Related papers: Structural Estimation of Behavioral Heterogeneity
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
We propose a robust method of discrete choice analysis when agents' choice sets are unobserved. Our core model assumes nothing about agents' choice sets apart from their minimum size. Importantly, it leaves unrestricted the dependence,…
Heterogeneity is one important feature of complex systems, leading to the complexity of their construction and analysis. Moving the heterogeneity at model level helps in mastering the difficulty of composing heterogeneous models which…
Most distributed sensing methods assume that the expected value of sensed information is same for all agents ignoring differences in sensor capabilities due to, for example, environmental factors and sensors quality and condition. In this…
The methodology presented provides a quantitative way to characterize investor behavior and price dynamics within a particular asset class and time period. The methodology is applied to a data set consisting of over 250,000 data points of…
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing…
Urban housing markets, along with markets of other assets, universally exhibit periods of strong price increases followed by sharp corrections. The mechanisms generating such non-linearities are not yet well understood. We develop an…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
Particle dynamics and multi-agent systems provide accurate dynamical models for studying and forecasting the behavior of complex interacting systems. They often take the form of a high-dimensional system of differential equations…
Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…
We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…
We study scenarios where multiple sellers of a homogeneous good compete on prices, where each seller can only sell to some subset of the buyers. Crucially, sellers cannot price-discriminate between buyers. We model the structure of the…
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the price dynamics of traded securities one needs to solve a…
Methods for detecting structural changes, or change points, in time series data are widely used in many fields of science and engineering. This chapter sketches some basic methods for the analysis of structural changes in time series data.…
We consider several estimation and learning problems that networked agents face when making decisions given their uncertainty about an unknown variable. Our methods are designed to efficiently deal with heterogeneity in both size and…
We present a dynamical model for the price evolution of financial assets. The model is based in a two level structure. In the first stage one finds an agent-based model that describes the present state of the investors' beliefs,…
In this paper, we conduct a simulation study with subject-level data to evaluate conventional meta-regression approaches (study-level random, fixed, and mixed effects) against seven methodology specifications new to meta-regressions that…
We provide simple models for the utility function (or psychology) of an actor trading a multitude of goods for money. In this framework, money has no intrinsic consumption value, but is required as a medium of exchange. A collection of such…