Heterogeneous agent coordination via adaptive quality diversity and specialization

Abstract We recast the Aiyagari-Bewley-Huggett model of income and wealth distribution in continuous time. This workhorse model – as well as heterogeneous agent models more generally – then boils down to a system of partial differential equations, a fact we take advantage of to make two types of contributions. First, a number of new theoretical results: (i) an analytic characterization of the consumption and saving behavior of the poor, particularly their marginal propensities to consume; (ii) a closed-form solution for the wealth distribution in a special case with two income types; (iii) a proof that there is a unique stationary equilibrium if the intertemporal elasticity of substitution is weakly greater than one. Second, we develop a simple, efficient and portable algorithm for numerically solving for equilibria in a wide class of heterogeneous agent models, including – but not limited to – the Aiyagari-Bewley-Huggett model.

Download Full-text

Can heterogeneous agent models explain the alleged mispricing of the S&P 500?

Quantitative Finance ◽

10.1080/14697688.2021.1909744 ◽

2021 ◽

pp. 1-21

Author(s):

Thomas Lux

Keyword(s):

Heterogeneous Agent ◽

Heterogeneous Agent Models

Download Full-text

A parametric family of Massey-type methods: inference, prediction, and sensitivity

Journal of Quantitative Analysis in Sports ◽

10.1515/jqas-2019-0071 ◽

2020 ◽

Vol 16 (3) ◽

pp. 255-269

Author(s):

Enrico Bozzo ◽

Paolo Vidoni ◽

Massimo Franceschet

Keyword(s):

Quantitative Analysis ◽

Control Theory ◽

Dynamic Systems ◽

Parametric Family ◽

Time Varying ◽

Multi Agent ◽

Key Features ◽

The Stability ◽

Agent Coordination ◽

Time Aware

AbstractWe study the stability of a time-aware version of the popular Massey method, previously introduced by Franceschet, M., E. Bozzo, and P. Vidoni. 2017. “The Temporalized Massey’s Method.” Journal of Quantitative Analysis in Sports 13: 37–48, for rating teams in sport competitions. To this end, we embed the temporal Massey method in the theory of time-varying averaging algorithms, which are dynamic systems mainly used in control theory for multi-agent coordination. We also introduce a parametric family of Massey-type methods and show that the original and time-aware Massey versions are, in some sense, particular instances of it. Finally, we discuss the key features of this general family of rating procedures, focusing on inferential and predictive issues and on sensitivity to upsets and modifications of the schedule.

Download Full-text