Related papers: The Time-Interlaced Self-Consistent Master System …
These notes discuss several topics in neoclassical economics and alternatives, with an aim of reviewing fundamental issues in modeling economic markets. I start with a brief, non-rigorous summary of the basic Arrow-Debreu model of general…
A broad set of empirical phenomenon in the study of social, economic and machine behaviour can be modelled as complex systems with averaging dynamics. However many of these models naturally result in consensus or consensus-like outcomes. In…
We consider continuous-time consensus seeking systems whose time-dependent interactions are cut-balanced, in the following sense: if a group of agents influences the remaining ones, the former group is also influenced by the remaining ones…
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…
Temporal coherence-persistent alignment across time-can arise between agents with fundamentally distinct dynamics, a behavior that classical diffusion models (e.g., Brownian motion, fractional Brownian motion, generalized Langevin equation)…
We consider continuous-time heterogeneous agent models with recursive utility (Epstein-Zin utility) cast as mean field games, in which agents prefer late resolution of uncertainty. The model leads to a system coupling a pair of…
Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in the future that is optimal for an agent today may not be optimal for the same agent in the future. If the agent is aware of this intra-personal…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
In this paper, we deal with first and second-order alignment models with non-universal interaction, time delay and possible lack of connection between the agents. More precisely, we analyze the situation in which the system's agents do not…
We investigate an infinite-horizon time-inconsistent mean-field game (MFG) in a discrete time setting. We first present a classic equilibrium for the MFG and its associated existence result. This classic equilibrium aligns with the…
In light of the growing interest in agent-based market models, we bring together several earlier works in which we considered the topic of self-consistent market modelling. Building upon the binary game structure of Challet and Zhang, we…
We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded…
We extend prior evidence that naively using intraday agent-based models that involve realistic order-matching processes for modeling continuous-time double auction markets seems to fail to be able to provide a robust link between data and…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
The non-consensus problems of high order linear time-invariant dynamical homogeneous multi-agent systems are concerned. Based on the conditions of consensus achievement, the mechanisms that lead to non-consensus motions are analyzed.…
Multi-agent systems built on Large Language Models (LLMs) show exceptional promise for complex collaborative problem-solving, yet they face fundamental challenges stemming from context window limitations that impair memory consistency, role…
We propose and compare new global solution algorithms for continuous time heterogeneous agent economies with aggregate shocks. First, we approximate the agent distribution so that equilibrium in the economy can be characterized by a high,…
There has been much recent interest in two-sided markets and dynamics thereof. In a rather a general discrete-time feedback model, which we show conditions that assure that for each agent, there exists the limit of a long-run average…