The aim of this paper is to simulate profit expectations as an emergent property using an agent based model. The paper builds upon adaptive expectations, interactive expectations and small world networks, combining them into a single adaptive interactive profit expectations model (AIE)....

The paper discusses opportunities to utilize the series of micro-blogs as provided by the Twitter in observation of opinion dynamics. The spontaneity of tweets is more, as the service is attached more to the mobile communications. The extraction of information in the series of tweets is...

The aim of this paper is to demonstrate that dynamic paths in a model of discrete choice with social interactions, which have been developed by Brock and Durlauf (1999, 2001a, 2001b, 2006), converge some self-consistent equilibrium. To this aim, we propose an asynchronous model of...

We study how the presence of transitive cycles in the interbank network affects the extent of financial contagion. In a regular network setting, where the same pattern of links repeats for each node, we allow an external shock to propagate losses through the system of linkages (interbank...

Models for a continuous risk outcome has a wide application in portfolio risk management and capital allocation. We introduce a family of interval distributions based on variable transformations. Densities for these distributions are provided. Models with a random effect, targeting a continuous...

The paper discusses the role of memory in asset pricing models with heterogeneous beliefs. In particular, we were interested in how memory in the fitness measure affects stability of evolutionary adaptive systems and survival of technical trading. In order to obtain an insight into this matter...

Amid the controversies around the optimisation criteria and the objective functions when applying mathematical methods in economics, we proposed a method of quantifying a multi-criteria optimum, called critical distance method. The demonstration of this method is exemplified by assessing the...

We solve an agent's optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain...

We register a random sequence which has the following properties: it has three segments being the homogeneous Markov processes. Each segment has his own one step transition probability law and the length of the segment is unknown and random. It means that at two random successive moments (they...