Related papers: Leapfrogging of a deterministic model for microeco…

Non-spherical particles transported by an anisotropic turbulent flow preferentially align with the mean shear and intermittently tumble when the local strain fluctuates. Such an intricate behaviour is here studied for inertialess,…

Statistical modeling is a key component in the extraction of physical results from lattice field theory calculations. Although the general models used are often strongly motivated by physics, many model variations can frequently be…

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure…

Growth of business firms or companies has been a subject of intensive research over a century. However, there still remains controversy about the basic mechanisms of their growth. Inspired by previous work on scaling laws in other systems,…

We present a case study and methodological developments in large-scale hierarchical dynamic modeling for personalized prediction in commerce. The context is supermarket sales, where improved forecasting of customer/household-specific…

We study the role and drivers of persistence in the extensive margin of bilateral trade. Motivated by a stylized heterogeneous firms model of international trade with market entry costs, we consider dynamic three-way fixed effects binary…

We show how highly-diverse ecological communities may display persistent abundance fluctuations, when interacting through resource competition and subjected to migration from a species pool. This turns out to be closely related to the ratio…

Dynamic pricing of goods in a competitive environment to maximize revenue is a natural objective and has been a subject of research over the years. In this paper, we focus on a class of markets exhibiting the substitutes property with…

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…

In science and especially in economics, agent-based modeling has become a widely used modeling approach. These models are often formulated as a large system of difference equations. In this study, we discuss two aspects, numerical modeling…

This paper develops a strategic model of trade between two regions in which, depending on the relation among output, financial resources and transportation costs, the adjustment of prices towards an equilibrium is studied. We derive…

We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…

This paper addresses the problem of stochastic optimization with decision-dependent uncertainty, a class of problems where the probability distribution of the uncertain parameters is influenced by the decision-maker's actions. While recent…

We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…

We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters that serve to make iterated predictions of two successive…

In biology phenotypic switching is a common bet-hedging strategy in the face of uncertain environmental conditions. Existing mathematical models often focus on periodically changing environments to determine the optimal phenotypic response.…

Toward explaining the persistence of biased inferences, we propose a framework to evaluate competing (mis)specifications in strategic settings. Agents with heterogeneous (mis)specifications coexist and draw Bayesian inferences about their…

We analyze a modification of the Richards growth model by introducing a time-dependent perturbation in the growth rate. This modification becomes effective at a special switching time, which represents the first-crossing-time of the…

We discuss Bayesian model uncertainty analysis and forecasting in sequential dynamic modeling of multivariate time series. The perspective is that of a decision-maker with a specific forecasting objective that guides thinking about relevant…

We consider a system of two competing populations in two-dimensional heterogeneous environments. The populations are assumed to move horizontally and vertically with different probabilities, but are otherwise identical. We regard these…