相关论文: Modeling Trust and Liquidity Under Payment System …
Expansion planning problems refer to the monetary and unit investment needed for energy production or storage. An inherent element in these problems is the element of stochasticity in various aspects, such as the generation output of the…
Much research has been conducted arguing that tipping points at which complex systems experience phase transitions are difficult to identify. To test the existence of tipping points in financial markets, based on the alternating offer…
We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash…
This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provide realistic simulated price impact curves. This is possible…
The event-triggered control problem over lossy communication networks is addressed in this paper. Although packet dropouts have been considered in the implementation of event-triggered controllers, the assumption of protocols that employ…
Due to the COVID-19 pandemic, the global supply chain is disrupted at an unprecedented scale under uncertain and unknown trends of labor shortage, high material prices, and changing travel or trade regulations. To stay competitive,…
This paper studies autonomous generative AI agents in multi-echelon supply chains using the MIT Beer Game. We identify four inference-time levers that shape performance: model selection, policies and guardrails, centralized data sharing,…
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…
In recent decades, the weather around the world has become more irregular and extreme, often causing large-scale extended power outages. Resilience -- the capability of withstanding, adapting to, and recovering from a large-scale disruption…
Most national economies are linked by international trade. Consequently, economic globalization forms a massive and complex economic network with strong links, that is, interactions arising from increasing trade. Various interesting…
Oft-cited causes of mini-flash crashes include human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation. We develop a mathematical model which captures aspects of…
We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling…
Localized shocks arising from climate extremes, geopolitical conflicts, and trade protectionism cascade through trade networks, triggering global food crises. Cross-product substitution, a critical response strategy, induces cross-product…
The occurrence of large-scale power outages induced by natural disasters has been on the rise in a changing climate. Such power outages often last extended durations, causing substantial financial losses and socioeconomic impacts to…
An agent-based computational economical toy model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The…
We study the relation between the trading behavior of agents and volatility in toy markets of adaptive inductively rational agents. We show that excess volatility, in such simplified markets, arises as a consequence of {\em i)} the neglect…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
In this paper we analyze the resilience of a network of banks to joint price fluctuations of the external assets in which they have shared exposures, and evaluate the worst-case effects of the possible default contagion. Indeed, when the…