相关论文: Behavioural Macroeconomic Policy: New perspectives…
In many mechatronic applications, controller input costs are negligible and time optimality is of great importance to maximize the productivity by executing fast positioning maneuvers. As a result, the obtained control input has mostly a…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
We study finite-horizon budget allocation as a closed-loop economic control problem and evaluate receding-horizon Model Predictive Control (MPC) relative to reactive budgeting policies. Budgets are allocated periodically under execution…
In complex tasks where the reward function is not straightforward and consists of a set of objectives, multiple reinforcement learning (RL) policies that perform task adequately, but employ different strategies can be trained by adjusting…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
The main challenge of multiagent reinforcement learning is the difficulty of learning useful policies in the presence of other simultaneously learning agents whose changing behaviors jointly affect the environment's transition and reward…
I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…
A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows…
The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
As large language models (LLMs) increasingly act as autonomous agents in markets and organizations, their behavior in strategic environments becomes economically consequential. We document that off-the-shelf LLM agents exhibit systematic…
Problems arise when using reward functions to capture dependencies between sequential time-constrained goal states because the state-space must be prohibitively expanded to accommodate a history of successfully achieved sub-goals. Also,…
We extend in a minimal way the stylized model introduced in in "Tipping Points in Macroeconomic Agent Based Models" [JEDC 50, 29-61 (2015)], with the aim of investigating the role and efficacy of monetary policy of a `Central Bank' that…
Timing decisions are common: when to file your taxes, finish a referee report, or complete a task at work. We ask whether time preferences can be inferred when \textsl{only} task completion is observed. To answer this question, we analyze…
This paper analyses how risk-taking behaviour and preferences over consumption rank can emerge as a neutrally stable equilibrium when individuals face an anti-coordination task. If in an otherwise homogeneous society information about…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This construction, while allowing time and risk attitudes to be separated,…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
Preferences often change -- even in short time intervals -- due to either the mere passage of time (present-biased preferences) or changes in environmental conditions (state-dependent preferences). On the basis of the empirical findings in…
The tendency to overestimate immediate utility is a common cognitive bias. As a result people behave inconsistently over time and fail to reach long-term goals. Behavioral economics tries to help affected individuals by implementing…