Related papers: The Micro-Aggregated Profit Share
An acceleration in the growth of communications bandwidth in use and a rapid reduction in bandwidth prices have not accompanied the U.S. economy's strong performance in the second half of the 1990s. Overall U.S. bandwidth in use has grown…
We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…
The growing integration of renewable energy sources necessitates adequate reserve capacity to maintain power balance. However, in market clearing, power companies with flexible resources may submit strategic bids to maximize profits,…
It is usually assumed that stock prices reflect a balance between large numbers of small individual sellers and buyers. However, over the past fifty years mutual funds and other institutional shareholders have assumed an ever increasing…
We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In constrast with previous MG, the best strategies are not always targeting the minority but are shifting…
This paper is devoted to the important yet unexplored subject of crowding effects on market impact, that we call "co-impact". Our analysis is based on a large database of metaorders by institutional investors in the U.S. equity market. We…
In this paper, inspired by the work of Megiddo on the formation of preferences and strategic analysis, we consider an early market model studied in the field of economic theory, in which each trader's utility may be influenced by the…
We discuss price competition when positive network effects are the only other factor in consumption choices. We show that partitioning consumers into two groups creates a rich enough interaction structure to induce negative marginal demand…
How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price…
While the global economy continues to grow, ecosystem services tend to stagnate or decline. Economic theory has shown how such shifts in relative scarcities can be reflected in project appraisal and accounting, but empirical evidence has…
Accurately estimating income Pareto exponents is challenging due to limitations in data availability and the applicability of statistical methods. Using tabulated summaries of incomes from tax authorities and a recent estimation method, we…
This paper investigates the heterogeneous effects of military spending news shocks on household income and wealth inequality for a large, panel of advanced and emerging economies. Confirming prior literature, we find that military spending…
Using the Generalised Lotka Volterra (GLV) model adapted to deal with muti agent systems we can investigate economic systems from a general viewpoint and obtain generic features common to most economies. Assuming only weak generic…
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics. Using the CRSP Database of the US equity…
Economists disagree about the factors driving the substantial increase in residual wage inequality in the US over the past few decades. To identify changes in the returns to unobserved skills, we make a novel assumption about the dynamics…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
The article examines how institutions, automation, unemployment and income distribution interact in the context of a neoclassical growth model where profits are interpreted as a surplus over costs of production. Adjusting the model to the…
The personal income distribution (PID) above the Pareto threshold is studied and modeled. A microeconomic model is proposed to simulate the PID and its evolution below and above the Pareto income threshold. The model balances processes of…
Adapting a simple biological model, we study the effects of control on the market. Companies are depicted as sites on a lattice and labelled by a fitness parameter (some `company-size' indicator). The chance of survival of a company on the…