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We examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…
Sustainable energy systems require flexible elements to balance the variability of renewable energy sources. Demand response aims to adapt the demand to the variable generation, in particular by shifting the load in time. In this article,…
We identify a robust structural signature of stock markets during exogenous shock events by analyzing collective return dynamics across G5 countries. Using Random Matrix Theory, we introduce the complexity gap, defined as the difference…
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called "soft dollars," which basically are amounts spent in "research" for identifying profitable trading opportunities. Soft…
This paper analyzes the bank lending channel and the heterogeneous effects on the euro area, providing evidence that the channel is indeed working. The analysis of the transmission mechanism is based on structural impulse responses to an…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
In market modeling, one often treats buyers as a homogeneous group. In this paper we consider buyers with heterogeneous preferences and products available in many variants. Such a framework allows us to successfully model various market…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two…
A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply,…
We cast episodic Markov decision process (MDP) planning as Bayesian inference over policies. A policy is treated as the latent variable and is assigned an unnormalized probability of optimality that is monotone in its expected return,…
Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary pressure as entire classes of strategies…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
With the proliferation of algorithmic high-frequency trading in financial markets, the Limit Order Book has generated increased research interest. Research is still at an early stage and there is much we do not understand about the dynamics…
We propose a Neural Hidden Markov Model (HMM) with Adaptive Granularity Attention (AGA) for high-frequency order flow modeling. The model addresses the challenge of capturing multi-scale temporal dynamics in financial markets, where…
User growth is a major strategy for consumer internet companies. To optimize costly marketing campaigns and maximize user engagement, we propose a novel treatment effect optimization methodology to enhance user growth marketing. By…
We initiate the study of contextual dynamic pricing with a heterogeneous population of buyers, where a seller repeatedly posts prices (over $T$ rounds) that depend on the observable $d$-dimensional context and receives binary purchase…
We present an agent based model of a single asset financial market that is capable of replicating several non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. While previous…
This paper moves beyond aggregate measures of retail intensity to explore investment horizon as a distinguishing feature of earnings-related return patterns. Using self-reported holding periods from StockTwits (2010-2021), we observe that…
This paper shows that in suitable markets, even with out-of-equilibrium trade allowed, a simple price update rule leads to rapid convergence toward the equilibrium. In particular, this paper considers a Fisher market repeated over an…