347 citations · 1.3k across the 32 of their papers we have counts for
35 papers
Discounting the distant future: What do historical bond prices imply about the long term discount rate?
J. Doyne Farmer, John Geanakoplos, Matteo G. Richiardi +3
We present a thorough empirical study on real interest rates by also including risk aversion through the introduction of the market price of risk. With the view of complex systems…
Towards Evology: a Market Ecology Agent-Based Model of US Equity Mutual Funds II
Aymeric Vie, J. Doyne Farmer
Agent-based models (ABMs) are fit to model heterogeneous, interacting systems like financial markets. We present the latest advances in Evology: a heterogeneous, empirically calibr…
The unequal effects of the health-economy tradeoff during the COVID-19 pandemic
Marco Pangallo, Alberto Aleta, R. Maria del Rio Chanona +9
The potential tradeoff between health outcomes and economic impact has been a major challenge in the policy making process during the COVID-19 pandemic. Epidemic-economic models de…
Towards Evology: a Market Ecology Agent-Based Model of US Equity Mutual Funds
Aymeric Vie, Maarten Scholl, Alissa M. Kleinnijenhuis +1
The profitability of various investment styles in investment funds depends on macroeconomic conditions. Market ecology, which views financial markets as ecosystems of diverse, inte…
Calibrating Agent-based Models to Microdata with Graph Neural Networks
Joel Dyer, Patrick Cannon, J. Doyne Farmer +1
Calibrating agent-based models (ABMs) to data is among the most fundamental requirements to ensure the model fulfils its desired purpose. In recent years, simulation-based inferenc…
Black-box Bayesian inference for economic agent-based models
Joel Dyer, Patrick Cannon, J. Doyne Farmer +1
Simulation models, in particular agent-based models, are gaining popularity in economics. The considerable flexibility they offer, as well as their capacity to reproduce a variety…