Related papers: Dynamic Macroeconomics with Multiple Regimes
Learning dynamical systems through operator-theoretic representations provides a powerful framework for analyzing complex dynamics, as spectral quantities such as eigenvalues and invariant structures encode characteristic time scales and…
We study the out-of-equilibrium aging dynamics of the Random Energy Model (REM) ruled by a single spin-flip Metropolis dynamics. We focus on the dynamical evolution taking place on time-scales diverging with the system size. Our aim is to…
In a growing retail electricity market, demand response (DR) is becoming an integral part of the system to enhance economic and operational performances. This is rendered as incentive-based DR (IBDR) in the proposed study. It presents a…
Dynamic portfolio optimization is the process of sequentially allocating wealth to a collection of assets in some consecutive trading periods, based on investors' return-risk profile. Automating this process with machine learning remains a…
Reinforcement learning (RL) is currently one of the most prominent methods for optimizing dynamical systems, with breakthrough results across various fields. The framework is based on the concept of a Markov decision process (MDP), leading…
We consider the effect of network structure on the evolution of a population. Models of this kind typically consider a population of fixed size and distribution. Here we consider eco-evolutionary dynamics where population size and…
For a general class of dynamic and stochastic structural models, we show that (i) non-linearity in economic dynamics is a necessary and sufficient condition for time-varying parameters (TVPs) in the reduced-form VARMA process followed by…
Dynamical systems theory has long provided a foundation for understanding evolving phenomena across scientific domains. Yet, the application of this theory to complex real-world systems remains challenging due to issues in mathematical…
We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random…
We analyze networked heterogeneous nonlinear systems, with diffusive coupling and interconnected over a generic static directed graph. Due to the network's hetereogeneity, complete synchronization is impossible, in general, but an emergent…
We present a random walk model that exhibits asymptotic subdiffusive, diffusive, and superdiffusive behavior in different parameter regimes. This appears to be the first instance of a single random walk model leading to all three forms of…
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt…
A (closed) dynamical system is a notion of how things can be, together with a notion of how they may change given how they are. The idea and mathematics of closed dynamical systems has proven incredibly useful in those sciences that can…
Iterating between a router and a traffic micro-simulation is an increasibly accepted method for doing traffic assignment. This paper, after pointing out that the analytical theory of simulation-based assignment to-date is insufficient for…
Understanding the evolutionary dynamics of reinforcement learning under multi-agent settings has long remained an open problem. While previous works primarily focus on 2-player games, we consider population games, which model the strategic…
We propose a general scenario to analyze social and economic changes in modern environments. We illustrate the ideas with a model that incorporating the main trends is simple enough to extract analytical results and, at the same time,…
Stochastic and soft optimal policies resulting from entropy-regularized Markov decision processes (ER-MDP) are desirable for exploration and imitation learning applications. Motivated by the fact that such policies are sensitive with…
Comparing with traditional fixed formation for a group of dynamical systems, time-varying formation can produce the following benefits: i) covering the greater part of complex environments; ii) collision avoidance. This paper studies the…
We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indicator of the state of the economy, but does not directly…
Functional dynamics, introduced in a previous paper, is analyzed, focusing on the formation of a hierarchical rule to determine the dynamics of the functional value. To study the periodic (or non-fixed) solution, the functional dynamics is…