Related papers: Estimated Dynamic Equilibrium Model: Supply and De…
Data-driven, model-free analytics are natural choices for discovery and forecasting of complex, nonlinear systems. Methods that operate in the system state-space require either an explicit multidimensional state-space, or, one approximated…
We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…
In this paper we investigate a dynamic pricing model for constant demand elasticity where customers have a probability distribution on the number of items they order. This is a generalization from standard models which restrict customers to…
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…
Choo-Siow (2006) proposed a model for the marriage market which allows for random identically distributed noise in the preferences of each of the participants. The randomness is McFadden-type, which permits an explicit resolution of the…
The Unbiased Learning-to-Rank framework has been recently proposed as a general approach to systematically remove biases, such as position bias, from learning-to-rank models. The method takes two steps - estimating click propensities and…
Structural equation models (SEMs) are widely used in sciences, ranging from economics to psychology, to uncover causal relationships underlying a complex system under consideration and estimate structural parameters of interest. We study…
The Expectation Maximization (EM) algorithm is a versatile tool for model parameter estimation in latent data models. When processing large data sets or data stream however, EM becomes intractable since it requires the whole data set to be…
Sound Event Detection (SED) aims to predict the temporal boundaries of all the events of interest and their class labels, given an unconstrained audio sample. Taking either the splitand-classify (i.e., frame-level) strategy or the more…
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…
We study Bayesian inverse problems with mixed noise, modeled as a combination of additive and multiplicative Gaussian components. While traditional inference methods often assume fixed or known noise characteristics, real-world…
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
We introduce a data-driven learning framework that assimilates two powerful ideas: ideal large eddy simulation (LES) from turbulence closure modeling and neural stochastic differential equations (SDE) for stochastic modeling. The ideal LES…
This article addresses the problem of average consensus in a multi-agent system when the desired consensus quantity is a time varying signal. Although this problem has been addressed in existing literature by linear schemes, only bounded…
We describe a bottom-up framework, based on the identification of appropriate order parameters and determination of phase diagrams, for understanding progressively refined agent-based models and simulations of financial markets. We…
We consider data-driven inventory and pricing decisions in the feature-based newsvendor problem, where demand is influenced by both price and contextual features and is modeled without any structural assumptions. The unknown demand…
The thesis of this essay is that, in heterogeneous agent macroeconomics, the assumption of rational expectations about equilibrium prices is unrealistic and should be replaced. Rational expectations imply that decision makers forecast…
This paper studies the economic role of persistent dispersion in allocations across agents. We develop a tractable model in which firms allocate resources under imperfect information and behavioral updating, generating sustained…
We investigate the non-equilibrium dynamics of a three state kinetic exchange model of opinion formation, where switches between extreme states are possible, depending on the value of a parameter $q$. The mean field dynamical equations are…
The selection of an equilibrium state by maximising the entropy of a system, subject to certain constraints, is often powerfully motivated as an exercise in logical inference, a procedure where conclusions are reached on the basis of…