of a book-driven dealer market when the dealer faces competition from a crossing network or dark pool. The agents are privately informed about their types (e.g. their portfolios),…
We propose a Fundamental Theorem of Asset Pricing and a Super-Replication Theorem in a model-independent framework. We prove these theorems in the setting of finite, discrete time and a market consisting of a risky asset S as well as…
On a capital market the social group is formed from traders. Individual behaviour of agents is influenced by the need to associate with other agents and to obtain the approval of other agents in the group. Making decisions an individual…
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…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She…
We consider the fundamental scenario where a single item is to be sold to one of two agents. Both agents draw their valuation for the item from the same probability distribution. However, only one of them submits a bid to the mechanism. The…
Autonomous intelligent agent research is a domain situated at the forefront of artificial intelligence. Interest-based negotiation (IBN) is a form of negotiation in which agents exchange information about their underlying goals, with a view…