Related papers: A representative agent model based on risk-neutral…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
In this article, an agent-based negotiation model for negotiation teams that negotiate a deal with an opponent is presented. Agent-based negotiation teams are groups of agents that join together as a single negotiation party because they…
We provide sufficient conditions for semi-nonparametric point identification of a mixture model of decision making under risk, when agents make choices in multiple lines of insurance coverage (contexts) by purchasing a bundle. As a first…
The revenue optimal mechanism for selling a single item to agents with independent but non-identically distributed values is complex for agents with linear utility (Myerson,1981) and has no closed-form characterization for agents with…
We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by…
This paper explores the utility of agent-based simulations in realistically modelling market structures and sheds light on the nuances of optimal dealer strategies. It underscores the contrast between conclusions drawn from probabilistic…
A multi-level model of opinion formation is presented which takes into account that attitudes on different issues are usually not independent. In the model, agents exchange beliefs regarding a series of facts. A cognitive structure of…
Most work in mechanism design assumes that buyers are risk neutral; some considers risk aversion arising due to a non-linear utility for money. Yet behavioral studies have established that real agents exhibit risk attitudes which cannot be…
We present an agent behavior based microscopic model for diffusion price processes. As such we provide a model not only containing a convenient framework for describing socio-economic behavior, but also a sophisticated link to price…
The reproduction of realistic dynamics in financial markets is of great significance, as it enhances our understanding of market evolution beyond other physical processes, and facilitates the development and backtesting of investment…
We consider a multi-agent delegation mechanism without money. In our model, given a set of agents, each agent has a fixed number of solutions which is exogenous to the mechanism, and privately sends a signal, e.g., a subset of solutions, to…
Moral Foundation Theory states that groups of different observers may rely on partially dissimilar sets of moral foundations, thereby reaching different moral valuations. The use of functional imaging techniques has revealed a spectrum of…
We describe a bottom-up framework, based on the identification of appropriate order parameters and determination of phase diagrams, for understanding progressively refined agent-based models and simulations of financial markets. We…
This paper develops a new approach for estimating an interpretable, relational model of a black-box autonomous agent that can plan and act. Our main contributions are a new paradigm for estimating such models using a minimal query interface…
We consider dominant strategy implementation in private values settings, when agents have multi-dimensional types, the set of alternatives is finite, monetary transfers are allowed, and agents have quasi-linear utilities. We show that any…
In this paper, we provide a model-independent extension of the paradigm of dynamic hedging of derivative claims. We relate model-independent replication strategies to local martingales having a closed form which we can characterise via…
We derive behavioral finance option pricing formulas consistent with the rational dynamic asset pricing theory. In the existing behavioral finance option pricing formulas, the price process of the representative agent is not a…
We present a simple model of a non-equilibrium self-organizing market where asset prices are partially driven by investment decisions of a bounded-rational agent. The agent acts in a stochastic market environment driven by various exogenous…
We study principal-agent problems in which a principal commits to an outcome-dependent payment scheme (a.k.a. contract) so as to induce an agent to take a costly, unobservable action. We relax the assumption that the principal perfectly…
Traditional economic models typically treat private information, or signals, as generated from some underlying state. Recent work has explicated alternative models, where signals correspond to interpretations of available information. We…