Related papers: Dynamic Macroeconomics with Multiple Regimes
In this paper, we propose a general theory of ambiguity-averse MDPs, which treats the uncertain transition probabilities as random variables and evaluates a policy via a risk measure applied to its random return. This ambiguity-averse MDP…
Behavioural finance offers a valuable framework for examining foreign exchange (FX) market dynamics, including puzzles such as excess volatility and fat-tailed distributions. Yet, when it comes to their interaction with the `real' side of…
Are there multiple equilibria in the spatial economy? This paper develops a unified framework that integrates systems of cities and regional models to address this question within a general geographic space. A key feature is the endogenous…
In economic systems, the mix of products that countries make or export has been shown to be a strong leading indicator of economic growth. Hence, methods to characterize and predict the structure of the network connecting countries to the…
Macroeconomic outcomes emerge from individuals' decisions, making it essential to model how agents interact with macro policy via consumption, investment, and labor choices. We formulate this as a dynamic Stackelberg game: the government…
Organisms have evolved a variety of mechanisms to cope with the unpredictability of environmental conditions, and yet mainstream models of metabolic regulation are typically based on strict optimality principles that do not account for…
Misperceptions about extreme dependencies between different financial assets have been an im- portant element of the recent financial crisis. This paper studies inhomogeneity in dependence structures using Markov switching regular vine…
When Reinforcement Learning (RL) agents are deployed in practice, they might impact their environment and change its dynamics. We propose a new framework to model this phenomenon, where the current environment depends on the deployed policy…
Traditional economic models often rely on fixed assumptions about market dynamics, limiting their ability to capture the complexities and stochastic nature of real-world scenarios. However, reality is more complex and includes noise, making…
An agent-based model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize…
Reinforcement learning algorithms are typically designed for generic Markov Decision Processes (MDPs), where any state-action pair can lead to an arbitrary transition distribution. In many practical systems, however, only a subset of the…
This note is motivated by the article by F. Lutscher, E. Pachepsky, and M. Lewis (2005), The Effect of Dispersal Patterns on Stream Populations SIAM Rev. Vol. 47 No. 4 pp. 749-772 on the drift paradox. We consider the case of a regime…
We report on new stability conditions for evolutionary dynamics in the context of population games. We adhere to the prevailing framework consisting of many agents, grouped into populations, that interact noncooperatively by selecting…
This article presents a general description of dynamical systems using the language of enriched functors and enriched natural transformations. This framework is essential to establish the equivalence of three descriptions of dynamics -- a…
This paper studies a regression model with functional dependent and explanatory variables, both of which exhibit nonstationary dynamics. The model assumes that the nonstationary stochastic trends of the dependent variable are explained by…
We introduce and solve a general model of dynamic response under external perturbations. This model captures a wide range of systems out of equilibrium including Ising models of physical systems, social opinions, and population genetics.…
Many scientific and engineering systems exhibit intrinsically multimodal behavior arising from latent regime switching and non-unique physical mechanisms. In such settings, learning the full conditional distribution of admissible outcomes…
We present a mathematical model of a market with $m$ shares traded across $n$ investor groups, each one with similar motivations and trading strategies. The market of each asset consists of a fixed amount of cash and shares (no additions…
We characterize the outcomes of a canonical deterministic model for the intergenerational transmission of capital that features differential fertility. A fertility function determines the relationship between parental capital and the number…
Neural networks trained under different hyperparameter settings can fall into distinct training "regimes," with consistent behavior within regimes and qualitative differences across regimes. In this paper, we study such multi-regime…