Understanding how heterogeneous agents affect Principal's returns:Perspectives from short-termism and Bayesian learning

We consider a general framework of optimal contract design under the heterogeneity and short-termism of agents.Our research shows that the optimal contract must weigh the agent's information rent,incentive cost,and benefit to overcome the contract's adverse selection and moral hazards.Agents with higher moral levels were more likely to choose higher effort and lower manipulation.Simultaneously,the principal offers lower incentives and receives more significant payoff.We also extend our model to investigate the benefits of Bayesian learning.Furthermore,we compare the principal's returns in general and learning models and find that the learning contract can bring more profit to the principal。

Spatial snowdrift game in heterogeneous agent systems with co-evolutionary strategies and updating rules

We propose an evolutionary snowdrift game model for heterogeneous systems with two types of agents, in which the inner-directed agents adopt the memory-based updating rule while the copycat-like ones take the unconditional imitation rule; moreover, each＇agent can change his type to adopt another updating rule once the number he sequentially loses the game at is beyond his upper limit of tolerance. The cooperative behaviors of such heterogeneous systems are then investigated by Monte Carlo simulations. The numerical results show the equilibrium cooperation frequency and composition as functions of the cost-to-benefit ratio r are both of plateau structures with discontinuous steplike jumps, and the number of plateaux varies non-monotonically with the upper limit of tolerance VT as well as the initial composition of agents faO. Besides, the quantities of the cooperation frequency and composition are dependent crucially on the system parameters including VT, faO, and r. One intriguing observation is that when the upper limit of tolerance is small, the cooperation frequency will be abnormally enhanced with the increase of the cost-to-benefit ratio in the range of 0 〈 r 〈 1/4. We then probe into the relative cooperation frequencies of either type of agents, which are also of plateau structures dependent on the system parameters. Our results may be helpful to understand the cooperative behaviors of heterogenous agent systems.

Agent-based Modeling and Mapping of Manufacturing System

Considering the gent-based modeling and mapping in m anufacturing system, in this paper, some system models are described, which are including: Domain Based Hierarchical Structure (DBHS), Cascading Agent Struc ture (CAS), Proximity Relation structure (PRS), and Bus-based network structure (BNS). In DBHS, one sort of agent individually delegates Domain Agents, Res ources Agents, UserInterface Agents and Gateway Agents and the other one is a br oker of tasks and process flow. Static agents representing a subsystem may itsel f be an agent network and should learn as the mobile agents to deal with new sit uation. Mobile agents move around the network domains taking advantage of th e resources to fulfill their goals. In CAS, we use Unified Modelling Language (U ML) to build up the agent-based manufacturing system It is said Enterprise agen t (main agent) has factory agents together with some directly jurisdictional wor kshop agents, cell agents, and individual resource agents. Likewise, factory age nt has workshop agents together with some directly jurisdictional cell agents an d individual resource agents, and so on. In PRS, the resources agents are locate d together by it function and abilities. There is only one agent acts as the tas k-announcer. The communication just occurs among the Proximity Relational agent s. In BNS, It is very similar with the society of human being connected with a n etwork, some agents, such as ’cost calculating’, are just cope with the matter- of-fact job. And some agents run as the individual resources which can negotiat e with each other and advertise a necessary message within the whole domain or g iven group of agents. The administration just relies on the individual addre ss of agents and the group ID code of agents.

Government intervention model based on behavioral heterogeneity for China’s stock market

Active government intervention is a striking characteristic of the Chinese stock market.This study develops a behavioral heterogeneous agent model(HAM)comprising fundamentalists,chartists,and stabilizers to investigate investors’dynamic switching mechanisms under government intervention.The model introduces a new player,the stabilizer,into the HAM as a proxy for the government.We use the model to examine government programs during the 2015 China stock market crash and find that it can replicate the dynamics of investor sentiment and asset prices.In addition,our analysis of two simulations,specifically the data-generating processes and shock response analysis,further corroborates the key conclusion that our intervention model not only maintains market stability but also promotes the return of risk asset prices to their fun-damental values.The study concludes that government interventions guided by the new HAM can alleviate the dilemma between reducing price volatility and improving price efficiency in future intervention programs.

Distributed Optimization for Heterogenous Second⁃Order Multi⁃Agent Systems

A continuous⁃time distributed optimization was researched for second⁃order heterogeneous multi⁃agent systems.The aim of this study is to keep the velocities of all agents the same and make the velocities converge to the optimal value to minimize the sum of local cost functions.First,an effective distributed controller which only uses local information was designed.Then,the stability and optimization of the systems were verified.Finally,a simulation case was used to illustrate the analytical results.

