Related papers: A Statistical Field Perspective on Capital Allocat…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
Adaptive populations such as those in financial markets and distributed control can be modeled by the Minority Game. We consider how their dynamics depends on the agents' initial preferences of strategies, when the agents use linear or…
We introduce a mean-field framework for the study of systems of interacting particles sharing a conserved quantity. The work generalises and unites the existing fields of asset-exchange models, often applied to socio-economic systems, and…
A new approach for the description of phenomena of social aggregation is suggested. On the basis of psychological concepts (as for instance social norms and cultural coordinates), we deduce a general mechanism for the social aggregation in…
We introduce a novel type of abnormal agents that proceed in the opposite direction of that defined for the normal agents. A new order parameter, $y$, is introduced to describe the characteristic of the system. Many interesting phenomenons…
Automated decision-making tools increasingly assess individuals to determine if they qualify for high-stakes opportunities. A recent line of research investigates how strategic agents may respond to such scoring tools to receive favorable…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
A market model in Stochastic Portfolio Theory is a finite system of strictly positive stochastic processes. Each process represents the capitalization of a certain stock. If at any time no stock dominates almost the entire market, which…
We define an opinion formation model of agents in a 1d ring, where the opinion of an agent evolves due to its interactions with close neighbors and due to its either positive or negative attitude toward the overall mood of all the other…
The economic success of individuals is often determined by a combination of talent, luck, and assistance from others. We introduce a new agent-based model that simultaneously considers talent, luck, and social interaction. This model allows…
The structure of the supply chain network has important implications for modelling economic systems, from growth trajectories to responses to shocks or natural disasters. However, reconstructing firm-to-firm networks from available…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
The recent framework of performative prediction is aimed at capturing settings where predictions influence the target/outcome they want to predict. In this paper, we introduce a natural multi-agent version of this framework, where multiple…
We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…
We develop a general equilibrium model in which, at each instant, a short-run competitive equilibrium arises. Heterogeneity in factor allocation generates differential profit rates across sectors, prompting firms to move between them under…
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always…
Self-organization is a process where a stable pattern is formed by the cooperative behavior between parts of an initially disordered system without external control or influence. It has been introduced to multi-agent systems as an internal…
We consider a conditional factor model for a multivariate portfolio of United States equities in the context of analysing a statistical arbitrage trading strategy. A state space framework underlies the factor model whereby asset returns are…
Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for…
Economic growth depends on capital investments and on investments in education and innovation. The model introduced here will specifiy aggregate output as determined by aggregate supply of capital and education investment. After formulating…