3,511 research outputs found
Strategic decision-making in multi-agent markets: The emergence of endogenous crises and volatility
Traditional economic frameworks are built upon perfectly rational agents and equilibrium outcomes. However, during times of crises, these frameworks prove insufficient. In this thesis, we take an alternative perspective based on "Complexity Economics", relaxing the assumption of perfectly rational agents and allowing for out-of-equilibrium dynamics. While many contemporary approaches explain crises and non-equilibrium market phenomena as the rational reaction to external news, the emergence of endogenous crises remains an open question.
We begin addressing this question by demonstrating how a multi-agent model of heterogeneous boundedly rational agents acting according to heuristics can reproduce and forecast key non-linear price movements in the Australian housing market, during boom and bust cycles. In order to provide foundations for such heuristic-based reasoning, we then propose a novel information-theoretic approach, Quantal Hierarchy, for modelling limitations in strategic reasoning, demonstrating how this convincingly and generically captures the decision-making of interacting agents in competitive markets outperforming existing approaches. In addition, we demonstrate how a concise generalised market model can generate important stylised facts, such as fat-tails and volatility clustering, and allow for the emergence of crises, purely endogenously. This thesis provides support to the interacting agent hypothesis, addressing a crucial question of whether crisis emergence and various stylised facts can be seen as endogenous phenomena, and provides a generic method for representing strategic agent reasoning
The Effectiveness of Britain's Financial Service Authority: An Economic Analysis
Sweeping regulatory reforms in Britain resulted in the formation of the Financial Services Authority (FSA). Because greater transparency of information is a major objective for this Act, shifting from one information system to another has re-distributive effects. We identify these effects at a sector level and their drivers at the firm level. At a sector level, FSA has generally increased the precision of investorsâ priors reducing the information risk component of the cost of capital. At a firm level, large firms act as âStackelberg leadersâ in voluntary disclosure games. FSA regulation shifts power from leaders to âfollowersâ.Disclosure, Regulation, Game Theory, Stackelberg Leader, Cost of Capital: information asymmetry
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Resource sharing in network slicing and human-machine interactions
In this thesis we explore two novel resource allocation models. The first addresses challenges associated with dynamic sharing of network resources by multiple tenants/services via network slicing. The second focuses on a data-driven approach to the optimization of resource allocation in interactive human-machine processes. In our first thrust we investigate how to allocate shared storage, computation, and/or connectivity resources distributed amongst multiple tenants/ virtual service providers which have dynamic loads. It is expected that next generation of wireless network will be shared by an increasing number of data-intensive mobile applications (e.g., autonomous cars, IoT, interactive 360° video streaming), and tenants/service providers. A key functional requirement for such infrastructure is enabling efficient sharing of heterogeneous resource among tenants/service providers supporting spatially varying and dynamic user demands, both from the point of view of enabling the deployment and performance management to diverse service providers and/or tenants, as well as means to increase utilization and reduce CAPEX/OPEX associated with deploying possible new infrastructures. To that end, we propose a novel dynamic resource sharing policy, namely, Share Constrained Proportional Fair (SCPF), which allocates a predefined âshareâ of a pool of (distributed) resources to each slice. We provide a characterization of the achievable performance gains over General Processor Sharing (GPS), and Static Slicing (SS), i.e., fixed allocation of resources to slices. We also characterize the associated share dimensioning problem, asking when a particular set of load profiles and QoS requirements are feasible, as well as what should be an appropriate pricing strategy. We further consider possible slice-based admission control scheme where slices engage in an underlying game to maximize their carried loads subject to performance requirements. In order to accommodate settings where one would wish to provision different types of resources which are coupled through user demands, we generalize SCPF to a more general resource allocation criterion, namely, Share Constrained Slicing (SCS), which extends traditional αâfairness criterion, by striking a balance among inter- and intra-slice fairness vs. overall efficiency. We show that SCS has several desirable properties including slice-level protection, envyfreeness, and load-driven elasticity. In practice, mobile users' dynamics could make the cost of implementing SCS high, so we also study the feasibility of using a dynamically weighted max-min fair policy as a surrogate resource allocation scheme. For a setting with stochastic loads and elastic user requirements, we model the user dynamics under SCS as a queuing network and establish the stability condition. Finally, and perhaps surprisingly, we show via extensive simulation that while SCS (and/or the surrogate weighted max-min allocation) provides inter-slice protection, they can also achieve improved job delay and/or perceived throughput, as compared to other weighted max-min based allocation schemes whose intra-slice weight allocation is not share-constrained, e.g., traditional max-min and/or discriminatory processor sharing. In our second thrust we study how to optimize resource allocation in the context of human-machine interactions. Examples of such processes could include systems aimed at assisting humans in interactive learning, workload allocation, or web-search advertising. We devise an innovative framework to enable the optimization of a reward over an interactive process in a data-driven manner. This is a challenging problem for several reasons: (1) humans' behavior is not easily modeled and may reflect biases, memory and be sensitive to sequencing, all of which should/could be inferred from data; (2) because these interactions are typically sequential and transient, inferring such complex models for human behavior is difficult; (3) furthermore, in order to collect data on human-machine interactions one must choose a machine policy which in turn may bias inferences on human behavior. In this thesis we approach the problem of jointly estimating human behavior and optimizing machine policies via Alternating Entropy-Reward Ascent (AREA) algorithm. We characterize AREA in terms of its space and time complexity and convergence. We also provide an initial validation based on synthetic data generated by an established noisy nonlinear model for human decision-makingElectrical and Computer Engineerin
Adaptive Power Allocation and Control in Time-Varying Multi-Carrier MIMO Networks
In this paper, we examine the fundamental trade-off between radiated power
and achieved throughput in wireless multi-carrier, multiple-input and
multiple-output (MIMO) systems that vary with time in an unpredictable fashion
(e.g. due to changes in the wireless medium or the users' QoS requirements).
