相关论文: Ramsey Optimal Policy versus Multiple Equilibria w…

We study long-term growth-optimal strategies on a simple market with linear proportional transaction costs. We show that several problems of this sort can be solved in closed form, and explicit the non-analytic dependance of optimal…

In this review article we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions…

The paper concerns the study of equilibrium points, or steady states, of economic systems arising in modeling optimal investment with \textit{vintage capital}, namely, systems where all key variables (capitals, investments, prices) are…

We study dynamic mechanism design in a pure-exchange economy with privately observed idiosyncratic income. In the standard infinitely lived hidden-income benchmark of Green (1987) and Thomas-Worrall (1990), constrained-efficient allocations…

We present a model describing the competition between information transmission and decision making in financial markets. The solution of this simple model is recalled, and possible variations discussed. It is shown numerically that despite…

We propose a stochastic game modelling the strategic interaction between market makers and traders of optimal execution type. For traders, the permanent price impact commonly attributed to them is replaced by quoting strategies implemented…

We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…

Minimizing volatility and adjustment costs is of central importance in many economic environments, yet it is often complicated by evolving feasibility constraints. We study a decision maker who repeatedly selects an action from a…

We study the design of decision-making mechanism for resource allocations over a multi-agent system in a dynamic environment. Agents' privately observed preference over resources evolves over time and the population is dynamic due to the…

In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…

In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…

I study the optimal regulation of a financial sector where individual banks face self-enforcing constraints countering their default incentives. The constrained-efficient social planner can improve over the unregulated equilibrium in two…

We consider a hidden Markov model with multiple observation processes, one of which is chosen at each point in time by a policy---a deterministic function of the information state---and attempt to determine which policy minimises the…

We analyze a canonical extension of the Stackelberg duopoly to a sequential framework, where each firm strategically anticipates the reactions of all subsequent players. In a triopoly (three-firm) settings, we obtain existence and…

In an arbitrage-free simple market, we demonstrate that for a class of state-dependent exponential utilities, there exists a unique prediction of the random risk aversion that ensures the consistency of optimal strategies across any time…

The First Fundamental Theorem of Welfare Economics assumes that welfare-bearing agents are autonomous and implicitly relies on a binary distinction between autonomy and instrumentality. Welfare subjects are those who have autonomy and…

We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous…

This study rigorously investigates the Keynesian cross model of a national economy with a focus on the dynamic relationship between government spending and economic equilibrium. The model consists of two ordinary differential equations…

Cooperative behavior, where one individual incurs a cost to help another, is a wide spread phenomenon. Here we study direct reciprocity in the context of the alternating Prisoner's Dilemma. We consider all strategies that can be implemented…

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…