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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…
In many macroeconomic applications, confidence intervals for impulse responses are constructed by estimating VAR models in levels - ignoring cointegration rank uncertainty. We investigate the consequences of ignoring this uncertainty. We…
A fundamental question related to innovation diffusion is how the social network structure influences the process. Empirical evidence regarding real-world influence networks is very limited. On the other hand, agent-based modeling…
This paper is based on the premise that economic growth is driven by an interplay between innovation and imitation in an economy composed of interacting firms operating in a stochastic environment. A novel approach to modeling imitation is…
Prediction markets are often used as mechanisms to aggregate information about a future event, for example, whether a candidate will win an election. The event is typically assumed to be exogenous. In reality, participants may influence the…
Collusion in market pricing is a concept associated with human actions to raise market prices through artificially limited supply. Recently, the idea of algorithmic collusion was put forward, where the human action in the pricing process is…
In this paper, we examine the biases that arise when firms run A/B tests on continuous parameters to estimate global treatment effects on performance metrics of interest; we particularly focus on price experiments to measure the price…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…
We present a macro-finance model with innovation and knowledge spillover. Skilled agents engage in R&D activities (establish firms) or work in the knowledge-intensive sector. Unskilled agents work in the traditional sector. Knowledge…
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions…
Market power behaviour often occurs in modern wholesale electricity markets. Mixed Complementarity Problems (MCPs) have been typically used for computational modelling of market power when it is characterised by an oligopoly with…
The AI traders in financial markets have sparked significant interest in their effects on price formation mechanisms and market volatility, raising important questions for market stability and regulation. Despite this interest, a…
No man is an island, as individuals interact and influence one another daily in our society. When social influence takes place in experiments on a population of interconnected individuals, the treatment on a unit may affect the outcomes of…
The aim of this work is to explore the possible types of phenomena that simple macroeconomic Agent-Based models (ABM) can reproduce. We propose a methodology, inspired by statistical physics, that characterizes a model through its 'phase…
Facing a global epidemic of new infectious diseases such as COVID-19, non-pharmaceutical interventions (NPIs), which reduce transmission rates without medical actions, are being implemented around the world to mitigate spreads. One of the…
Industrial applications frequently pose a notorious challenge for state-of-the-art methods in the contexts of optimization, designing experiments and modeling unknown physical response. This problem is aggravated by limited availability of…
We have used agent-based modeling as our numerical method to artificially simulate a dynamic real economy where agents are rational maximizers of an objective function of Cobb-Douglas type. The economy is characterised by heterogeneous…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
Work is fundamental to societal prosperity and mental health, providing financial security, identity, purpose, and social integration. The emergence of generative artificial intelligence (AI) has catalysed debate on job displacement. Some…
Digital communication has made the public discourse considerably more complex, and new actors and strategies have emerged as a result of this seismic shift. Aside from the often-studied interactions among individuals during opinion…