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Flocculation is the process whereby particles (i.e., flocs) in suspension reversibly combine and separate. The process is widespread in soft matter and aerosol physics as well as environmental science and engineering. We consider a general…
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…
The paper treats an agent-based model with averaging dynamics to which we refer as the K-averaging model. Broadly speaking, our model can be added to the growing list of dynamics exhibiting self-organization such as the well-known…
We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables $\{w_{ij}\}$ describing the…
We investigate propagation of perturbations of equilibrium states for a wide class of 1D interacting particle systems. The class of systems considered incorporates zero range, $K$-exclusion, mysanthropic, `bricklayers' models, and much…
We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…
This paper develops a general causal inference method for treatment effects models with noisily measured confounders. The key feature is that a large set of noisy measurements are linked with the underlying latent confounders through an…
An agent-based model of the economy is generalized to incorporate investment and guaranteed income mechanisms in addition to the exchange and distribution mechanisms considered in earlier models. We find realistic wealth distributions and…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provide realistic simulated price impact curves. This is possible…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous…
Finite-player dynamic games with dispersed private information are difficult because actions both move payoffs and reshape what opponents learn, generating hierarchies of beliefs about beliefs. This paper provides a recursive representation…
The Macroscopic Fluctuating Theory is presented from a practical and self consistent point of view. We take as starting point the assumption that a system at a mesoscopic scale is described by a field $\phi(x,t)$ that evolves by a Langevin…
Departing from the dominant approach focused on individual and meso-level determinants, this paper develops a macroeconomic formalization of job insecurity within a New Keynesian framework in which the standard IS-NKPC-Taylor rule block is…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
We analyze a proprietary dataset of trades by a single asset manager, comparing their price impact with that of the trades of the rest of the market. In the context of a linear propagator model we find no significant difference between the…
In this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize…