Zobrazeno 1 - 10
of 61
pro vyhledávání: '"Gualdi, Stanislao"'
Publikováno v:
PLoS ONE 16, e0247823 (2021)
We discuss the impact of a Covid-19--like shock on a simple model economy, described by the previously developed Mark-0 Agent-Based Model. We consider a mixed supply and demand shock, and show that depending on the shock parameters (amplitude and dur
Externí odkaz:
http://arxiv.org/abs/2006.08469
Autor:
Ciliberti, Stefano, Gualdi, Stanislao
The role of portfolio construction in the implementation of equity market neutral factors is often underestimated. Taking the classical momentum strategy as an example, we show that one can significantly improve the main strategy's features by proper
Externí odkaz:
http://arxiv.org/abs/1810.08384
Publikováno v:
In Energy Economics October 2022 114
Publikováno v:
Economics: The Open-Access, Open-Assessment E-Journal, 12 (2018-15): 1-26
Which level of inflation should Central Banks be targeting? We investigate this issue in the context of a simplified Agent Based Model of the economy. Depending on the value of the parameters that describe the behaviour of agents (in particular infla
Externí odkaz:
http://arxiv.org/abs/1709.05117
The average portfolio structure of institutional investors is shown to have properties which account for transaction costs in an optimal way. This implies that financial institutions unknowingly display collective rationality, or Wisdom of the Crowd.
Externí odkaz:
http://arxiv.org/abs/1703.01989
Publikováno v:
Scientific Reports 6, 39467 (2016)
Common asset holding by financial institutions, namely portfolio overlap, is nowadays regarded as an important channel for financial contagion with the potential to trigger fire sales and thus severe losses at the systemic level. In this paper we pro
Externí odkaz:
http://arxiv.org/abs/1603.05914
Autor:
Gualdi, Stanislao, Mandel, Antoine
We propose a simple dynamical model of the formation of production networks among monopolistically competitive firms. The model subsumes the standard general equilibrium approach \`a la Arrow-Debreu but displays a wide set of potential dynamic behavi
Externí odkaz:
http://arxiv.org/abs/1509.01483
Publikováno v:
Soft Matter 12, 1230 (2016)
We revisit the H\'ebraud-Lequeux (HL) model for the rheology of jammed materials and argue that a possibly important time scale is missing from HL's initial specification. We show that our generalization of the HL model undergoes interesting oscillat
Externí odkaz:
http://arxiv.org/abs/1508.05212
Publikováno v:
Journal of Economic Interaction and Coordination 12, 507-537 (2017)
We extend in a minimal way the stylized model introduced in in "Tipping Points in Macroeconomic Agent Based Models" [JEDC 50, 29-61 (2015)], with the aim of investigating the role and efficacy of monetary policy of a `Central Bank' that sets the inte
Externí odkaz:
http://arxiv.org/abs/1501.00434
Autor:
Gualdi, Stanislao, Bouchaud, Jean-Philippe, Cencetti, Giulia, Tarzia, Marco, Zamponi, Francesco
Publikováno v:
Phys. Rev. Lett. 114, 088701 (2015)
We propose a simple framework to understand commonly observed crisis waves in macroeconomic Agent Based models, that is also relevant to a variety of other physical or biological situations where synchronization occurs. We compute exactly the phase d
Externí odkaz:
http://arxiv.org/abs/1409.3296