Effects of herding behavior of tradable green certificate market players on market efficiency:insights from heterogeneous agent model

Tradable green certificate(TGC)scheme promotes the development of renewable energy industry which currently has a dual effect on economy and environment.TGC market efficiency is reflected in stimulating renewable energy investment,but may be reduced by the herding behavior of market players.This paper proposes and simulates an artificial TGC market model which contains heterogeneous agents,communication structure,and regulatory rules to explore the characteristics of herding behavior and its effects on market efficiency.The results show that the evolution of herding behavior reduces information asymmetry and improves market efficiency,especially when the borrowing is allowed.In addition,the fundamental strategy is diffused by herding evolution,but TGC market efficiency may be remarkably reduced by herding with borrowing mechanism.Moreover,the herding behavior may evolve to an equilibrium where the revenue of market players is comparable,thus the fairness in TGC market is improved.

The Inherent Law of the Unpredictability of Financial Asset Price Fluctuations: Multistability and Chaos

This paper aims at understanding the price dynamics generated by the interaction of traders relying on heterogeneous expectations in an asset pricing model.In the present work the authors analyze a financial market populated by five types of boundedly rational speculators-two types of fundamentalists,two types of chartists and trend followers which submit buying/selling orders according to different trading rules.The authors formulate a stock market model represented as a 2 dimensional piecewise linear discontinuous map.The proposed contribution to the existing financial literature is two aspects.First,the authors perform study of the model involving a 2 dimensional piecewise linear discontinuous map through a combination of qualitative and quantitative methods.The authors focus on the existence conditions of chaos and the multi-stability regions in parameter plane.Related border collision bifurcation curves and basins of multi-attractors are also given.The authors find that chaos or quasi-period exists only in the case of fixed point being a saddle(regular or flip)and that the coexistence of multiple attractors may exist when the fixed point is an attractor,but it is common for spiral and flip fixed points.

Adaptive distributed observer design for containment control of heterogeneous discrete-time swarm systems

This paper develops both adaptive distributed dynamic state feedback control law and adaptive distributed measurement output feedback control law for heterogeneous discrete-time swarm systems with multiple leaders.The convex hull formed by the leaders and the system matrix of leaders is estimated via an adaptive distributed containment observer.Such estimations will feed the followers so that every follower can update the system matrix of the corresponding adaptive distributed containment observer and the system state of their neighbors.The followers cooperate with each other to achieve leader-follower consensus and thus solve the containment control problem over the network.Numerical results demonstrate the effectiveness and computational feasibility of the proposed control laws.

HETEROGENEITY, NONLINEARITY AND ENDOGENOUS MARKET VOLATILITY

This paper aims to contribute to the literature on the explanatory power of behavior models with heterogeneous agents. The authors present a new nonlinear structural stock market model which is a nonlinear deterministic process buffeted by dynamic noise. An exogenous noise is introduced to the model with the assumption of IID normal innovations of the fundamental value in order to investigate how noisy dynamics interacts with deterministic process. The market is composed of two typical trader types： the rational fundamentalists and the boundedly rational traders governed by greed and fear. The interaction between noise and deterministic element determines the evolution process of the system as key parameters are changed. The authors find the model is able to generate time series that exhibit dynamical and statistical properties closely resembling those of the S＆：P500 index, such as volatility clustering, fat tails （leptokurtosis）, autocorrelation in square and absolute return, larger amplitude, crashes and bubbles. The authors also investigate the nonlinear dependence structure in our data. The results indicate that the GARCH-type model cannot completely account for all nonlinearity in our simulated market, which is thus consistent with the results from real markets. It seems that the nonlinear structural model is more powerful to give a satisfied explanation to market behavior than the traditional stochastic approach.

An Equilibrium Approach to the Aggregation of Beliefs

This paper presents a new answer to the old question of how to aggregate individual beliefs. We construct a model which allows agents to take arbitrage oppor- tunities against the aggregated belief by making contingent claims against the states, and the aggregator （market maker） regulates the probability of states. When all claims from the agents are mutually covered for every realization of the state, an aggregation of individual beliefs is thus obtained. We prove the existence and uniqueness of the equilibrium aggregation, and also show that the aggregate belief lies in the convex hull of individual beliefs. This model allows us to address some important problems such as how individual agent＇s attitude toward risk and wealth endowment affect the outcome of the aggregation process, and whether the aggregate belief satisfies the well-known properties like equal treatment.

Quantitative Analysis of the COVID-19 Pandemic Shock to Household Consumption in China

We study the impact of the COVID-19 pandemic shock on household consumption in China.Using household survey data,we find that the proportion of liquidity-constrained households increases quickly,but the constraint levels vary across distinct groups.We build a heterogeneous agent life cycle incomplete market model to analyze the long-run and short-run effects of the pandemic shock.The quantitative results reveal a slow recovery of consumption due to three reasons:hiking unemployment rate,declining labor productivity,and worsening income stability.The hiking unemployment rate plays the key role in households,consumption reduction since it simultaneously leads to a negative income effect and upsurging precautionary saving motives.Our paper highlights the importance of maintaining a stable labor market for faster recovery.