Related papers: A representative agent model based on risk-neutral…
In the context of Risk Neutral Pricing theory, we consider the classic problem of calibrating a martingale over $\mathbb{R}^n$ to a finite number of marginals thereof, or more practically, to prices of an arbitrary finite set of (joint)…
We study a problem where a group of agents has to decide how some fixed value should be shared among them. We are interested in settings where the share that each agent receives is based on how that agent is evaluated by other members of…
This methods article concerns analysing data generated from running experiments on agent based models to study industries and organisations. It demonstrates that when researchers study virtual ecologies they can and should discard…
We introduce an agent-based model of interaction, drawing on the contingency approach from Luhmann's theory of social systems. The agent interactions are defined by the exchange of distinct messages. Message selection is based on the…
We introduce an agent-based model of delegation relationships between a principal and an agent, which is based on the standard-hidden action model introduced by Holmstr\"om and, by doing so, provide a model which can be used to further…
The increasing difficulties in financing the welfare state and in particular public retirement pensions have been one of the outcomes both of the decrease of fertility and birth rates combined with the increase of life expectancy. The…
This paper considers the problem of shaping agent utility functions in a transactive energy system to ensure the optimal energy price at a competitive equilibrium is always socially acceptable, that is, below a prescribed threshold. Agents…
Making a decision in a changeable and dynamic environment is an arduous task owing to the lack of information, their uncertainties and the unawareness of planners about the future evolution of incidents. The use of a decision support system…
This paper studies decentralized risk-sharing on networks. In particular, we consider a model where agents are nodes in a given network structure. Agents directly connected by edges in the network are referred to as friends. We study…
A principal hires an agent to acquire soft information about an unknown state. Even though neither how the agent learns nor what the agent discovers are contractible, we show the principal is unconstrained as to what information the agent…
Indirect competition emerged from the complex organization of human societies, and knowledge of the existing network topology may aid in developing effective strategies for success. Here, we propose an agent-based model of competition with…
I study a principal-agent model in which a principal hires an agent to collect information about an unknown continuous state. The agent acquires a signal whose distribution is centered around the state, controlling the signal's precision at…
We investigate a pricing rule that is applicable for streams of income or contingent claim liabilities and study how this rule changes under additional insider-type information that an investor might obtain. Considering a model where the…
The standard asset pricing models (the CCAPM and the Epstein-Zin non-expected utility model) counterintuitively predict that equilibrium asset prices can rise if the representative agent's risk aversion increases. If the income effect,…
In this paper, we present a data-driven ensemble approach for option price prediction whose derivation is based on the no-arbitrage theory of option pricing. Using the theoretical treatment, we derive a common representation space for…
We study a dynamical Ising model of agents' opinions (buy or sell) with coupling coefficients reassessed continuously in time according to how past external news (magnetic field) have explained realized market returns. By combining herding,…
We consider a data analyst's problem of purchasing data from strategic agents to compute an unbiased estimate of a statistic of interest. Agents incur private costs to reveal their data and the costs can be arbitrarily correlated with their…
Based on the observation that many existing discrete choice models admit a welfare function of utilities whose gradient gives the choice probability vector, we propose a new representation of discrete choice model which we call the…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
Research on the so-called "free-energy principle'' (FEP) in cognitive neuroscience is becoming increasingly high-profile. To date, introductions to this theory have proved difficult for many readers to follow, but it depends mainly upon two…