Related papers: Optimal risk in wealth exchange models: agent dyna…
The statistical mechanics approach to wealth distribution is based on the conservative kinetic multi-agent model for money exchange, where the local interaction rule between the agents is analogous to the elastic particle scattering…
We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which may arise from heterogeneous sources, as well as the risk…
Auctions in which agents' payoffs are random variables have received increased attention in recent years. In particular, recent work in algorithmic mechanism design has produced mechanisms employing internal randomization, partly in…
We characterize optimal monetary policy when policy endogenously moves risk premia through redistribution across agents who differ in their willingness to bear risk. The analytical core is Marginal Risk Capacity, the covariance of monetary…
Fraud can pose a challenge in many resource allocation domains, including social service delivery and credit provision. For example, agents may misreport private information in order to gain benefits or access to credit. To mitigate this, a…
Closeness is a global measure of centrality in networks, and a proxy for how influential actors are in social networks. In most network models, and many empirical networks, closeness is strongly correlated with degree. However, in social…
If wealthier people have advantages in having higher returns than poor, inequality will unequivocally increase, but is equal opportunity enough to prevent it? According to several models in economics and econophysics, no. They all display…
One of the risks involved in multi agent community is in the identification of trustworthy agent partners for transaction. In this paper we aim to describe a trust model for measuring trust in the interacting agents. The trust metric model…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
Driving in a dynamic environment that consists of other actors is inherently a risky task as each actor influences the driving decision and may significantly limit the number of choices in terms of navigation and safety plan. The risk…
It is well-known that acting in an individually rational manner, according to the principles of classical game theory, may lead to sub-optimal solutions in a class of problems named social dilemmas. In contrast, humans generally do not have…
Empirical distributions of wealth and income can be reproduced using simplified agent-based models of economic interactions, analogous to microscopic collisions of gas particles. Building upon these models of freely interacting agents, we…
We consider long-lived agents who interact repeatedly in a social network. In each period, each agent learns about an unknown state by observing a private signal and her neighbors' actions from the previous period before choosing her own…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
Modeling social interactions based on individual behavior has always been an area of interest, but prior literature generally presumes rational behavior. Thus, such models may miss out on capturing the effects of biases humans are…
An agent chooses an action based on her private information and a recommendation from an informed but potentially misaligned adviser. With a known probability, the adviser truthfully reports his signal; with the remaining probability, he…
How can we limit wealth disparities while stimulating economic flows in sustainable societies? To examine the link between these concepts, we propose an econophysics asset exchange model with the surplus stock of the wealthy. The wealthy…
We study a model of wealth dynamics [Bouchaud and M\'ezard 2000, \emph{Physica A} \textbf{282}, 536] which mimics transactions among economic agents. The outcomes of the model are shown to depend strongly on the topological properties of…
We model a closed economic system with interactions that generates the features of empirical wealth distribution across all wealth brackets, namely a Gibbsian trend in the lower and middle wealth range and a Pareto trend in the higher…