This article develops an agent-based model of security market pricing process, capable to capture main stylised facts. It features collective market pricing mechanisms based upon evolving heterogeneous expectations that incorporate signals of security issuer fundamental performance over time....

The purpose of this research is to create a model for evaluating financial and non-financial motivation of top managers in regional and district management structures. For this purpose, the efficiency of inter-cluster interaction within one federal district is evaluated using a system of factors...

This paper proposes full-Bayes priors for time-varying parameter vector autoregressions (TVP-VARs) which are more robust and objective than existing choices proposed in the literature. We formulate the priors in a way that they allow for straightforward posterior computation, they require...

How will the novel coronavirus evolve? I study a simple SEPAIRD model, in which mutations may change the properties of the virus and its associated disease stochastically and antigenic drifts allow new variants to partially evade immunity. I show analytically that variants with higher...

This study develops a novel agent-based model of the interbank market with endogenous credit risk formation mechanisms. We allow banks to exchange funds through unsecured and secured transactions in order to facilitate the flow of funds to the most pro table investment projects. Our model...

In this “post truth” age of “fake news” and “alternative facts” uncertainty in the provenance of policy makes transparency in decision making increasingly important for evidence-based policymakers. This paper demonstrates how the convergence of Agent Based Modelling, Smart Contracts,...

Having efficient and accurate samplers for simulating the posterior distribution is crucial for Bayesian analysis. We develop a generic posterior simulator called the "dynamic striated Metropolis-Hastings (DSMH)" sampler. Grounded in the Metropolis-Hastings algorithm, it draws its strengths from...

Spanish Abstract: La simulación de sistemas de agentes múltiples y los modelos basados en agentes utilizan entidades virtuales que interactúan siguiendo reglas en ambientes controlados, y permiten entender el comportamiento de los agentes reales considerando aspectos como la heterogeneidad,...