Related papers: Heterogenous Macro-Finance Model: A Mean-field Gam…
Here, we examine a mean-field game (MFG) that models the economic growth of a population of non-cooperative rational agents. In this MFG, agents are described by two state variables - the capital and consumer goods they own. Each agent…
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…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
In a series of precedent papers, we have presented a comprehensive methodology, termed Field Economics, for translating a standard economic model into a statistical field-formalism framework. This formalism requires a large number of…
We study discrete-time, finite-state mean-field games (MFGs) under model uncertainty, where agents face ambiguity about the state transition probabilities. Each agent maximizes its expected payoff against the worst-case transitions within…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an…
Using a semi-structural approach, the paper identifies how heterogeneity and financial frictions affect the transmission of aggregate shocks. Approximating a heterogeneous agent model around the representative agent allocation can…
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…
This article introduces a novel mean-field game model for multi-sector economic growth in which a dynamically evolving externality, influenced by the collective actions of agents, plays a central role. Building on classical growth theories…
This paper studies the optimal investment behavior of renewable electricity producers in a competitive market, where both prices and installation costs are influenced by aggregate industry activity. We model the resulting crowding effects…
Recent financial bubbles such as the emergence of cryptocurrencies and "meme stocks" have gained increasing attention from both retail and institutional investors. In this paper, we propose a game-theoretic model on optimal liquidation in…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…
In this paper we study the price dynamics in a simple model of financial markets with heterogeneous agents. We concentrate on how increases in the total number of active traders influences fluctuations of asset prices. We find that a…
We study a heterogeneous agent macroeconomic model with an infinite number of households and firms competing in a labor market. Each household earns income and engages in consumption at each time step while aiming to maximize a concave…
The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HFTs are faster in the sense that they trade continuously and…
In a class of heterogeneous random networks, where each node dynamics is a random dynamical system, interacting with neighbor nodes via a random coupling function, we characterize the hub behavior as the mean-field, subject to statistically…
We discuss the stationary states of a model economy in which $N$ heterogeneous adaptive consumers purchase commodity bundles repeatedly from $P$ sellers. The system undergoes a transition from an inefficient to an efficient state as the…
Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…