Related papers: Optimal risk in wealth exchange models: agent dyna…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
We consider a model of nomadic agents exploring and competing for time-varying location-specific resources, arising in crowdsourced transportation services, online communities, and in traditional location based economic activity. This model…
We present a simple dynamical model for describing trading interactions between agents in a social network by considering only two dynamical variables, namely money and goods or services, that are assumed conserved over the whole time span…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange…
We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…
Risks threatening modern societies form an intricately interconnected network that often underlies crisis situations. Yet, little is known about how risk materializations in distinct domains influence each other. Here we present an approach…
We present and analyze a model for the evolution of the wealth distribution within a heterogeneous economic environment. The model considers a system of rational agents interacting in a game theoretical framework, through fairly general…
Recently, in order to explore the mechanism behind wealth or income distribution, several models have been proposed by applying principles of statistical mechanics. These models share some characteristics, such as consisting of a group of…
We analyze a conservative market model for the competition among economic agents in a close society. A minimum dynamics ensures that the poorest agent has a chance to improve its economic welfare. After a transient, the system…
Persistent wealth inequality, where a small fraction of the population accumulates most resources while the majority remains economically vulnerable, is a widespread phenomenon. We investigate its underlying mechanisms using an agent-based…
We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…
We introduce and study a model of an interacting population of agents who collaborate in groups which compete for limited resources. Groups are formed by random matching agents and their worth is determined by the sum of the efforts…
Wealth transactions are central to economic activity, and their particularities shape macroeconomic outcomes. We propose an agent-based model to investigate how homophily influences economic inequality. The model simulates wealth exchanges…
This paper examines optimal risk sharing for empirically realistic risk attitudes, providing results on Pareto optimality, competitive equilibria, utility frontiers, and the first and second theorems of welfare. Contrary to common…
We have used agent-based modeling as our numerical method to artificially simulate a dynamic real economy where agents are rational maximizers of an objective function of Cobb-Douglas type. The economy is characterised by heterogeneous…
We consider an agent who has access to a financial market, including derivative contracts, who looks to maximise her utility. Whilst the agent looks to maximise utility over one probability measure, or class of probability measures, she…
Ergodicity describes an equivalence between the expectation value and the time average of observables. Applied to human behaviour, ergodic theories of decision-making reveal how individuals should tolerate risk in different environments. To…
Social dilemmas present a significant challenge in multi-agent cooperation because individuals are incentivised to behave in ways that undermine socially optimal outcomes. Consequently, self-interested agents often avoid collective…