Related papers: The Merchandising Mathematician Model
We present new Bayesian methodology for consumer sales forecasting. With a focus on multi-step ahead forecasting of daily sales of many supermarket items, we adapt dynamic count mixture models to forecast individual customer transactions,…
Reliable demand forecasts are critical for the effective supply chain management. Several endogenous and exogenous variables can influence the dynamics of demand, and hence a single statistical model that only consists of historical sales…
We survey a range of models of opinion exchange. From the introduction: "The exchange of opinions between individuals is a fundamental social interaction... Moreover, many models in this field are an excellent playground for mathematicians,…
A new model for stocks markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how…
Modelling all possible life cycles of a company in a highly competitive economic environment gives a significant advantage to the owner in his business investment activities. This article proposes and analyses a dynamic model of a company's…
We consider a monopoly information holder selling information to a budget-constrained decision maker, who may benefit from the seller's information. The decision maker has a utility function that depends on his action and an uncertain state…
We consider a simplified version of the Wealth Game, which is an agent-based financial market model with many interesting features resembling the real stock market. Market makers are not present in the game so that the majority traders are…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
Here, we examine a mean-field game (MFG) that models the economic growth of a population of non-cooperative rational agents. In this MFG, agents are described by two state variables - the capital and consumer goods they own. Each agent…
We study scenarios where multiple sellers of a homogeneous good compete on prices, where each seller can only sell to some subset of the buyers. Crucially, sellers cannot price-discriminate between buyers. We model the structure of the…
We analyse two models of liquidity provision to determine the retail traders' preference for marketable order routing. Order internalization is captured by a model of market makers competing for the retail order flow in a Bertrand fashion.…
To investigate the actual phenomena of transport on a complex network, we analysed empirical data for an inter-firm trading network, which consists of about one million Japanese firms and the sales of these firms (a sale corresponds to the…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
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…
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market institutions dominate intelligent agent behavior. We use data…
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…
In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting agent model of…
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are…
This paper proposes a framework in which agents are constrained to use simple models to forecast economic variables and characterizes the resulting biases. It considers agents who can only entertain state-space models with no more than d…
The proposed model is aimed to reveal important patterns in the behavior of a simplified financial system. The patterns could be detected as regular cycles consisting of debt bubbles and crises. Financial cycles have a well defined…