相关论文: A continuum of path-dependent equilibrium solution…

We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is…

We first investigate the attractor solution associated with Assisted Inflation in Heterotic M-Theory to see if it is stable. By perturbing the solutions we find a solitary stable fixed point with the general path through phase space…

We study a continuum model of dislocation transport in order to investigate the formation of heterogeneous dislocation patterns. We propose a physical mechanism which relates the formation of heterogeneous patterns to the dynamics of a…

We consider the influence of stochastic perturbations on stability of a unique positive equilibrium of a difference equation subject to prediction-based control. These perturbations may be multiplicative $$x_{n+1}=f(x_n)-\left( \alpha +…

This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The…

We propose two rational expectation models of transient financial bubbles with heterogeneous arbitrageurs and positive feedbacks leading to self-reinforcing transient stochastic faster-than-exponential price dynamics. As a result of the…

When making decisions under risk, people often exhibit behaviors that classical economic theories cannot explain. Newer models that attempt to account for these irrational behaviors often lack neuroscience bases and require the introduction…

We consider a large population of learning agents noncooperatively selecting strategies from a common set, influencing the dynamics of an exogenous system (ES) we seek to stabilize at a desired equilibrium. Our approach is to design a…

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…

For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We…

Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…

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…

The money supply is endogenous if the monetary policy strategy is the so called Inflation and Interest Rate Targeting, IRT. With that and perfect credibility, the theory of the price level and inflation only needs the Fisher equation, but…

Regression discontinuity designs assess causal effects in settings where treatment is determined by whether an observed running variable crosses a pre-specified threshold. Here we propose a new approach to identification, estimation, and…

This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…

Service platforms must determine rules for matching heterogeneous demand (customers) and supply (workers) that arrive randomly over time and may be lost if forced to wait too long for a match. Our objective is to maximize the cumulative…

We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters that serve to make iterated predictions of two successive…

This paper deals with the problem of finding a low-complexity estimate of the impulse response of a linear time-invariant discrete-time dynamic system from noise-corrupted input-output data. To this purpose, we introduce an identification…

There is by now a large consensus in modern monetary policy. This consensus has been built upon a dynamic general equilibrium model of optimal monetary policy as developed by, e.g., Goodfriend and King (1997), Clarida et al. (1999),…

We investigate the lifetime of dynamical regimes under the impact of noise motivated by low-dimensional models of the atmosphere. One may expect that the inclusion of noise tends to make the system leave prescribed regions of the state…