Estimating heterogeneous agent preferences by inverse optimization in a randomized nonatomic game

2021 ◽  
Author(s):  
Sung-Pil Hong ◽  
Kyung Min Kim ◽  
Suk-Joon Ko
Keyword(s):  
Inverse Optimization ◽  
Heterogeneous Agent ◽  
Nonatomic Game

scholarly journals Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach

2021 ◽  
Author(s):  
Yves Achdou ◽  
Jiequn Han ◽  
Jean-Michel Lasry ◽  
Pierre-Louis Lions ◽  
Benjamin Moll
Keyword(s):  
Continuous Time ◽  
Wealth Distribution ◽  
Closed Form Solution ◽  
Form Solution ◽  
Heterogeneous Agent ◽  
Saving Behavior ◽  
Income And Wealth Distribution ◽  
Heterogeneous Agent Models ◽  
Special Case

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.

scholarly journals MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL

2008 ◽  
Vol 11 (07) ◽  
pp. 717-737 ◽  
Author(s):  
HARBIR LAMBA ◽  
TIM SEAMAN
Keyword(s):  
Heterogeneous Agent ◽  
Agent Based ◽  
Agent Model ◽  
Fundamental Parameters ◽  
Market Participants ◽  
Information Stream ◽  
Momentum Trading ◽  
Real Market ◽  
Available Information ◽  
Parameter Values

We continue an investigation into a class of agent-based market models that are motivated by a psychologically-plausible form of bounded rationality. Some of the agents in an otherwise efficient hypothetical market are endowed with differing tolerances to the tension caused by being in the minority. This herding tendency may be due to purely psychological effects, momentum-trading strategies, or the rational response to perverse marketplace incentives. The resulting model has the important properties of being both very simple and insensitive to its small number of fundamental parameters. While it is most certainly a caricature market, with only boundedly rational traders and the globally available information stream being modeled directly, other market participants and effects are indirectly replicated. We show that all of the most important "stylized facts" of real market statistics are reproduced by this model. Another useful aspect of the model is that, for certain parameter values, it reduces to a standard efficient-market system. This allows us to isolate and observe the effects of particular kinds of non-rationality. To this end, we consider the effects of different asymmetries in agent behavior and show that one in particular leads to skew statistics consistent with those seen in some real financial markets.

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