Related papers: Structural Estimation of Behavioral Heterogeneity
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for the price of an asset based on Hawkes processes. We encode in…
Statistical and structural modeling represent two distinct approaches to data analysis. In this paper, we propose a set of novel methods for combining statistical and structural models for improved prediction and causal inference. Our first…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
A broad current application of algorithms is in formal and quantitative measures of murky concepts -- like merit -- to make decisions. When people strategically respond to these sorts of evaluations in order to gain favorable decision…
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…
We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the…
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market booms and crashes and the role of…
We propose a projected gradient dynamical system as a model for a bargaining scheme for an asset for which the two interested agents have personal valuations which do not initially coincide. The personal valuations are formed using…
Natural and artificial collectives exhibit heterogeneities across different dimensions, contributing to the complexity of their behavior. We investigate the effect of two such heterogeneities on collective opinion dynamics: heterogeneity of…
In this work we propose a novel approach for modeling spatio-temporal data characterized by group structures. In particular, we extend classical mixed effect regression models by introducing a space-time nonparametric component, regularized…
Opinions and beliefs determine the evolution of social systems. This is of particular interest in finance, as the increasing complexity of financial systems is coupled with information overload. Opinion formation, therefore, is not always…
We study the interaction between strategy, heterogeneity and growth in a two-agent model of capital accumulation. Preferences are represented by recursive utility functions with decreasing marginal impatience. The stationary equilibria of…
We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in their beliefs concerning the economy, information and…
In market modeling, one often treats buyers as a homogeneous group. In this paper we consider buyers with heterogeneous preferences and products available in many variants. Such a framework allows us to successfully model various market…
Strategy evaluation schemes are a crucial factor in any agent-based market model, as they determine the agents' strategy preferences and consequently their behavioral pattern. This study investigates how the strategy evaluation schemes…
This paper considers a statistical signal processing problem involving agent based models of financial markets which at a micro-level are driven by socially aware and risk- averse trading agents. These agents trade (buy or sell) stocks by…
Modelling agent preferences has applications in a range of fields including economics and increasingly, artificial intelligence. These preferences are not always known and thus may need to be estimated from observed behavior, in which case…
The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of…
We introduce Spatio-Temporal Momentum strategies, a class of models that unify both time-series and cross-sectional momentum strategies by trading assets based on their cross-sectional momentum features over time. While both time-series and…
We propose a three-state microscopic opinion formation model for the purpose of simulating the dynamics of financial markets. In order to mimic the heterogeneous composition of the mass of investors in a market, the agent-based model…