Related papers: Heterogeneity and the Dynamic Effects of Aggregate…
Do firm dynamics matter for the transmission of monetary policy? Empirically, the startup rate declines following a monetary contraction, while the exit rate increases, both of which reduce aggregate employment. I present a model that…
We discuss the influence of information contagion on the dynamics of choices in social networks of heterogeneous buyers. Starting from an inhomogeneous cellular automata model of buyers dynamics, we show that when agents try to adjust their…
We study how a behavior (an idea, buying a product, having a disease, adopting a cultural fad or a technology) spreads among agents in an a social network that exhibits segregation or homophily (the tendency of agents to associate with…
We model flow and transport in three-dimensional fracture networks with varying degrees of fracture-to-fracture aperture/permeability heterogeneity and network density to show how changes in these properties can cause the emergence of…
The relationship between division of labor and individuals' spatial behavior in social insect colonies provides a useful context to study how social interactions influence the spreading of agent (which could be information or virus) across…
One of the most important empirical findings in microeconometrics is the pervasiveness of heterogeneity in economic behaviour (cf. Heckman 2001). This paper shows that cumulative distribution functions and quantiles of the nonparametric…
This paper investigates how similarity in the informational representation of market states among Artificial Intelligence (AI) trading agents can generate systemic instability in financial markets. We construct a structural multi-agent…
Heterogeneous treatment effects are of major interest in economics. For example, a poverty reduction measure would be best evaluated by its effects on those who would be poor in the absence of the treatment, or by the share among the poor…
We present an approach to estimate distance-dependent heterogeneous associations between point-referenced exposures to built environment characteristics and health outcomes. By estimating associations that depend non-linearly on distance…
We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a…
A broad set of empirical phenomenon in the study of social, economic and machine behaviour can be modelled as complex systems with averaging dynamics. However many of these models naturally result in consensus or consensus-like outcomes. In…
In this paper I show how the statistics of the gravitational field is changed when the system is characterized by a non-uniform distribution of particles. I show how the distribution functions W(dF/dt) giving the joint probability that a…
This paper consider a highly general dissemination model that keeps track of the stochastic evolution of the distribution of wealth over a set of agents. There are two types of events: (i) units of wealth externally arrive, and (ii) units…
Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping…
We review the statistical mechanics approach to the study of the emerging collective behavior of systems of heterogeneous interacting agents. The general framework is presented through examples is such contexts as ecosystem dynamics and…
Standard high-dimensional factor models assume that the comovements in a large set of variables could be modeled using a small number of latent factors that affect all variables. In many relevant applications in economics and finance,…
Understanding how market participants react to shocks like scheduled macroeconomic news is crucial for both traders and policymakers. We develop a calibrated data generation process DGP that embeds four stylized trader archetypes retail,…
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes…
How do macro-financial shocks affect investor behavior and market dynamics? Recent evidence on experience effects suggests a long-lasting influence of personally experienced outcomes on investor beliefs and investment, but also significant…
The damage and fracture of materials are technologically of enormous interest due to their economic and human cost. They cover a wide range of phenomena like e.g. cracking of glass, aging of concrete, the failure of fiber networks in the…