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Wealth inequality is an important matter for economic theory and policy. Ongoing debates have been discussing recent rise in wealth inequality in connection with recent development of active financial markets around the world. Existing…
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt…
Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…
We build a state-of-the-art dynamic model of private asset allocation that considers five key features of private asset markets: (1) the illiquid nature of private assets, (2) timing lags between capital commitments, capital calls, and…
This paper analyzes the relationships between demographic and state-based evolutionary games and Hamilton's rule. It is shown that the classical Hamilton's rule (counterfactual method), combined with demographic payoffs, leads to easily…
Financial markets are subject to long periods of polarized behavior, such as bull-market or bear-market phases, in which the vast majority of market participants seem to almost exclusively choose one action (between buying or selling) over…
Organization concepts and models are increasingly being adopted for the design and specification of multi-agent systems. Agent organizations can be seen as mechanisms of social order, created to achieve global (or organizational) objectives…
We study self-organized models for information transmission and herd behavior in financial markets. Existing models are generalized to take into account the effect of size-dependent fragmentation and coagulation probabilities of groups of…
We propose a Statistical-Mechanics inspired framework for modeling economic systems. Each agent composing the economic system is characterized by a few variables of distinct nature (e.g. saving ratio, expectations, etc.). The agents…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
We introduce a minimal Agent Based Model with two classes of agents, fundamentalists (stabilizing) and chartists (destabilizing) and we focus on the essential features which can generate the stylized facts. This leads to a detailed…
Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share…
In the General Theory, Keynes remarked that the economy's state depends on expectations, and that these expectations can be subject to sudden swings. In this work, we develop a multiple equilibria behavioural business cycle model that can…
Automation raises productivity and reduces paid human labor, but it also reallocates income and ownership claims. This paper studies that tradeoff in a static benchmark and in a stationary heterogeneous-agent general equilibrium. Firms…
Knowledge spillovers occur when a firm researches a new technology and that technology is adapted or adopted by another firm, resulting in a social value of the technology that is larger than the initially predicted private value. As a…
Random Boolean Network has been used to find out regulation patterns of genes in organism. his approach is very interesting to use in a game such as N Person PD. Here we assume that action is influenced by input in the form of choices of…
Two kinetic exchange models are proposed to explore the dynamics of closed economic markets characterized by random exchanges, saving propensities, and collective transactions. Model I simulates a system where individual transactions occur…
TheMinority Game (MG) has become a paradigm to probe complex social and economical phenomena where adaptive agents compete for a limited resource, and it finds applications in statistical and nonlinear physics as well. In the traditional MG…
We introduce a model, based on the Evolutionary Game Theory, for studying the dynamics of group formation. The latter constitutes a relevant phenomenon observed in different animal species, whose individuals tend to cluster together forming…