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We present an agent-based model of microscopic wealth exchange in a dynamic network to study the topological features associated with economic inequality. The model evolves through two alternating processes, the conservative exchange of…
We develop an analytically tractable model featuring heterogeneous workers and firms, where labor markets clear through a one-to-many sorting mechanism. Firms determine both the number and composition of their employees, shaping (1) the…
This paper presents hydrodynamic-like model of business cycles aggregate fluctuations of economic and financial variables. We model macroeconomics as ensemble of economic agents on economic space and agent's risk ratings play role of their…
We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous…
Resource allocation takes place in various kinds of real-world complex systems, such as the traffic systems, social services institutions or organizations, or even the ecosystems. The fundamental principle underlying complex…
There are rich emergent phase behaviors in non-equilibrium active systems. Flocking and clustering are two representative dynamic phases. The relationship between these two phases is still unclear. In the paper, we numerically investigate…
Post-pandemic world has thrown up several challenges, such as, high inflation, low growth, high debt, collapse of economies, political instability, job losses, lowering of income in addition to damages caused natural disasters, more…
Virtually anything can be and is ranked; people, institutions, countries, words, genes. Rankings reduce complex systems to ordered lists, reflecting the ability of their elements to perform relevant functions, and are being used from…
Phenomena which involves collective choice of many agents who are interacting with each other and choosing one of several alternatives, based on the limited information available to them, frequently show switching between two distinct…
This paper examines the spatial agglomeration of workers and income in a continuous space-time framework. Local markets feature spatial spillovers and both exogenous and endogenous amenities. Workers relocate to maximise their instantaneous…
The structure and dynamic of social network are largely determined by the heterogeneous interaction activity and social capital allocation of individuals. These features interplay in a non-trivial way in the formation of network and…
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…
Ownership concentration is not a scalar. For a normalized investor-stock matrix $A$, it has three irreducible layers: concentration across investors, concentration across stocks, and dependence in the joint assignment of investors to…
This paper proposes a portfolio construction framework designed to remain robust under estimation error, non-stationarity, and realistic trading constraints. The methodology combines dynamic asset eligibility, deterministic rebalancing, and…
We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized…
Facing the FRTB, banks need to allocate their capital to each business units or risk positions to evaluate the capital efficiency of their strategies. This paper proposes two computationally efficient allocation methods which are weighted…
Stochastic multiplicative dynamics characterize many complex natural phenomena such as selection and mutation in evolving populations, and the generation and distribution of wealth within social systems. Population heterogeneity in…
The career of an employee can be described (under certain circumstances) by a random walk, where the states of the random walk are determined by the level and position of an employee. At each decision moment the state of the employee is…
We study investment strategy in different models of financial markets, where the investors cannot reach a perfect knowledge about available assets. The investor spends a certain effort to get information; this allows him to better choose…
This paper describes the dependence of market-based statistical moments of returns on statistical moments and correlations of the current and past trade values. We use Markowitz's definition of value weighted return of a portfolio as the…