Related papers: A representative agent model based on risk-neutral…
We study the critical behavior of a noisy kinetic opinion model subject to resilience to change depending on aging, defined as the time spent on the current opinion state. In this model, the opinion of each agent can take the three discrete…
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 investigate asymmetry of information in the context of robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock prices and another with some additional information, and…
This paper presents a simple agent-based model of an economic system, populated by agents playing different games according to their different view about social cohesion and tax payment. After a first set of simulations, correctly…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
A key challenge in agent-based mobility simulations is the synthesis of individual agent socioeconomic profiles. Such profiles include locations of agent activities, which dictate the quality of the simulated travel patterns. These…
We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The…
The emerging "agentic web" envisions large populations of autonomous agents coordinating, transacting, and delegating across open networks. Yet many agent communication and commerce protocols treat agents as low-cost identities, despite the…
We address the problem of a participatory decision-making process where a shared priority list of alternatives has to be obtained while avoiding inconsistent decisions. An agent-based model (ABM) is proposed to mimic this process in…
I describe a method for estimating agents' perceived returns to investments that relies on cross-sectional data containing binary choices and prices, where prices may be imperfectly known to agents. This method identifies the scale of…
The performance of an energy system under a real-time pricing mechanism depends on the consumption behavior of its customers, which involves uncertainties. In this paper, we consider a system operator that charges its customers with a…
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price…
We study the modelling and valuation of surrender and other behavioural options in life insurance and pension. We place ourselves in between the two extremes of completely arbitrary intervention and optimal intervention by the policyholder.…
We study a dynamic non-bipartite matching problem. There is a fixed set of agent types, and agents of a given type arrive and depart according to type-specific Poisson processes. Agent departures are not announced in advance. The value of a…
An agent chooses an action based on her private information and a recommendation from an informed but potentially misaligned adviser. With a known probability, the adviser truthfully reports his signal; with the remaining probability, he…
This paper investigates the process of knowledge exchange in inter-firm Research and Development (R&D) alliances by means of an agent-based model. Extant research has pointed out that firms select alliance partners considering both…
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…
We study an interacting agent model of a game-theoretical economy. The agents play a minority-subsequently-majority game and they learn, using backpropagation networks, to obtain higher payoffs. We study the relevance of heterogeneity to…
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not…
We study random joint choice rules, allowing for interdependence of choice across agents. These capture random choice by multiple agents, or a single agent across goods or time periods. Our interest is in separable choice rules, where each…