Related papers: Risk Aversion in Non-Ergodic Systems
Complex adaptive systems have been the subject of much recent attention. It is by now well-established that members (`agents') tend to self-segregate into opposing groups characterized by extreme behavior. However, while different social…
We introduce a new regression method that relates the mean of an outcome variable to covariates, under the "adverse condition" that a distress variable falls in its tail. This allows to tailor classical mean regressions to adverse…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…
We propose a novel approach to the statistical analysis of stochastic simulation models and, especially, agent-based models (ABMs). Our main goal is to provide fully automated, model-independent and tool-supported techniques and algorithms…
Every interaction of a living organism with its environment involves the placement of a bet. Armed with partial knowledge about a stochastic world, the organism must decide its next step or near-term strategy, an act that implicitly or…
In the evolutionary minority game, agents are allowed to evolve their strategies (``mutate'') based on past experience. We explore the dependence of the system's global behavior on the response time and the mutation threshold of the agents.…
Behavior of systems that are functions of anticipated behavior of other systems, whose own behavior is also anticipatory but homeostatic and determined by hierarchical ordering, which changes over time, of sets of possible environments that…
Unambiguous identification of the rewards driving behaviours of entities operating in complex open-ended real-world environments is difficult, partly because goals and associated behaviours emerge endogenously and are dynamically updated as…
In this work we study the individual strategies carried out by agents undergoing transactions in wealth exchange models. We analyze the role of risk propensity in the behavior of the agents and find a critical risk, such that agents with…
This paper considers a statistical signal processing problem involving agent based models of financial markets which at a micro-level are driven by socially aware and risk- averse trading agents. These agents trade (buy or sell) stocks by…
In reinforcement learning, we typically aim to optimize the expected value of the sum of rewards an agent collects over a trajectory. However, if the process generating these rewards is non-ergodic, the expected value, i.e., the average…
This paper presents a computational evolutionary game model to study and understand fraud dynamics in the consumption tax system. Players are cooperators if they correctly declare their value added tax (VAT), and are defectors otherwise.…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
A long line of work in social psychology has studied variations in people's susceptibility to persuasion -- the extent to which they are willing to modify their opinions on a topic. This body of literature suggests an interesting…
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…
Empirical risk minimization (ERM) is the workhorse of machine learning, whether for classification and regression or for off-policy policy learning, but its model-agnostic guarantees can fail when we use adaptively collected data, such as…
We analyse derivative securities whose value is NOT a deterministic function of an underlying which means presence of a basis risk at any time. The key object of our analysis is conditional probability distribution at a given underlying…
The mechanisms of emergence and evolution of collective behaviours in dynamical Multi-Agent Systems (MAS) of multiple interacting agents, with diverse behavioral strategies in co-presence, have been undergoing mathematical study via…
There exists a range of different models for estimating and simulating credit risk transitions to optimally manage credit risk portfolios and products. In this chapter we present a Coupled Markov Chain approach to model rating transitions…