Related papers: Endogenous Cycles in a Keen--Goodwin Model with Mi…
We develop a dynamic multi-agent model of an interbank payment system where banks choose their level of available funds on the basis of private payoff maximisation. The model consists of the repetition of a simultaneous move stage game with…
For a dynamical system, we study the set of points $\cal W$ whose orbit approximates any chosen point at certain specified rates. Our basic setting is that of left shift acting on topological Markov chains endowed with a local weak Gibbs…
In the phase space perspective, scalar field slow roll inflation is described by a heteroclinic orbit from a saddle type fixed point to a final attractive point. In many models the saddle point resides in the scalar field asymptotics, and…
This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an…
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings. Prior studies of such events fix the level of market…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…
We examine the statistical properties of a closed monetary economy with multi-aggregates interactions. Building upon Yakovenko's single-agent monetary model (Dragulescu and Yakovenko, 2000), we investigate the joint equilibrium distribution…
In this paper, I endeavour to construct a new model, by extending the classic exogenous economic growth model by including a measurement which tries to explain and quantify the size of technological innovation ( A ) endogenously. I do not…
The article discusses a generalization of model of economic growth with constant pace, which takes into account the effects of dynamic memory. Memory means that endogenous or exogenous variable at a given time depends not only on their…
We construct a dynamical system based on the KCG (K\"all\'en, Crafoord, Ghil) conceptual climate model which includes the ice-albedo and precipitation-temperature feedbacks. Further, we classify the stability of various critical points of…
Electron dynamics in a two-sites Hubbard model is studied using the nonequilibrium Green's function approach. The study is motivated by the empirical observation that a full solution of the integro-differential Kadanoff-Baym equation (KBE)…
We investigate the dynamics of wealth inequality in an economy where households have positional preferences, with the strength of the positional concern determined endogenously by inequality of wealth distribution in the society. We…
I develop and estimate a dynamic equilibrium model of risky entrepreneurs' borrowing and savings decisions incorporating both formal and local-informal credit markets. Households have access to an exogenous formal credit market and to an…
We deduce a class of non-Markovian completely positive master equations which describe a system in a composite bipartite environment, consisting of a Markovian reservoir and additional stationary unobserved degrees of freedom that modulate…
In this paper, a mathematically rigorous solution overturns existing wisdom regarding New Keynesian Dynamic Stochastic General Equilibrium. I develop a formal concept of stochastic equilibrium. I prove uniqueness and necessity, when agents…
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, where our parametrization of perturbations allows for joint…
We establish a set of nonequilibrium quantum phase transitions in the Lipkin-Meshkov-Glick model under monochromatic modulation of the inter-particle interaction. We show that the external driving induces a rich phase diagram that…
We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is…
We study dynamic mechanism design in a pure-exchange economy with privately observed idiosyncratic income. In the standard infinitely lived hidden-income benchmark of Green (1987) and Thomas-Worrall (1990), constrained-efficient allocations…
This paper embeds a signaling friction into the continuous-time heterogeneous agent framework. A continuum of producers operate Cobb-Douglas technologies with regime-specific productivity $A_j \in \{A_L, A_H\}$. Stochastic arrival of…