Related papers: A representative agent model based on risk-neutral…
We provide an axiomatic foundation for the representation of num\'{e}raire-invariant preferences of economic agents acting in a financial market. In a static environment, the simple axioms turn out to be equivalent to the following choice…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
The quintessential model-based reinforcement-learning agent iteratively refines its estimates or prior beliefs about the true underlying model of the environment. Recent empirical successes in model-based reinforcement learning with…
We explore the connection between an agent's decision problem and her ranking of information structures. We find that a finite amount of ordinal data on the agent's ranking of experiments is enough to identify her (finite) set of…
We investigate knowledge exchange among commercial organisations, the rationale behind it and its effects on the market. Knowledge exchange is known to be beneficial for industry, but in order to explain it, authors have used high level…
To successfully navigate its environment, an agent must construct and maintain representations of the other agents that it encounters. Such representations are useful for many tasks, but they are not without cost. As a result, agents must…
This paper presents an agent-oriented approach to build a decision support system aimed at helping emergency managers to detect and to manage risks. We stress the flexibility and the adaptivity characteristics that are crucial to build a…
This paper investigates the social optimality of linear quadratic mean field control systems with unmodeled dynamics. The objective of agents is to optimize the social cost, which is the sum of costs of all agents. By variational analysis…
Autonomous agents represent an inevitable evolution of the internet. Current agent frameworks do not embed a standard protocol for agent-to-agent interaction, leaving existing agents isolated from their peers. As intellectual property is…
We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach that yields regularity of the value function and closed form…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…
We propose a dynamic model of a prediction market in which agents predict the values of a sequence of random vectors. The main result shows that if there are agents who make correct (or asymptotically correct) next-period forecasts, then…
We present a framework for analysing agent incentives using causal influence diagrams. We establish that a well-known criterion for value of information is complete. We propose a new graphical criterion for value of control, establishing…
We study hidden-action principal-agent problems with multiple agents. These are problems in which a principal commits to an outcome-dependent payment scheme in order to incentivize some agents to take costly, unobservable actions that lead…
We study a variant of the principal-agent problem in which the principal does not directly observe the agent's effort outcome; rather, she gets a signal about the agent's action according to a variable information structure designed by a…
Collective adaptation, whether in innovation adoption, pro-environmental or organizational change, emerges from the interplay between individual decisions and social influence. Agent-based modeling provides a useful tool for studying such…
Online double auctions (DAs) model a dynamic two-sided matching problem with private information and self-interest, and are relevant for dynamic resource and task allocation problems. We present a general method to design truthful DAs, such…
Stock correlations is crucial to asset pricing, investor decision-making, and financial risk regulations. However, microscopic explanation based on agent-based modeling is still lacking. We here propose a model derived from minority game…
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…