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Empirically derived continuum models of collective behavior among large populations of dynamic agents are a subject of intense study in several fields, including biology, engineering and finance. We formulate and study a mean-field game…
We reverse-engineer the equilibrium construction process of asset prices in order to obtain returns which depend on firm characteristics, possibly in a linear fashion. One key requirement is that agents must have demands that rely…
Urban structures encompass settlements, characterized by the spatial distribution of built-up areas, but also transportation structures, to connect these built-up areas. These two structures are very different in their origin and function,…
This study presents an analytical approach to sector rotation, leveraging both factor models and fundamental metrics. We initiate with a systematic classification of sectors, followed by an empirical investigation into their returns.…
The Capital Asset Pricing Model (CAPM) relates a well-diversified stock portfolio to a benchmark portfolio. We insert size effect in CAPM, capturing the observation that small stocks have higher risk and return than large stocks, on…
Social employment, which is mostly carried by firms of different types, determines the prosperity and stability of a country. As time passing, the fluctuations of firm employment can reflect the process of creating or destroying jobs.…
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…
A common assumption of political economy is that profit rates across firms or sectors tend to uniformity, and often models are formulated in which this tendency is assumed to have been realised. But in reality this tendency is never…
We propose a set of conservative models in which agents exchange wealth with a preference in the choice of interacting agents in different ways. The common feature in all the models is that the temporary values of financial status of agents…
We consider a model of nomadic agents exploring and competing for time-varying location-specific resources, arising in crowdsourced transportation services, online communities, and in traditional location based economic activity. This model…
People organize in groups and contagions spread across them. A simple stochastic process, yet complex to model due to dynamical correlations within and between groups. Moreover, groups can evolve if agents join or leave in response to…
The paper gives picture of enrichment to economic and financial system analysis using agent-based models as a form of advanced study for financial economic data post-statistical-data analysis and micro-simulation analysis. Theoretical…
An important task in the analysis of multiagent systems is to understand how groups of selfish players can form coalitions, i.e., work together in teams. In this paper, we study the dynamics of coalition formation under bounded rationality.…
Functions or 'functionings' enable to give a structure to any activity and their combinations constitute the capabilities which characterize economic assets such as work utility. The basic law of supply and demand naturally emerges from…
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…
In this letter we present a stochastic dynamic model which can explain economic cycles. We show that the macroscopic description yields a complex dynamical landscape consisting of multiple stable fixed points, each corresponding to a split…
The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the implicit assumption that transfers between agents are…
If Economics is understood as the study of the interactions among intentional agents, being rationality the main source of intentional behavior, the mathematical tools that it requires must be extended to capture systemic effects. Here we…
This paper describes an agent-based model of a finite group of agents in a single population who each choose which convention to advocate, and which convention to practice. Influences or dependencies in agents choice exists in the form of…
We develop a model for the evolution of economic entities within a geographical type of framework. On a square symmetry lattice made of three (economic) regions, firms, described by a scalar fitness, are allowed to move, adapt, merge or…