Related papers: Optimal risk in wealth exchange models: agent dyna…
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
We investigate the unbiased model for money exchanges with collective debt limit: agents give at random time a dollar to one another as long as they have at least one dollar or they can borrow a dollar from a central bank if the bank is not…
In this paper, we consider $n$ agents who invest in a general financial market that is free of arbitrage and complete. The aim of each investor is to maximize her expected utility while ensuring, with a specified probability, that her…
We develop a statistical framework for wealth allocation in which agents hold discrete units of wealth and macrostates are defined by how wealth is distributed across agents. The structure of the economic state space is characterized…
In Probabilistic Risk Management, risk is characterized by two quantities: the magnitude (or severity) of the adverse consequences that can potentially result from the given activity or action, and by the likelihood of occurrence of the…
Decision makers often aim to learn a treatment assignment policy under a capacity constraint on the number of agents that they can treat. When agents can respond strategically to such policies, competition arises, complicating estimation of…
In this paper, we consider a simple linear exponential quadratic Gaussian (LEQG) tracking problem for a multi-agent system. We study the dynamical behaviors of the group as we vary the risk-sensitivity parameter, comparing in particular the…
A class of conserved models of wealth distributions are studied where wealth (or money) is assumed to be exchanged between a pair of agents in a population like the elastically colliding molecules of a gas exchanging energy. All sorts of…
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…
This paper studies decentralized risk-sharing on networks. In particular, we consider a model where agents are nodes in a given network structure. Agents directly connected by edges in the network are referred to as friends. We study…
Agents often have individual goals which depend on a group's actions. If agents trust a forecast of collective action and adapt strategically, such prediction can influence outcomes non-trivially, resulting in a form of performative…
Learning and adaptation play great role in emergent socio-economic phenomena. Complex dynamics has been previously found in the systems of multiple learning agents interacting via a simple game. Meanwhile, the single agent adaptation is…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
We investigate knowledge exchange among commercial organisations, the rationale behind it and its effects on the market. Knowledge exchange is known to be beneficial for industry, but in order to explain it, authors have used high level…
In this communication, some economic models given by functional mappings are addressed. These are models for random markets where agents trade by pairs and exchange their money in a random and conservative way. They display the exponential…
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent…
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…
Traders buy and sell financial instruments in hopes of making profit, and brokers are responsible for the transaction. There are several hypotheses and conspiracy theories arguing that in some situations, brokers want their traders to lose…
We examine the statistical properties of a closed monetary economy with multi-aggregates interactions. Building upon Yakovenko's single-agent monetary model (Dragulescu and Yakovenko, 2000), we investigate the joint equilibrium distribution…
Malicious softwares or malwares for short have become a major security threat. While originating in criminal behavior, their impact are also influenced by the decisions of legitimate end users. Getting agents in the Internet, and in…