Related papers: The Merchandising Mathematician Model
We review some statistical many-agent models of economic and social systems inspired by microscopic molecular models and discuss their stochastic interpretation. We apply these models to wealth exchange in economics and study how the…
A sequence of recent studies show that even in the simple setting of a single seller and a single buyer with additive, independent valuations over $m$ items, the revenue-maximizing mechanism is prohibitively complex. This problem has been…
Using the Minority Game model we study a broad spectrum of problems of market mechanism. We study the role of different types of agents: producers, speculators as well as noise traders. The central issue here is the information flow :…
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a…
A monopolistic seller aims to sell an indivisible item to multiple potential buyers. Each buyer's valuation depends on their private type and the item's quality. The seller can observe the quality but it is unknown to buyers. This quality…
Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective…
The present paper proposes a new framework for describing the stock price dynamics. In the traditional geometric Brownian motion model and its variants, volatility plays a vital role. The modern studies of asset pricing expand around…
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…
In this paper we derive the optimal execution trajectory for a trader who wishes to buy or sell a large position of shares which evolve as a geometric Brownian process in contrast to the arithmetic model which prevails in the existing…
This paper presents an analytical treatment of economic systems with an arbitrary number of agents that keeps track of the systems' interactions and agents' complexity. This formalism does not seek to aggregate agents. It rather replaces…
We analyze a model of selling a single object to a principal-agent pair who want to acquire the object for a firm. The principal and the agent have different assessments of the object's value to the firm. The agent is budget-constrained…
We postulates, and then show experimentally, that liquidity deficit is the driving force of the markets. In the first part of the paper a kinematic of liquidity deficit is developed. The calculus-like approach, which is based on…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
We present a novel approach to modeling market dynamics using ordinary differential equations that explicitly incorporates product competitiveness and consumer behavior. Our framework treats market segments as interacting populations in a…
Mathematical models are increasingly a part of microbiological research. Here, we share our perspective on how modeling advances the discipline by: (i) enforcing logical consistency, (ii) enabling quantitative prediction, (iii) extracting…
We consider here probabilistic models of transportation flows. The main goal of this introduction is rather not to present various techniques for problem solving but to present some intuition to invent adequate and natural models having…
We propose a simple model that describes the dynamics of efficiencies of competing agents. Agents communicate leading to increase of efficiencies of underachievers, and an efficiency of each agent can increase or decrease irrespectively of…
We discuss potential market mechanisms for the GRID. A complete dynamical model of a GRID market is defined with three types of agents. Providers, middlemen and users exchange universal GRID computing units (GCUs) at varying prices.…
We study consumption behaviour in systems with heterogeneous interacting agents. Two different models are introduced, respectively with long and short range interactions among agents. At any time step an agent decides whether or not to…
We develop an analytically tractable model featuring heterogeneous workers and firms, where labor markets clear through a one-to-many sorting mechanism. Firms determine both the number and composition of their employees, shaping (1) the…