Related papers: Price Levels in Heterogeneous-Agent Models
The framework of Mean-field Games (MFGs) is used for modelling the collective dynamics of large populations of non-cooperative decision-making agents. We formulate and analyze a kinetic MFG model for an interacting system of non-cooperative…
The war of attrition with two-sided asymmetric information is a foundational model in political economy, yet it generically admits a continuum of perfect Bayesian equilibria. This paper characterizes the sources of equilibrium multiplicity.…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…
In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of…
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 explore heterogeneous prices as a source of heterogeneous or stochastic demand. Heterogeneous prices could arise either because there is actual price variation among consumers or because consumers (mis)perceive prices differently. Our…
We propose a new approach to proving the uniqueness of solutions to a certain class of mean field games of controls. In this class, the equilibrium is determined by an aggregate quantity $Q(t)$, e.g. the market price or production, which…
Follow-the-regularized-leader (FTRL) algorithms have become popular in the context of games, providing easy-to-implement methods for each agent, as well as theoretical guarantees that the strategies of all agents will converge to some…
This study aims to address the challenges of futures price prediction in high-frequency trading (HFT) by proposing a continuous learning factor predictor based on graph neural networks. The model integrates multi-factor pricing theories…
We study an Arrow-Debreu economy with externalities generated by multiplex networks. Market equilibrium prices reflect both the preferences and scarcity of goods, consumers' network centralities arising from goods' externalities, as well as…
We consider class of equilibrium models including the implicit Walras supply-demand and competitive models. Such a model in this class, in general, is ill-posed. We formulate such a model in the form a variational inequality having certain…
Behavioural finance offers a valuable framework for examining foreign exchange (FX) market dynamics, including puzzles such as excess volatility and fat-tailed distributions. Yet, when it comes to their interaction with the `real' side of…
This paper presents a realistic simulated stock market where large language models (LLMs) act as heterogeneous competing trading agents. The open-source framework incorporates a persistent order book with market and limit orders, partial…
We study a matching problem between agents and public goods, in settings without monetary transfers. Since goods are public, they have no capacity constraints. There is no exogenously defined budget of goods to be provided. Rather, each…
We have used agent-based modeling as our numerical method to artificially simulate a dynamic real economy where agents are rational maximizers of an objective function of Cobb-Douglas type. The economy is characterised by heterogeneous…
In this paper, we investigate the interaction of two populations with a large number of indistinguishable agents. The problem consists in two levels: the interaction between agents of a same population, and the interaction between the two…
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…
We study a heterogeneous routing game in which vehicles might belong to more than one type. The type determines the cost of traveling along an edge as a function of the flow of various types of vehicles over that edge. We relax the…
This paper studies the equilibrium price of a continuous time asset traded in a market with heterogeneous investors. We consider a positive mean reverting asset and two groups of investors who have different beliefs on the speed of mean…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…