We introduce a heterogeneous agent asset pricing model in continuous-time to show that trend chasing, switching and herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On the one hand, the fluctuations of market price and...

The relationship between firms' growth rates and firm size distribution has been extensively analyzed in the literature. In particular, the breakdown of Gibrat law for medium and small firms has been identified as the reason for the emergence of a power law only in right tail of the size...

We present an epidemic model in which heterogenous agents choose whether to enact social distancing practices. The policy maker decides on the timing and the extent of policies that incentivise social distancing. We evaluate the consequences of interventions and find that: (i) the timing of...

Although the rational choice approach remains the theoretical modeling paradigm in economics and political sciences, the relevance of behavioral factors such as heuristics and biases has been increasingly acknowledged in both fields over the last decades. Against this background, and in honor...

The representation of the economic system, from a complexity perspective, focuses on interactions among heterogeneous agents in conditions of uncertainty. Heterogeneity entails asymmetric reactions to shocks and, through interaction mechanisms and feedback loops at micro, macro and meso level,...

Low inflation was once a welcome to both policy makers and the public. However, Japan’s experience during the 1990’s changed the consensus view on price of economists and central banks around the world. Facing deflation and zero interest bound at the same time, Bank of Japan had difficulty...

This paper examines the dynamics of financial distress and in particular the mechanism of transmission of shocks from the financial sector to the real economy. The analysis is performed by representing the linkages between microeconomic financial variables and the aggregate performance of the...