Related papers: Fiscal Stimulus of Last Resort
This paper analizes the optimal level of transfer pricing manipulation when the expected tax penalty is a function of the tax enforcement and the market price parameter. The arm's length principle implies the existence of a range of…
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of this approach is that, maturity-wise,…
Do we know if a short selling ban or a Tobin Tax result in more stable asset prices? Or do they in fact make things worse? Just like medicine regulatory measures in financial markets aim at improving an already complex system. And just like…
A society of agents, with ideological positions, or "opinions" measured by real values ranging from $-\infty$ (the "far left") to $+\infty$ (the "far right"), is considered. At fixed (unit) time intervals agents repeatedly reconsider and…
This paper studies self-sustained dynamic multiagent systems (MAS) for decentralized resource allocation operating at a competitive equilibrium over a finite horizon. The utility of resource consumption, along with the income from resource…
Directional motion towards a specified destination is a common occurrence in physical processes and human societal activities. Utilizing this prior information can significantly improve the control and predictive performance of system…
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero…
It is quite often claimed, and correctly so, that linear methods cannot achieve global stability results for attitude control, and conversely that nonlinear control is essential in order to achieve (almost) globally stable tracking of…
In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of…
Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary pressure as entire classes of strategies…
The substantial turmoil created by both 2000 dot-com crash and 2008 subprime crisis has fueled the belief that the two classical paradigms of economics, which are the invisible hand and the rational agent, are not appropriate to describe…
We argue that a negative interest rate policy (NIRP) can be an effect tool for macroeconomic stabilization. We first discuss how implementing negative rates on reserves held at a central bank does not pose any theoretical difficulty, with a…
World models enable long-horizon planning by internally generating and evaluating imagined trajectories, making them a promising foundation for generalist agents. However, this imagination-driven decision process also introduces new…
In our multi-agent model agents generate wealth from repeated interactions for which a prisoner's dilemma payoff matrix is assumed. Their gains are taxed by a government at a rate $\alpha$. The resulting budget is spent to cover…
This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…
Real-world applications require RL algorithms to act safely. During learning process, it is likely that the agent executes sub-optimal actions that may lead to unsafe/poor states of the system. Exploration is particularly brittle in…
In this article, I consider the issues of financial resource shortage, the limited possibility of attracting bank loans, and business risk. All these problems constrain the development of entrepreneurship. Objectives I aim to determine a…
Global fixed income returns span across multiple maturities and economies, that is, they naturally reside on multi-dimensional data structures referred to as tensors. In contrast to standard "flat-view" multivariate models that are agnostic…
This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…
Taxation constitutes a fundamental component of modern national economic systems, exerting profound impacts on both societal functioning and governmental operations. In this paper, we employ an interdependent network approach to model the…