I explore the nature of optimal static and dynamic contracts in an environment with moral hazard, where individuals contracting with the same principal receive correlated productivity shocks. The environment resembles the one considered in relative compensation theory ( i.e tournament theory),...

Observers and Macroeconomic Systems is concerned with the computational aspects of using a control-theoretic approach to the analysis of dynamic macroeconomic systems. The focus is on using a separate model for the development of the control policies. In particular, it uses the observer-based...

In this paper, I compare the accuracy, efficiency and stability of different numerical strategies for computing approximate solutions to the nonlinear rational expectations commodity market model. I find that polynomial and spline function collocation methods are superior to the space...

We study the numerical properties of a class of models recently introduced to calculate the values of corporate bonds and other corporate liabilities. Starting from a discrete-time extensive form game representing the consequences of financial distress, these "strategic contingent claims models"...

The WALRAS algorithm calculates competitive equilibria via a distributed tatonnement-like process, in which agents submit single-good demand functions to market-clearing auctions. The algorithm is asynchronous and decentralized with respect to both agents and markets, making it suitable for...

This paper describes a procedure for testing the global properties of functional forms which recognizes their specific role in economic equilibrium modelling. This procedure is employed to investigate the global regularity and third-order curvature properties of three widely used flexible...

We present a dynamical theory of asset price bubbles that exhibits the appearance of bubbles and their subsequent crashes. We show that when speculative trends dominate over fundamental beliefs, bubbles form, leading to the growth of asset prices away from their fundamental value. This growth...

We simulate a multiagent market with production, consumption, and exchange mediated by a sealed-bid double auction. Marked price bubbles and subsequent crashes occur when value-based (fundamentals-driven) and trend-based traders are both present, and the market equilibrium price is ramped up...

We review a complexity measure theta and its statistical properties, then apply it to four stock returns. Theta is a ratio of two correlation integral estimates, one taken before and one after shuffling the series to investigate. For random processes theta approximate 1 while theta approaches...