Related papers: Classical Economics: Lost and Found
As demonstrated during the recent financial crisis, regulators require additional analytical tools to assess systemic risk in the financial sector. This paper describes one such tool; namely a novel market modeling and analysis capability.…
The paper deals with the study of labor market dynamics, and aims to characterize its equilibriums and possible trajectories. The theoretical background is the theory of the segmented labor market. The main idea is that this theory is well…
Neoclassical economics has two theories of competition between profit-maximizing firms (Marshallian and Cournot-Nash) that start from different premises about the degree of strategic interaction between firms, yet reach the same result,…
This paper shows how we can build a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we are able to redefine concepts like account…
Uncertainty in economics still poses some fundamental problems illustrated, e.g., by the Allais and Ellsberg paradoxes. To overcome these difficulties, economists have introduced an interesting distinction between 'risk' and 'ambiguity'…
Persistent economic competition is often justified as a mechanism of innovation, efficiency, and welfare maximization. Yet empirical evidence across disciplines reveals that competition systematically generates fragility, inequality, and…
A stochastic dynamics has a natural decomposition into a drift capturing mean rate of change and a martingale increment capturing randomness. They are two statistically uncorrelated, but not necessarily independent mechanisms contributing…
The aim of this article is to present elements and discuss the potential of a research program at the intersection between mathematics and heterodox economics, which we call Criticial Mathematical Economics (CME). We propose to focus on the…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions…
We study a heterogeneous agent macroeconomic model with an infinite number of households and firms competing in a labor market. Each household earns income and engages in consumption at each time step while aiming to maximize a concave…
The distribution of wealth among the members of a society is herein assumed to result from two fundamental mechanisms, trade and investment. An empirical distribution of wealth shows an abrupt change between the low-medium range, that may…
This paper provides a general method to directly translate a classical economic framework with a large number of agents into a field-formalism model. This type of formalism allows the analytical treatment of economic models with an…
The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected if a sufficient weight of market participants are…
We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual traders make decisions based on common global information…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
The conventional economic approaches explore very little about the dynamics of the economic systems. Since such systems consist of a large number of agents interacting nonlinearly they exhibit the properties of a complex system. Therefore…
The aim of "A glance beyond the quantum model" [arXiv:0907.0372] to modernize the Correspondence Principle is compromised by an assumption that a classical model must start with the idea of particles, whereas in empirical terms particles…