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A growing part of the behavioral finance literature has addressed some of the stylized facts of financial time series as macroscopic patterns emerging from herding interactions among groups of agents with heterogeneous trading strategies…
The aim of this work is to explore the possible types of phenomena that simple macroeconomic Agent-Based models (ABM) can reproduce. We propose a methodology, inspired by statistical physics, that characterizes a model through its 'phase…
This paper studies a stylized model of local interaction where agents choose from an ever increasing set of vertically ranked actions, e.g. technologies. The driving forces of the model are infrequent upward shifts (``updates''), followed…
Many tractable TANK models treat redistribution as a contemporaneous wedge. I show that this view is incomplete once wage contracts are type-specific. In a tractable Two-Agent New Keynesian model, each household type adjusts its nominal…
We set out to solve a dual puzzle regarding reproductive strategies: The "Ancient vs. Modern" Puzzle (why pre-modern elites adopted a "Survival" strategy while modern elites adopt an "Anxiety" strategy) and the "Class Divide" Puzzle (why…
The stochastic motion in a nonhomogeneous medium with traps is studied and diffusion properties of that system are discussed. The particle is subjected to a stochastic stimulation obeying a general L\'evy stable statistics and experiences…
Ridesharing platforms match drivers and riders to trips, using dynamic prices to balance supply and demand. A challenge is to set prices that are appropriately smooth in space and time, so that drivers with the flexibility to decide how to…
High-energy physics experiments face extreme data rates, requiring real-time trigger systems to reduce event throughput while preserving sensitivity to rare processes. Trigger systems are typically constructed as modular chains of…
We propose a new approach to solve optimal stopping problems via simulation. Working within the backward dynamic programming/Snell envelope framework, we augment the methodology of Longstaff-Schwartz that focuses on approximating the…
Many societal challenges, such as climate change or disease outbreaks, require coordinated behavioral changes. For many behaviors, the tendency of individuals to adhere to social norms can reinforce the status quo. However, these same…
Aggregated phenomena in social sciences and economics are highly dependent on the way individuals interact. To help understanding the interplay between socio-economic activities and underlying social networks, this paper studies a…
We consider a natural dynamic staffing problem in which a decision-maker sequentially hires workers over a finite horizon to meet an unknown demand revealed at the end. Predictions about demand arrive over time and become increasingly…
The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative trading strategies. We develop a data-driven continuous-time…
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…
We study a stochastic, continuous time model on a finite horizon for a firm that produces a single good. We model the production capacity as an Ito diffusion controlled by a nondecreasing process representing the cumulative investment. The…
The ability to reliably predict critical transitions in dynamical systems is a long-standing goal of diverse scientific communities. Previous work focused on early warning signals related to local bifurcations (critical slowing down) and…
This paper studies a class of linear panel models with random coefficients. We do not restrict the joint distribution of the time-invariant unobserved heterogeneity and the covariates. We investigate identification of the average partial…
In the quest for signatures of coherent transport we consider exciton trapping in the continuous-time quantum walk framework. The survival probability displays different decay domains, related to distinct regions of the spectrum of the…
To regulate a social system comprised of self-interested agents, economic incentives are often required to induce a desirable outcome. This incentive design problem naturally possesses a bilevel structure, in which a designer modifies the…
This paper studies existence and uniqueness of equilibrium prices in a model of the banking sector in which banks trade contingent convertible bonds with stock price triggers among each other. This type of financial product was proposed as…