Related papers: Estimated Dynamic Equilibrium Model: Supply and De…
Interpreting EEG signals linked to spoken language presents a complex challenge, given the data's intricate temporal and spatial attributes, as well as the various noise factors. Denoising diffusion probabilistic models (DDPMs), which have…
Entropy production (EP) is a central measure in nonequilibrium thermodynamics, as it can quantify the irreversibility of a process as well as its energy dissipation in special cases. Using the time-reversal asymmetry in a system's path…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
The Expectation-Maximization (EM) algorithm is a popular choice for learning latent variable models. Variants of the EM have been initially introduced, using incremental updates to scale to large datasets, and using Monte Carlo (MC)…
The efficient market hypothesis (EMH), based on rational expectations and market equilibrium, is the dominant perspective for modelling economic markets. However, the most notable critique of the EMH is the inability to model periods of…
Estimation-of-distribution algorithms (EDAs) are general metaheuristics used in optimization that represent a more recent alternative to classical approaches like evolutionary algorithms. In a nutshell, EDAs typically do not directly evolve…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
The embedded topic model (ETM) is a widely used approach that assumes the sampled document-topic distribution conforms to the logistic normal distribution for easier optimization. However, this assumption oversimplifies the real…
An informed seller designs a dynamic mechanism to sell an experience good. The seller has partial information about the product match, which affects the buyer's private consumption experience. We characterize equilibrium mechanisms of this…
We consider a simple stochastic model of a urban rental housing market, in which the interaction of tenants and landlords induces rent fluctuations. We simulate the model numerically and measure the equilibrium rent distribution, which is…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
We introduce a three-state model to study the effects of a neutral party on opinion spreading, in which the tendency of agents to agree with their neighbors can be tuned to favor either the neutral party or two oppositely polarized parties,…
This report investigates the optimal design of event-triggered estimation for first-order linear stochastic systems. The problem is posed as a two-player team problem with a partially nested information pattern. The two players are given by…
Many economic applications including optimal pricing and inventory management requires prediction of demand based on sales data and estimation of sales reaction to a price change. There is a wide range of econometric approaches which are…
This paper focuses on the operation of an electricity market that accounts for participants that bid at a sub-minute timescale. To that end, we model the market-clearing process as a dynamical system, called market dynamics, which is…
Recent advances in computing power and the potential to make more realistic assumptions due to increased flexibility have led to the increased prevalence of simulation models in economics. While models of this class, and particularly…
We develop the theory of Energy Conserving Descent (ECD) and introduce ECDSep, a gradient-based optimization algorithm able to tackle convex and non-convex optimization problems. The method is based on the novel ECD framework of…
Tandem queueing systems are widely-used stochastic models that arise from many real-life service operations systems. Motivated by the desire to understand the trade-off between the performance and complexity of policies for…
The family of Expectation-Maximization (EM) algorithms provides a general approach to fitting flexible models for large and complex data. The expectation (E) step of EM-type algorithms is time-consuming in massive data applications because…
Automated Market Makers (AMMs) are a central component of decentralized exchanges, yet their equilibrium foundations and microeconomic mechanisms remain incompletely understood. This paper develops a dynamic equilibrium framework for…