Related papers: Price Levels in Heterogeneous-Agent Models
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…
Trend and Value are pervasive anomalies, common to all financial markets. We address the problem of their co-existence and interaction within the framework of Heterogeneous Agent Based Models (HABM). More specifically, we extend the…
We analyze the onset of inflation for a simple single-field model when the system begins with significant inhomogeneities on length-scales shorter than the initial Hubble radius. We incorporate certain nonlinear interactions among the…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
Which level of inflation should Central Banks be targeting? We investigate this issue in the context of a simplified Agent Based Model of the economy. Depending on the value of the parameters that describe the behaviour of agents (in…
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…
We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures. With a single probability model, essential equivalence between the absence of…
We consider a social system of interacting heterogeneous agents with learning abilities, a model close to Random Field Ising Models, where the random field corresponds to the idiosyncratic willingness to pay. Given a fixed price, agents…
We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system. Our setup generalizes the well-known Kyle model, by dropping the assumption of a terminal…
We develop a market model in which products generate state-dependent potential hidden charges. Firms differ in their ability to realize this potential. Unlike firms, consumers do not observe the state. They try to infer hidden charges from…
Stochastic frontier models have attracted considerable attention due to the incorporation of an inefficiency term in addition to the conventional error term. In this paper, we propose a general estimation framework for panel stochastic…
This study investigates an adaptive pricing scheme aimed at achieving an efficient state in a traffic congestion game characterized by a diverse population of road users. While the planner possesses knowledge of players' preferences, their…
I investigate multi-field inflationary models with fields that decay during inflation, leading to staggered inflation. This feature is natural in many models motivated by string theory, for instance if inflatons are related to interbrane…
We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process,…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
We study equilibrium in hedonic markets, when consumers and suppliers have reservation utilities, and the utility functions are separable with respect to price. There is one indivisible good, which comes in different qualities; each…
Mobile data offloading is an emerging technology to avoid congestion in cellular networks and improve the level of user satisfaction. In this paper, we develop a distributed market framework to price the offloading service, and conduct a…
This paper examines a heterogeneous beliefs model in which there is a process that is only partially observed by the agents. The economy contains a risky asset producing dividends continuously in time. The dividends are observed by the…
This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a…