Related papers: A Stationary Kyle Setup: Microfounding propagator …
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 propose a new estimator of high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure from noisy and asynchronous high-frequency data collected for an ultra-large number of assets. The noise processes are…
We introduce a class of Kac-like kinetic equations on the real line, with general random collisional rules, which include as particular cases models for wealth redistribution in an agent-based market or models for granular gases with a…
We investigate coarse equilibrium states of a fine-scale, stochastic agent-based model of consumer lock-in in a duopolistic market. In the model, agents decide on their next purchase based on a combination of their personal preference and…
We propose a machine learning method to solve a mean-field game price formation model with common noise. This involves determining the price of a commodity traded among rational agents subject to a market clearing condition imposed by…
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…
We introduce and study a class of models of free fermions hopping between neighbouring sites with random Brownian amplitudes. These simple models describe stochastic, diffusive, quantum, unitary dynamics. We focus on periodic boundary…
Gaussian macroscopic fluctuation theory underpins the understanding of noise in a broad class of nonequilibrium systems. We derive exact fluctuation-response relations linking the power spectral density of stationary fluctuations to the…
We analyze a simple macroeconomic model where rational inflation expectations is replaced by a boundedly rational, and genuinely sticky, response to changes in the actual inflation rate. The stickiness is introduced in a novel way using a…
Motivated by various distributed control applications, we consider a linear system with Gaussian noise observed by multiple sensors which transmit measurements over a dynamic lossy network. We characterize the stationary optimal sensor…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
We introduce a model of dynamic matching with transferable utility, extending the static model of Shapley and Shubik (1971). Forward-looking agents have individual states that evolve with current matches. Each period, a matching market with…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
Stationary solutions to a Fokker-Planck equation corresponding to a noisy logistic equation with correlated Gaussian white noises are constructed. Stationary distributions exist even if the corresponding deterministic system displays an…
We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/ excited two state system…
We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism.…
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is…
We formulate a dynamical fluctuation theory for stationary non equilibrium states (SNS) which is tested explicitly in stochastic models of interacting particles. In our theory a crucial role is played by the time reversed dynamics. Within…
Under natural assumptions, an unstable equilibrium of a difference equation can be stabilized by a bounded multiplicative noise, identically distributed at each step. This includes stabilization of an otherwise unstable positive equilibrium…
The problem of remotely stabilizing a noisy linear time invariant plant over a Gaussian relay network is addressed. The network is comprised of a sensor node, a group of relay nodes and a remote controller. The sensor and the relay nodes…