Related papers: Optimal risk in wealth exchange models: agent dyna…
The steady-state and nonequilibrium properties of the model of environmental-economic interactions are studied. The interacting heterogeneous agents are simulated on the platform of the emission dynamics of cellular automaton. The model…
We present a minimal agent-based model of interacting agents characterized by their wealth to study taxation and inequality in a non-conservative economy. Wealth evolves through an extremal stochastic replacement process in which the…
We examine settings in which agents choose behaviors and care about their neighbors' behaviors, but have incomplete information about the network in which they are embedded. We develop a model in which agents use local knowledge of their…
We introduce an auto-regressive model which captures the growing nature of realistic markets. In our model agents do not trade with other agents, they interact indirectly only through a market. Change of their wealth depends, linearly on…
In the so-called ``fair'' models of peer-to-peer wealth exchanges, economic inequality tends to reach its maximum value asymptotically. This global trend is evident as the richest continuously accumulate a larger share of wealth at the…
We consider a social system of interacting heterogeneous agents with learning abilities, a model close to Random Field Ising Models, where the random field corresponds to the idiosyncratic willingness to pay. Given a fixed price, agents…
We investigate the optimal control of large-scale autonomous systems under explicitly adversarial conditions, incorporating the probabilistic destruction of agents over time. In many such systems, adversarial interactions arise as different…
This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which…
This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the…
Trading markets represent a real-world financial application to deploy reinforcement learning agents, however, they carry hard fundamental challenges such as high variance and costly exploration. Moreover, markets are inherently a…
We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is uncertain about the true loss distribution and has multiple…
We present a stochastic, agent-based, binary-transaction Asset-Exchange Model (AEM) for wealth distribution that allows for agents with negative wealth. This model retains certain features of prior AEMs such as redistribution and…
We model a system of networking agents that seek to optimize their centrality in the network while keeping their cost, the number of connections they are participating in, low. Unlike other game-theory based models for network evolution,…
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to…
In this article we study the behavior of a group of economic agents in the context of cooperative game theory, interacting according to rules based on the Potts Model with suitable modifications. Each agent can be thought of as belonging to…
This paper is concerned with a model in econophysics, the subfield of statistical physics that applies concepts from traditional physics to economics. In our model, economical agents are represented by the vertices of a connected graph and…
In this paper, we study the interplay between individual behaviors and epidemic spreading in a dynamical network. We distribute agents on a square-shaped region with periodic boundary conditions. Every agent is regarded as a node of the…
We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
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…