Monthly term structures are fit to US Treasury inflation-indexed securities using a QN (Quadratic-Natural) spline, developed in this paper, and also to conventional nominal securities of comparable maturities. The ratio of the real to nominal discount functions is an implicit forward CPI...

Unrestricted reduced form vector autoregressive (VAR) models have become a dominant research strategy in empirical macroeconomics since Sims (1980) critique of traditional macroeconometric modeling. They are however subjected to the curse of dimensionality. In this paper we propose...

This paper reports the results of human subject and computational experiments designed to examine how the level of the "inactivity payments" to workers and to employers affects the evolution of cooperation among workers and employers. The related impacts to unemployment and job vacancy rates are...

This paper discusses calibration and numerical solution of a wide range of household portfolio models. We illustrate the main conceptual, technical, and computational issues that arise in the context of household portfolio choice, and explore the implications of alternative modeling choices. We...

In continuous time, diffusion processes have been used for modelling financial dynamics for a long time. For example the Ornstein-Uhlenbeck process (the simplest mean-reverting process)has been used to model non-speculative price processes. The Cox-Ingersoll-Ross process is widely used to model...

Generalized Lotka-Volterra (GLV) models extending the (70 year old) logistic equation to stochastic systems consisting of a multitude of competing auto-catalytic components lead to power distribution laws of the (100 year old) Pareto-Zipf type. In particular, when applied to economic systems,...

This paper focuses on the estimation of mutual fund styles by return-based style analysis. Usually, the investment style is assumed to be either constant through time, or time variation is implicitly accounted for by using rolling regressions. The former assumption is often contradicted by data...

We demonstrate that achieving sensible convergence of prices to equilibrium is facilitated by market maker risk. \\ We introduce several criteria for price formation rules, and provide an example that satisfies all of them. The risk aversion of the market maker inevitably leads to price...

This paper studies multilateral negotiations among n players in an environment where there are externalities and contracts forming coalitions can be written and renegotiated. The negotiation process is modeled as sequential game of offers and counteroffers, and the study focus on the stationary...

This paper uses an agent based financial market calibrated to aggregate data. It shows how these markets are able to magnify the volatility of fundamentals, and to create time series with persistent volatility. The mechanism for this persistence is explored using several of the time series...