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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…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
General equilibrium is the dominant theoretical framework for economic policy analysis at the level of the whole economy. In practice, general equilibrium treats economies as being always in equilibrium, albeit in a sequence of equilibria…
Quasi-equilibrium models for aggregate variables are widely-used throughout finance and economics. The validity of such models depends crucially upon assuming that the systems' participants behave both independently and in a Markovian…
This paper studies the economic role of persistent dispersion in allocations across agents. We develop a tractable model in which firms allocate resources under imperfect information and behavioral updating, generating sustained…
This paper studies the Glosten Milgrom model whose risky asset value admits an arbitrary discrete distribution. Contrast to existing results on insider's models, the insider's optimal strategy in this model, if exists, is not of feedback…
For a general class of diffusion processes with multiplicative noise, describing a variety of physical as well as financial phenomena, mostly typical of complex systems, we obtain the analytical solution for the moments at all times. We…
By means of a simple model system, the total volume fluctuations of a tapped granular material in the steady state are studied. In the limit of a system with a large number of particles, they are found to be Gaussian distributed, and…
In this work, we consider ranking problems among a finite set of candidates: for instance, selecting the top-$k$ items among a larger list of candidates or obtaining the full ranking of all items in the set. These problems are often…
Recent results on the stationary state Fluctuation Theorems for work and heat fluctuations of Langevin systems are presented. The relevance of finite time corrections in understanding experimental and simulation results is explained in the…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
We introduce a prototype model in an attempt to capture some aspects of market dynamics simulating a trading mechanism. The model description starts with a discrete-space, continuous-time Markov process describing arrival and movement of…
Mean field equilibrium (MFE) has emerged as a computationally tractable solution concept for large dynamic games. However, computing MFE remains challenging due to nonlinearities and the absence of contraction properties, limiting its…
We propose an aggregate notion of non-transferable utility (NTU) stability for decentralized matching markets with fixed prices, where market clearing is achieved through one-sided money burning, which can be interpreted as waiting. Agents…
We study stability notions for networked many-to-many matching markets with individually insignificant agents in distributional form. Outcomes are formulated as joint distributions over characteristics of agents and contract choices.…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
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…
In this paper we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be…