Related papers: Expected Growth Criterion: An Axiomatization
Given a dynamical system, we say that a performance function has property P if its time averages along orbits are maximized at a periodic orbit. It is conjectured by several authors that for sufficiently hyperbolic dynamical systems,…
In the evolutionary minority game, agents are allowed to evolve their strategies (``mutate'') based on past experience. We explore the dependence of the system's global behavior on the response time and the mutation threshold of the agents.…
Under mean-variance-utility framework, we propose a new portfolio selection model, which allows wealth and time both have influences on risk aversion in the process of investment. We solved the model under a game theoretic framework and…
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…
In the past decade there has been a growing interest in agent-based econophysical financial market models. The goal of these models is to gain further insights into stylized facts of financial data. We derive the mean field limit of the…
We study the performance of different methods for processing information, incorporating narrative selection within an evolutionary model. All agents update their beliefs according to Bayes' Rule, but some strategically choose the narrative…
In the framework of statistical mechanics the properties of macroscopic systems are deduced starting from the laws of their microscopic dynamics. One of the key assumptions in this procedure is the ergodic property, namely the equivalence…
We study an interacting agent model of a game-theoretical economy. The agents play a minority-subsequently-majority game and they learn, using backpropagation networks, to obtain higher payoffs. We study the relevance of heterogeneity to…
We study a system of $N$ agents, whose wealth grows linearly, under the effect of stochastic resetting and interacting via a tax-like dynamics -- all agents donate a part of their wealth, which is, in turn, redistributed equally among all…
Agents care not only about the outcomes of collective decisions but also about how decisions are made. In many cases, both the outcome and the procedure affect whether agents see a decision as legitimate, justifiable, or acceptable. We…
An important question in economics is how people choose between different payments in the future. The classical normative model predicts that a decision maker discounts a later payment relative to an earlier one by an exponential function…
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…
Interactions between people are the basis on which the structure of our society arises as a complex system and, at the same time, are the starting point of any physical description of it. In the last few years, much theoretical research has…
A distributional symmetry is invariance of a distribution under a group of transformations. Exchangeability and stationarity are examples. We explain that a result of ergodic theory provides a law of large numbers: If the group satisfies…
We study a phenomenological model for the continuous double auction, equivalent to two independent $M/M/1$ queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the…
We consider a setting where in a known future time, a certain continuous random variable will be realized. There is a public prediction that gradually converges to its realized value, and an expert that has access to a more accurate…
This paper provides a behavioral analysis of conservatism in beliefs. I introduce a new axiom, Dynamic Conservatism, that relaxes Dynamic Consistency when information and prior beliefs "conflict." When the agent is a subjective expected…
Investors usually resort to financial advisors to improve their investment process until the point of complete delegation on investment decisions. Surely, financial advice is potentially a correcting factor in investment decisions but, in…
We study a recently proposed model in which an odd number of agents are competing to be in the minority. The agents have one strategy in hand which is to follow the most recent history. Each agent is also assigned a value p, which is the…
We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represented by strongly time-consistent dynamic risk measures. We…