Contrary to the static/stationary channel regime, there is no optimal power
allocation profile to target (either static or in the mean), so the system's
users must adapt to changes in the environment "on the fly", without being able
to predict the system's evolution ahead of time. In this dynamic context, we
formulate the users' power/throughput trade-off as an online optimization
problem and we provide a matrix exponential learning algorithm that leads to no
regret - i.e. the proposed transmit policy is asymptotically optimal in
hindsight, irrespective of how the system evolves over time. Furthermore, we
also examine the robustness of the proposed algorithm under imperfect channel
state information (CSI) and we show that it retains its regret minimization
properties under very mild conditions on the measurement noise statistics. As a
result, users are able to track the evolution of their individually optimum
transmit profiles remarkably well, even under rapidly changing network
conditions and high uncertainty. Our theoretical analysis is validated by
extensive numerical simulations corresponding to a realistic network deployment
and providing further insights in the practical implementation aspects of the
proposed algorithm.Comment: 25 pages, 4 figure
Collective states in social systems with interacting learning agents
We consider a social system of interacting heterogeneous agents with learning
abilities, a model close to Random Field Ising Models, where the random field
corresponds to the idiosyncratic willingness to pay. Given a fixed price,
agents decide repeatedly whether to buy or not a unit of a good, so as to
maximize their expected utilities. We show that the equilibrium reached by the
system depends on the nature of the information agents use to estimate their
expected utilities.Comment: 18 pages, 26 figure
Boltzmann meets Nash: Energy-efficient routing in optical networks under uncertainty
Motivated by the massive deployment of power-hungry data centers for service
provisioning, we examine the problem of routing in optical networks with the
aim of minimizing traffic-driven power consumption. To tackle this issue,
routing must take into account energy efficiency as well as capacity
considerations; moreover, in rapidly-varying network environments, this must be
accomplished in a real-time, distributed manner that remains robust in the
presence of random disturbances and noise. In view of this, we derive a pricing
scheme whose Nash equilibria coincide with the network's socially optimum
states, and we propose a distributed learning method based on the Boltzmann
distribution of statistical mechanics. Using tools from stochastic calculus, we
show that the resulting Boltzmann routing scheme exhibits remarkable
convergence properties under uncertainty: specifically, the long-term average
of the network's power consumption converges within of its
minimum value in time which is at most ,
irrespective of the fluctuations' magnitude; additionally, if the network
admits a strict, non-mixing optimum state, the algorithm converges to it -
again, no matter the noise level. Our analysis is supplemented by extensive
numerical simulations which show that Boltzmann routing can lead to a
significant decrease in power consumption over basic, shortest-path routing
schemes in realistic network conditions.Comment: 24 pages, 4 figure
Enabling Privacy in a Distributed Game-Theoretical Scheduling System for Domestic Appliances
Demand side management (DSM) makes it possible to adjust the load experienced by the power grid while reducing the consumers' bill. Game-theoretic DSM is an appealing decentralized approach for collaboratively scheduling the usage of domestic electrical appliances within a set of households while meeting the users' preferences about the usage time. The drawback of distributed DSM protocols is that they require each user to communicate his/her own energy consumption patterns, which may leak sensitive information regarding private habits. This paper proposes a distributed privacy-friendly DSM system that preserves users' privacy by integrating data aggregation and perturbation techniques: users decide their schedule according to aggregated consumption measurements perturbed by means of additive white Gaussian noise. We evaluate the noise power and the number of users required to achieve a given privacy level, quantified by means of the increase of the information entropy of the aggregated energy consumption pattern. The performance of our proposed DSM system is compared to the one of a benchmark system that does not support privacy preservation in terms of total bill, peak demand, and convergence time. Results show that privacy can be improved at the cost of increasing the peak demand and the number of game iterations, whereas the total bill is only marginally incremented
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